CRAN Task View: Actuarial Science https://cran.r-project.org/web/views/ActuarialScience.

html

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
◦ Survival analysis and portfolio experience
◦ Life and pension reserving
• Non-life insurance
◦ Loss modeling

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◦ Insurance pricing
◦ Experience pricing
◦ Claims reserving
◦ Ruin theory
◦ Claims generation
• Reinsurance and extreme events
• Risk measures
• Miscellaneous
◦ Data handling
◦ Mortality databases
◦ Actuarial datasets
◦ Documentation, online courses
• Bibliography
◦ Actuarial science using R
◦ Life insurance references
◦ Non-life insurance references

Life insurance

Life contingencies

• lifecontingencies provides the most popular functionalities for life actuarial

mathematics, namely, survival/death probabilities, the present value of life annuities
and (whole)-life insurance one, two or multiple heads. The package also propose S4
classes for handling lifetables, multiple decrement tables and actuarial tables.
• AnnuityRIR proposes different techniques for the approximation of the present and
final value of a unitary annuity-due or annuity-immediate considering interest rate as
a random variable.
• LifeInsuranceContracts provides R6 classes to model traditional life insurance
contracts like annuities, whole life insurances or endowments with (discretionary)
profit participation. This package provides a framework to model such contracts in a
very generic (cash-flow-based) way and includes modelling profit participation
schemes, dynamic increases or more general contract layers, as well as contract
changes.
• MortCast provides a function life.table to compute survival/death probabilities.

Mortality laws and prospective mortality models

• demography provides functions for demographic analysis including lifetable

calculations; Lee-Carter modelling; functional data analysis of mortality rates,
fertility rates, net migration numbers; stochastic population forecasting.
• HMDHFDplus allows to read Human Mortality Database and Human Fertility
Database Data from the Web in conjunction with demography.
• StMoMo implements of the family of generalised age-period-cohort stochastic
mortality models. This family of models encompasses many models proposed in the
actuarial and demographic literature including the Lee-Carter (1992) doi:
10.2307/2290201 and Cairns-Blake-Dowd (2006) doi:10.1111/j.
1539-6975.2006.00195.x models. It includes functions for fitting mortality models,
analysing their goodness-of-fit and performing mortality projections and simulations.

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• apc provides functions for age-period-cohort analysis. It can deal with: aggregate
data indexed by age-cohort, age-period or cohort-period, for which a GLM allow a
fit for 3, 2, 1 or 0 of the age-period-cohort factors; individual-level data for each of
age, period, and cohort for which a GLM allow to fit repeated cross-section model.
• MortalityTables provides classes to implement and plot cohort life tables for
actuarial calculations. In particular, birth-year dependent mortality tables using a
yearly trend to extrapolate from a base year are implemented, as well as period life
table, cohort life tables using an age shift, and merged life tables.
• StanMoMo implements of popular mortality models using the ‘rstan’ package, which
provides the R interface to the Stan C++ library for Bayesian estimation.
• MortCast provides estimation and projection methods for Kannisto and Lee-Carter
mortality models, as well as methods blending.
• MortalityLaws provides 27 parametric mortality distributions and construct full or
abridged life tables given various input indices.
• MortalityGaps provides methods for forecasting male/female life expectancy based
on analysis of the gap between male/female life expectancy in a country compared
with the record level of female life expectancy in the world.
• GPRMortality estimate Bayesian statistical models for estimating child and adult
mortality rates which its data likelihood is mortality rates from different data sources
such as: death registration system, Censuses or surveys.
• IBMPopSim allows the efficient simulation of a wide class of individual based
models where individuals are marked by their date of birth and a set of (discrete or
continuous) characteristics.
• WH provides an enhanced implementation of Whittaker-Henderson smoothing for
the gradation of one-dimensional and two-dimensional life insurance tables, based
on Biessy (2023) doi:10.48550/arXiv.2306.06932. Among other features, it
generalizes the original smoothing algorithm to maximum likelihood estimation,
automatically selects the smoothing parameter(s) and extrapolates beyond the range
of data.

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.

• ELT provides functions to build experience life tables for three methods: the
standardized mortality ratio, a semi-parametric relational model, a GLM Poisson
with interactions between age and calendar years.
• lemur allows the user to selected mortality changes over the entire lifespan or at
specific ages, as well as for overall mortality or for specific causes of death.

Life and pension reserving

• lifecontingencies for many life and pension computations.

• SimBEL allows to carry out Monte-Carlo simulation of asset-liability cashflows for
unit-linked insurance and retirement plans in France.

Non-life insurance

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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.

• Pioneer package actuar provides functions and data sets for actuarial science:
modeling of loss distributions; simulation of compound models, discrete mixtures
and compound hierarchical models. It support for many additional probability
distributions to model insurance loss size and frequency: 23 continuous heavy tailed
distributions (e.g. the Feller-Pareto family of distributions); the Poisson-inverse
Gaussian discrete distribution; zero-truncated and zero-modified extensions of the
standard discrete distributions as well as phase-type distributions.
• fitdistrplus provides a user-friendly function to fit discrete/continuous probability
distributions based on maximum likelihood estimation, quantile matching
estimation, moment matching estimation, etc. Starting values for numerical
algorithms for loss distributions of actuar are provided.
• mbbefd provides distributions that are typically used for exposure rating in general
insurance, in particular to price reinsurance contracts.
• OpVaR (archived) provides functions for computing the value-at-risk in compound
Poisson models. The implementation comprises functions for modeling loss
frequencies and loss severities with plain, mixed or spliced distributions using
maximum likelihood estimation and Bayesian approaches.
• NetSimR provides capped mean, exposure curves and increased limit factor curves
(ILFs) for lognormal, gamma, Pareto, sliced lognormal-Pareto and sliced gamma-
Pareto distributions.
• Delaporte provides probability mass, distribution, quantile, random-variate
generation, and method-of-moments parameter-estimation functions for the
Delaporte discrete distribution.

