Rmetrics Workshop on R in Finance and Insurance, Paris 2014

Here are the slides of the talk that I gave yesterday with Prof. Frédéric Planchet at the 8th Rmetrics workshop in Insurance and Finance :

 

http://www.ressources-actuarielles.net/C1256F13006585B2/0/39B54166464089AFC12572B0003D88C2/$FILE/Rmetrics.pdf?OpenElement

 

Image

The R codes can found here :

  • For ESG

http://www.ressources-actuarielles.net/EXT/ISFA/fp-isfa.nsf/34a14c286dfb0903c1256ffd00502d73/a5e99e9abf5d3674c125772f00600f6c/$FILE/examplesESG.R

  • For ESGtoolkit

http://www.ressources-actuarielles.net/EXT/ISFA/fp-isfa.nsf/34a14c286dfb0903c1256ffd00502d73/a5e99e9abf5d3674c125772f00600f6c/$FILE/examplesESGtoolkit.R

I also submitted (a bit late, maybe) a Shiny app for the  Shiny App contest (which is the example @ page 55 of the slides).

https://contest.shinyapps.io/ShinyALMapp/

The username is : contest.

The password : rmetrics.

However, in my opinion, my app is veerry slow. This is due to the way that I dealt with global/local variables. In the first section,  ‘Simulation’, I make projections of the portfolio assets, let’s call the associated R variables : S.CAC and S.SP. In server.R, the plot is obtained with  output$plotSimulation. In the second section, ‘Portfolio’, I had to duplicate the code for the simulation (veerry annoying… here’s the bottleneck), because S.CAC and S.SP could’nt be seen in the scope of output$plotPortfolio defined in server.R.

I didn’t have the time to investigate more by now. But If somebody knows how to deal with this in Shiny, I’ll be happy to hear !

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Filed under Conference Talks, R stuff

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