Life contingencies with R

Posted on June 1, 2012 by arthur charpentier in Uncategorized | 0 Comments

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I will be giving in less than four weeks a short course at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The talk will be on Actuarial models with R, and first part will be dedicated to life insurance. A complete set of slides can be downloaded from the blog, but in the talk, only some part will be presented.

The codes are from a book on actuarial science in R, written with Christophe Dutang (so far in French) that should appear, some day… The code used in the slides can be downloaded from here, and datasets are the following,

> TD <- read.table(
+ "http://perso.univ-rennes1.fr/arthur.charpentier/TD8890.csv",sep=";",header=TRUE)
> TV <- read.table(
+ "http://perso.univ-rennes1.fr/arthur.charpentier/TV8890.csv",sep=";",header=TRUE)

For additional resources, I recommend Emiliano’s website, http://www.math.uconn.edu/, with great lectures on life insurance mathematics, and the (new) lifecontinfencies vignette on http://cran.r-project.org/,

> library(lifecontingencies)

Arthur Charpentier

Arthur Charpentier, professor at UQaM in Actuarial Science. Former professor-assistant at ENSAE Paristech, associate professor at Ecole Polytechnique and assistant professor in Economics at Université de Rennes 1. Graduated from ENSAE, Master in Mathematical Economics (Paris Dauphine), PhD in Mathematics (KU Leuven), and Fellow of the French Institute of Actuaries.