List of R Packages for Actuarial Science
List started by: StatisticalConsultantsLtd
List contributors: StatisticalConsultantsLtd
Date started: 2014-02-20
Last updated: 2014-02-20
Keywords:
R packages, insurance, actuarial science
Description:
A list of actuarial R packages, and other R packages that would be useful to actuaries. R is a widely used free statistical software. Actuarial science is a discipline that applies mathematics and statistics to assess risk in insurance, finance and other industries.
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1. actuar
Actuarial functions including functions related to loss distributions, risk theory (including ruin theory), compound hierarchical model simulation, and credibility theory. The package includes probability functions commonly used in insurance (especially heavy tailed distributions).
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2. ActuDistns
Functions for actuarial scientists that compute the probability density function, hazard rate function, integrated hazard rate function, and the quantile function for 44 commonly used survival models.
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3. CompLognormal
Functions for actuarial scientists. The functions compute the probability density function, cumulative distribution function, quantile function, and random numbers of any composite model based on the lognormal distribution.
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4. lifecontingencies
An R package to perform actuarial mathematics for life contingencies insurances.
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5. ChainLadder
The ChainLadder package in R provides various statistical methods which are typically used for the estimation of outstanding claims reserves in general insurance. The package has implementations of the Mack, Munich, bootstrap, multivariate, and chain-ladder factor models (CLFM); and also the loss development factor curve fitting methods of Dave Clark and generalised linear model based reserving models.
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6. ELT
An R package to help actuaries build experience life tables. It contains functions to calculate exposure and the number of deaths, smoothing with four different methods, and validation with three criteria.
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7. DCL
Claims reserving (in non-life insurance) under the double chain ladder model.
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8. MRMR
Multivariate Regression Models for Reserving (tools to analyse non-life loss reserves).
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9. lossDev
Loss development for insurance triangles, using MCMC. |
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