3 papers
stat.AP2021
Bayesian model averaging for mortality forecasting using leave-future-out validation
Karim Barigou, Pierre-Olivier Goffard, Stéphane Loisel +1
Predicting the evolution of mortality rates plays a central role for life insurance and pension funds.Various stochastic frameworks have been developed to model mortality patterns…
math.ST2020
A Dynamic Taylor's Law
Victor De la Pena, Paul Doukhan, Yahia Salhi
Taylor's power law (or fluctuation scaling) states that on comparable populations, the variance of each sample is approximately proportional to a power of the mean of the populatio…
stat.AP2020
Quickest detection in practice in presence of seasonality: An illustration with call center data
Patrick J. Laub, Nicole El Karoui, Stéphane Loisel +1
In this chapter, we explain how quickest detection algorithms can be useful for risk management in presence of seasonality. We investigate the problem of detecting fast enough case…