Early Warnings in Chicago

[Excerpt] Dear Mayor Washington, The Milton Bradley Company, the parent of Playskool, Inc has just announced a $18 million loss for 1983 down from$19 million profit in 1982... these results have increased ongoing speculation here at the factory that this facility will be closed... Can\u27t you help us somehow? I can\u27t sign this cause it would probably cause me trouble if they knew I was writing to you. The arrival of this letter in the Mayor\u27s office in the Winter of 1984 coincided with the city\u27s initiation of a unique attempt to do something about plant closings in Chicago. Some Chicago neighborhoods have almost 40% fewer jobs now than ten years ago, and over the past five years the city has been losing 10,000 jobs a year

On the return period of the 2003 heat wave

Extremal events are difficult to model since it is difficult to characterize formally those events. The 2003 heat wave in Europe was not characterized by very high temperatures, but mainly the fact that night temperature were no cool enough for a long period of time. Hence, simulation of several models (either with heavy tailed noise or long range dependence) yield different estimations for the return period of that extremal event.Heat wave, long range dependence, return period, heavy tails, GARMA processes, SARIMA processes

Reinsurance, ruin and solvency issues: some pitfalls

In this paper, we consider optimal reinsurance from an insurer's point of view. Given a (low) ruin probability target, insurers want to find the optimal risk transfer mechanism, i.e. either a proportional or a nonproportional reinsurance treaty. Since it is usually admitted that reinsurance should lower ruin probabilities, it should be easy to derive an efficient Monte Carlo algorithm to link ruin probability and reinsurance parameter. Unfortunately, if it is possible for proportional reinsurance, this is no longer the case in nonproportional reinsurance. Some examples where reinsurance might increase ruin probabilities are given at the end, when claim arrival and claim size are not independent.Dependence; Reinsurance; Ruin probability; Solvency requirements

Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)

Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on agregated data). But it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncertainty related to reserves, with "macro" and "micro" models. We study theoretical properties of econometric models (Gaussian, Poisson and quasi-Poisson) on individual data, and clustered data. Finally, application on claims reserving are considered

We are not alone ! (at least, most of us). Homonymy in large scale social groups

This article brings forward an estimation of the proportion of homonyms in large scale groups based on the distribution of first names and last names in a subset of these groups. The estimation is based on the generalization of the "birthday paradox problem". The main results is that, in societies such as France or the United States, identity collisions (based on first + last names) are frequent. The large majority of the population has at least one homonym. But in smaller settings, it is much less frequent : even if small groups of a few thousand people have at least one couple of homonyms, only a few individuals have an homonym

Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls

Tail dependence copulas provide a natural perspective from which one can study the dependence in the tail of a multivariate distribution.For Archimedean copulas with continuously differentiable generators, regular variation of the generator near the origin is known to be closely connected to convergence of the corresponding lower tail dependence copulas to the Clayton copula.In this paper, these characterizations are refined and extended to the case of generators which are not necessarily continuously differentiable.Moreover, a counterexample is constructed showing that even if the generator of a strict Archimedean copula is continuously differentiable and slowly varying at the origin, then the lower tail dependence copulas do not need to converge to the independent copula.Archimedean copula;regular variation;tail dependence;de Haan class

12th CIRP Conference on Computer Aided Tolerancing

The purpose of this paper is to decipher the process of modelling driving to the product behaviour simulation. A simple example of simulation, tolerance stackup, allows illustrating this process. The tolerance stackup is used daily in industry, however, designers do they know exactly what they do? Are they aware of the assumptions they are introducing? To answer to these questions, concepts of GeoSpelling and of GPS ISO standards such as skin model, operations, operators and other concept are introduced such as finite and infinite models

Income Inequality Games

The paper explores different applications of the Shapley value for either inequality or poverty measures. We first investigate the problem of source decomposition of inequality measures, the so-called additive income sources inequality games, baed on the Shapley Value, introduced by Chantreuil and Trannoy (1999) and Shorrocks (1999). We show that multiplicative income sources inequality games provide dual results compared with Chantreuil and Trannoy's ones. We also investigate the case of multiplicative poverty games for which indices are non additively decomposable in order to capture contributions of sub-indices, which are multiplicatively connected with, as in the Sen Shorrocks-Thon poverty index. We finally show in the case of additive poverty indices that the Shapley value may be equivalent to traditional methods of decomposition such as subgroup consistency and additive decompositions.Inequality, Poverty, Shapley, Source decomposition.