Computational Actuarial Science with R

Arthur Charpentier

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August 26, 2014 by Chapman and Hall/CRC
Reference - 656 Pages - 178 B/W Illustrations
ISBN 9781466592599 - CAT# K20570
Series: Chapman & Hall/CRC The R Series

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Features

  • Presents a broad introduction to various computational aspects of actuarial science
  • Focuses on the implementation of existing models using simple R code
  • Assumes familiarity with actuarial science
  • Provides the datasets in an R package, enabling you to experiment with the data and models

Summary

A Hands-On Approach to Understanding and Using Actuarial Models

Computational Actuarial Science with R provides an introduction to the computational aspects of actuarial science. Using simple R code, the book helps you understand the algorithms involved in actuarial computations. It also covers more advanced topics, such as parallel computing and C/C++ embedded codes.

After an introduction to the R language, the book is divided into four parts. The first one addresses methodology and statistical modeling issues. The second part discusses the computational facets of life insurance, including life contingencies calculations and prospective life tables. Focusing on finance from an actuarial perspective, the next part presents techniques for modeling stock prices, nonlinear time series, yield curves, interest rates, and portfolio optimization. The last part explains how to use R to deal with computational issues of nonlife insurance.

Taking a do-it-yourself approach to understanding algorithms, this book demystifies the computational aspects of actuarial science. It shows that even complex computations can usually be done without too much trouble. Datasets used in the text are available in an R package (CASdatasets).