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John A Morrison's Blog – March 2012 Archive (5)

Exploratory Data Analysis for Complex Models


“Exploratory” and “confirmatory” data analysis can both be viewed as methods for comparing observed data to what would be obtained under an implicit or explicit statistical model. For example, many of Tukey’s methods can be interpreted as checks against hypothetical linear models and Poisson distributions. In more complex situations, Bayesian methods can be useful for constructing reference distributions for various plots that are useful in exploratory…


Added by John A Morrison on March 7, 2012 at 10:30pm — No Comments

risk transfer, insurance layers

The financial crisis – risk transfer, insurance layers and (no?) reinsurance culture

Michael Fackler  freelance actuary Munich, Germany


The financial crisis of 2007 has triggered various debates, ranging from the stability of the banking system to subtle technical issues regarding the Gaussian and other copulas. All these debates are important, and it might be good to start even a further one: Credit derivatives have much in common with…


Added by John A Morrison on March 7, 2012 at 9:00pm — No Comments

Counterparty Credit Risk Management in Industrial Corporates


Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned. This put industrial corporates, who to support their business usually need to manage significant cash holdings or incur counterparty credit risk via derivatives, in the situation to develop or extend their resources for counterparty credit risk management. This paper provides a…


Added by John A Morrison on March 4, 2012 at 12:30am — No Comments

Visualization Databases for the Analysis of Large Complex Datasets

Saptarshi Guha / Paul Kidwell / Ryan P. Hafen / William S. Cleveland


Comprehensive visualization that preserves the information in a large complex dataset requires a visualization database (VDB): many displays, some with many pages, and with one or more panels per page. A single display using a specific display method results from partitioning the data into subsets, sampling the subsets, and applying the method to each sample, typically one per panel.…


Added by John A Morrison on March 2, 2012 at 2:39am — No Comments

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