Ce petit billet a été coécrit avec Ewen Gallic, « Fin du monde, fin du mois, même combat, » peut-on lire régulièrement sur des pancartes et les banderoles, lors de diverses manifestations, mais aussi comme titre de leçon inaugurale au Collège de France de l’économiste Christian Gollier, rappelant que le changement climatique et l’économie se font face dans un combat qui s’annonce sanglant. La “croissance” semble être un élément clé dans ce combat, mais ce dernier restera probablement vain tant que ce terme ne serra pas clairement discuté, permettant de quitter des tranchées souvent dogmatiq ..read more

Tomorrow, I will attend the 2024 Optimization Days, in Montréal. I will present some work we did last Fall with Philipp Ratz and Suzie Grondin, on (algorithmic) collusions in games, “Market Pricing with Reinforcement Learning” (the paper will be available soon) Several recent articles have attempted to gain a better understanding of algorithmic collusion (Calvano et al. (2020), Klein (2021), Banchio & Mantegazza (2022) Rocher et al. (2023)). For example, in Calvano et al. (2020), a simulation study showed that for a simplified market environment, basic Q-Learning Agents can learn to collu ..read more

I was invited to give a talk at the scientific conference at El Ghazala (الغزالة), in Tunis (تونس). I will be online, unfortunately, and I will give a talk on Fairness and discrimination of predictive models (with an application in insurance ..read more

A long time ago, with Michel Denuit, we published a long textbook (in two volumes), in French, entitled “Mathématiques de l’Assurance Non-Vie”, or “Non Life Insurance Mathematics” in English. We finally decided to translate everything in English, and our textbook is now available at https://nonlifemaths.github.io/. It is a simple plain translation of those populare textbooks… the next step is maybe to update them a little bit ..read more

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Tomorrow, I was invited to give a (brief) talk at our working group, at France Stratégies, on (non) diversification of extreme risks. Slides are online, and results are related to recent papers by Paul Embrechts and Ruodu Wang. More precisely, here are some references But first, before discussing large risks, I need to get back (quickly) on the Pareto distribution, To visualize Pareto tails, one can consider the Pareto plot. If points are on a straight line with (negative) slope \alpha, then observations are Pareto distributed, with tail index precisely \alpha. Depending on the slope (compa ..read more

Our paper, Oaxaca-Blinder decomposition of changes in means and inequality: A simultaneous approach, with Emmanuel Flachaire, was just published in the Economics Bulletin, In this paper, we show that a decomposition of changes in inequality, with the mean log deviation index, can be obtained directly from the Oaxaca-Blinder decompositions of changes in means of incomes and log-incomes. It allows practitioners to conduct simultaneously empirical analyses to explain which factors account for changes in means and in inequality indices between two distributions with strictly positive values. Not ..read more

Almost two years ago, on May 13th 2022, we organized a Workshop on fairness and discrimination in insurance, JEDA’22, at Laval University (in Québec city), with Marie-Pier Côté. It was a beautiful sucess, with a lot of persons in person, for one of the first event post-pandemic. The second workshop (JEDA’24) will be organized in less than a month, on May 16th. Registrations are open ! We will have in the room Fei Huang (UNSW Sidney), David Schraub (Chicago Actuarial Association), Marie-Ève Lainez, Autorité des marchés financiers), Laurence Barry (Chaire PARI), Agathe Fernandes Machado (UQÀM ..read more

With Russell Davidson, we will give a short course on Foundations of Data Science, at Lancaster University (actually, online), in the Data Science and Econometrics program ..read more

Demain matin, on m’a demandé d’intervenir au groupe de travail “mutualisation des risques” de France Stratégie. A priori, j’interviendrais dans la discussion sur “Comment mutualiser les risques climatiques entre territoires ? “, et j’ai préparé quelques slides sur la base de mes travaux depuis une petite vingtaine d’année (ma participation au groupe de travail du Commissariat au Plan sur L’État et l’assurance des risques nouveaux remonte à 2005 ..read more