R in the insurance industry

September 16, 2011
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(This article was first published on mages' blog, and kindly contributed to R-bloggers)

Let's talk about R in the insurance industry today.  David Smith's blog entry reminded me about our poster at the R user conference in Warwick in August 2011:
Using R in Insurance
We presented examples on how R can be used in the insurance industry. We had a lot of fun presenting our poster.  By accident we had printed the poster with quite a bit of access white space to the right. So we asked everyone who came along to sign it and by the end of the evening we had over 100 signatures!
Poster session at useR! 2011 in Warwick, UK
Yesterday Wayne Zhang, with whom I collaborate on the ChainLadder package, released the first version of his new cplm package on CRAN.  The name cplm is short for compound Poisson linear models. The cplm package is for fitting Tweedie compound Poisson linear models using the Monte Carlo EM algorithm. The form of the models that are handled in the package are generalized linear models, mixed-effect models and Bayesian models. For non-Bayesian models, maximum likelihood estimations are obtained for all parameters in the model, especially for the index parameter. Estimation for the Bayesian model is performed by Markov Chain Monte Carlo simulations.These models find their application in actuarial science, see also this paper.  

Here are a few more insurance related packages:
  • ChainLadder - Reserving methods in R. The package provides Mack-, Munich-, Bootstrap, and Multivariate-chain-ladder methods, as well as the LDF Curve Fitting methods of Dave Clark and GLM-based reserving models.
  • cplm - Monte Carlo EM algorithms and Bayesian methods for fitting Tweedie compound Poisson linear models
  • lossDev - A Bayesian time series loss development model. Features include skewed-t distribution with time-varying scale parameter, Reversible Jump MCMC for determining the functional form of the consumption path, and a structural break in this path; by Christopher W. Laws and Frank A. Schmid
  • actuar: Loss distributions modelling, risk theory (including ruin theory), simulation of compound hierarchical models and credibility theory check out the actuar package by C. Dutang, V. Goulet and M. Pigeon.
  • favir: Formatted Actuarial Vignettes in R. FAViR lowers the learning curve of the R environment. It is a series of peer-reviewed Sweave papers that use a consistent style.
  • mondate: R packackge to keep track of dates in terms of months
  • lifecontingencies - Package to perform actuarial evaluation of life contingencies
Other useful documents:
Help! There is a special interest group for R in insurance:

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