CRAN Task View: Actuarial Science

Maintainer:Christophe Dutang, Vincent Goulet
Contact:dutangc at gmail.com
Version:2023-10-01
URL:https://CRAN.R-project.org/view=ActuarialScience
Source:https://github.com/cran-task-views/ActuarialScience/
Contributions:Suggestions and improvements for this task view are very welcome and can be made through issues or pull requests on GitHub or via e-mail to the maintainer address. For further details see the Contributing guide.
Citation:Christophe Dutang, Vincent Goulet (2023). CRAN Task View: Actuarial Science. Version 2023-10-01. URL https://CRAN.R-project.org/view=ActuarialScience.
Installation:The packages from this task view can be installed automatically using the ctv package. For example, ctv::install.views("ActuarialScience", coreOnly = TRUE) installs all the core packages or ctv::update.views("ActuarialScience") installs all packages that are not yet installed and up-to-date. See the CRAN Task View Initiative for more details.

Actuaries are experts in evaluating the likelihood and financial consequences of future events. A pivotal part of their work is the modeling of the size and frequency of insurance claims. With probability models for the claims process in hand, actuaries can compute insurance premiums, determine the amount a company has to set aside in its actuarial reserve to cope with future events, evaluate the risk the company will not be able to meet its obligations, elaborate optimal investment strategies for its assets, or run simulations to compare business strategies or solve otherwise untractable problems.

Base R contains a wide array of functions for probabilistic and statistical models used in actuarial mathematics. Nevertheless, a number of packages have been developed to extend or ease actuarial computations. Due to the intrinsically interdisciplinary nature of actuarial science, this view intersects with other views Distributions, Econometrics, ExtremeValue, and Finance.

The maintainers gratefully acknowledge the comments and suggestions from Patrice Kiener and Quentin Guibert. If you think that some package is missing from the list, please let us know, either via e-mail to the maintainer or by submitting an issue or pull request in the GitHub repository linked above.

Table of contents

Life insurance

Life contingencies

Mortality laws and prospective mortality models

See also the view Epidemiology for epidemiology topics and the view Bayesian for Bayesian inference.

Survival analysis and portfolio experience

For a general overview of survival analysis, see the view Survival.

Life and pension reserving

Non-life insurance

Loss modeling

The view Distributions provides a detailed list of probability distributions available in base R and CRAN packages. Here we focus only on packages that implement distributions particularly designed for actuarial science.

A priori insurance pricing

A priori insurance pricing consists in fitting two models: one for claim frequency and one for claim severity. Classical pricing models rely on generalized linear models (GLM) that can be fitted in base R using glm.

More advanced statistical models can be found in the views Econometrics and MachineLearning. See also the view Spatial for analysis of spatial data.

A posteriori experience pricing

Claims reserving

Ruin theory

Claims generation

Reinsurance and extreme events

For a comprehensive review of extreme value analysis, see the view ExtremeValue.

Risk measures

Miscellaneous

Data handling

Mortality databases

Mortality databases are generally provided by demography and/or statistical institutes by each country (see below). However, the Human Mortality Database project at HMD provides a collection of reliable mortality datasets after a careful and very detailed protocol. HMD is a keystone for actuaries to compute reliable mortality/longevity estimates.

Actuarial datasets

Documentation and online courses

See the view TeachingStatistics for usual documentation on teaching statistics.

Bibliography

Actuarial science using R references

Life insurance references

Non-life insurance references

CRAN packages

Core:actuar, ChainLadder, lifecontingencies, mbbefd, ReIns.
Regular:actuaRE, ActuarialM, actuaryr, actxps, AnnuityRIR, apc, atRisk, clmplus, DDPM, Delaporte, demography, eiopaR, ELT, ExtremeRisks, FinancialMath, fitdistrplus, GPRMortality, HMDHFDplus, IBMPopSim, insuranceData, insurancerating, LifeInsuranceContracts, MortalityGaps, MortalityLaws, MortalityTables, MortCast, NetSimR, raw, ruin, SPLICE, StanMoMo, StMoMo, SynthETIC, tweedie, WH.
Archived:OpVaR.

Other resources