Package: actuary 0.1.2
actuary: Actuarial Functions and Utilities
Provides actuarial modeling tools for Monte Carlo loss simulations, loss reserving, and reinsurance layer loss calculations. It enables users to generate stochastic loss datasets with customisable frequency and severity distributions, fit development patterns to claim triangles, and calculate reinsurance losses for occurrence and aggregate layers with user-defined retentions, limits, and reinstatements. For development pattern selection, the package includes a machine learning approach that evaluates multiple reserving models using holdout validation to identify the best-fitting pattern based on predictive accuracy, this is based on the algorithm described in Richman, R and Balona, C (2020)<https://www.ssrn.com/abstract=3697256>.
Authors:
actuary_0.1.2.tar.gz
actuary_0.1.2.zip(r-4.7)actuary_0.1.2.zip(r-4.6)actuary_0.1.2.zip(r-4.5)
actuary_0.1.2.tgz(r-4.6-any)actuary_0.1.2.tgz(r-4.5-any)
actuary_0.1.2.tar.gz(r-4.7-any)actuary_0.1.2.tar.gz(r-4.6-any)
actuary_0.1.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
actuary/json (API)
| # Install 'actuary' in R: |
| install.packages('actuary', repos = c('https://andrewwilson201.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/andrewwilson201/actuary/issues
- losses - Example simulated loss data
- triangle_data - Example triangle data
Last updated from:11d3dce94e. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 166 | ||
| source / vignettes | OK | 161 | ||
| linux-release-x86_64 | OK | 152 | ||
| macos-release-arm64 | OK | 124 | ||
| macos-oldrel-arm64 | OK | 220 | ||
| windows-devel | OK | 107 | ||
| windows-release | OK | 84 | ||
| windows-oldrel | OK | 74 | ||
| wasm-release | OK | 152 |
Exports:create_simulationsfit_development_patternfit_development_pattern_mllayer_lossml_pattern_rangeplot_development_pattern
Dependencies:clicodetoolscommonmarkcpp11crayoncurldata.tabledigestdplyrdtplyrfarverforcatsfurrrfuturegamlss.distgenericsggplot2ggtextglobalsgluegridtextgtablehardhathmsisobandjpeglabelinglifecyclelistenvlitedownmagrittrmarkdownMASSparallellypillarpkgconfigpngpracmaprettyunitsprogresspurrrR6RColorBrewerRcpprlangS7scalessparsevctrsstringistringrtibbletidyrtidyselectutf8vctrsviridisLitewithrxfunxml2yardstick
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| create dataset of monte carlo simulations | create_simulations |
| fit chain ladder development pattern | fit_development_pattern |
| fit multiple development patterns and assess goodness of fit | fit_development_pattern_ml |
| calculate occurrence or aggregate layer losses | layer_loss |
| example simulated loss data | losses |
| get range of development patterns from fit_development_pattern_ml function | ml_pattern_range |
| plot a develoment pattern fitted using the fit_development_pattern function | plot_development_pattern |
| example triangle data | triangle_data |