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.

• tweedie allows an alternative approach to model the aggregate claim amount directly
using a Tweedie model.
• insurancerating helps actuaries to implement GLMs with all relevant steps needed to
construct a risk premium from raw data. It provides a data driven strategy for the
construction of insurance tariff classes.

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

• actuar provides functions for credibility theory: cm is the unified front end for
credibility models fitting and supports hierarchical models with any number of levels
(with Bühlmann and Bühlmann-Straub models as special cases) and the regression

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model of Hachemeister. cm can also fit linear Bayes models, in which case usage is
much simplified.
• actuaRE allows to fit a random effects model using either the hierarchical credibility
model, a combination of the hierarchical credibility model with a generalized linear
model or a Tweedie generalized linear mixed model.

Claims reserving

• ChainLadder provides various statistical methods and models which are typically
used for the estimation of outstanding claims reserves in non-life insurance,
including those to estimate the claims development result as required under Solvency
II.
• clmplus implements the chain ladder model under the reverse time framework
introduced in Hiabu (2017) doi:10.1080/03461238.2016.1240709 and extensions that
add flexibility to the individual development factors modeling by allowing
practitioners to set their own hazard rate model.
• NetSimR provides functions that help model excess levels, capping and pure
incurred but not reported claims (pure IBNR) and includes calculating pure IBNR
exposure with lognormal and gamma distribution for reporting delay.

Ruin theory

• actuar provides infinite time ruin probability of Cramér-Lundberg and Sparre

Andersen models, using phase-type distributions including mixtures of exponentials,
Erlang and mixture of Erlang for both claim amount distribution and claim
interarrival times.
• ruin implements a collection of common models of risk processes in actuarial
science, represented as formal S4 classes. Each class (risk model) has a simulator of
its path, and a plotting function. Further, a Monte-Carlo estimator of a ruin
probability for a finite time is implemented, using a parallel computation. Currently,
the package extends two classical risk models Cramer-Lundberg and Sparre
Andersen models by including capital injections, that are positive jumps.

Claims generation

• SynthETIC creates an individual claims simulator which generates various features

of non-life insurance claims. An initial set of test parameters, designed to mirror the
experience of an Auto Liability portfolio, were set up and applied by default to
generate a realistic test data set of individual claims (see vignette). The simulated
data set then allows practitioners to back-test the validity of various reserving models
and to prove and/or disprove certain actuarial assumptions made in claims
modelling. The distributional assumptions used to generate this data set can be easily
modified by users to match their experiences.
• SPLICE is an extension of SynthETIC , to simulate the evolution of case estimates
of incurred losses through the lifetime of an insurance claim. The transactional
simulation output now comprises key dates, and both claim payments and revisions
of estimated incurred losses. An initial set of test parameters, designed to mirror the
experience of a real insurance portfolio, were set up and applied by default to
generate a realistic test data set of incurred histories.

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Reinsurance and extreme events

• ReIns follows the book “Reinsurance: Actuarial and Statistical Aspects” and
provides basic extreme value theory (EVT) estimators and graphical methods, EVT
estimators and graphical methods adapted for censored and/or truncated data,
Splicing of mixed Erlang distributions with EVT distributions, value-at-risk (VaR),
conditional tail expectation (CTE) and excess-loss premium estimates.
• ExtremeRisks provides a set of procedures for estimating risks related to extreme
events via risk measures such as expectile, value-at-risk, etc.

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

Risk measures

• actuar provides functions to compute value-at-risk and conditional tail expectation.

• ActuarialM computes actuarial measures such as expected shortfall and value-at-risk
using the Bell G family.
• atRisk provides actuarial measures such as expected shortfall and value-at-risk using
a non-parametric approach or a parametric fit (via Gaussian or skew-t distributions).

Miscellaneous

Data handling

• actuaryr contains functions to easily refer to the first or last (working) day within a
specific period relative to a base date to facilitate actuarial reporting and to compare
results.
• eiopaR provides EIOPA (European Insurance And Occupational Pensions Authority)
risk-free rates.
• actxps helps to prepare data, summarize results, and create reports via a dedicated S3
class Actuarial Experience Studies.

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.

• Australian database is available at AHMD

• Canadian database is available at CHMD
• French regional database is available at FRD
• Japan database is available at JMD
• United States database is available at USMD

Actuarial datasets

• CASdatasets provides a large variety of actuarial datasets, originally for the book
Computational Actuarial Science with R. Note that the package is not hosted on
CRAN but on github, at CNRS and UQAM.

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• raw organizes several sets of publicly available data of interest to non-life actuaries.
• insuranceData provides insurance datasets, which are often used in claims severity
and claims frequency modelling. It helps testing new regression models in those
problems, such as GLM, GLMM, HGLM, nonlinear mixed models.
• actuar provides functions to facilitate the generation of random variates from various
probability models commonly used in actuarial applications, such as discrete
mixtures and compound models where both the frequency and the severity
components can have a hierarchical structure.
• An individual claims generator for claims reserving studies is provided by Wang &
Wuethrich at IndividualClaimsSimulator.
• An individual claims history simulation machine for annual cashflows is provided by
Gabrielli & Wuethrich at IndividualClaimsHistory; see also simulationmachine.
• Cellar is a collection of community-curated open datasets for insurance analytics.
• DDPM provides some insurance-related datasets, some already in CASdatasets.

Documentation and online courses

• A collection of computer labs in R is provided by Antonio & Crevecoeur.

• A series of textbooks in French is proposed by Vincent Goulet, notably on credibility
theory, loss modeling, and numerical methods.
• FinancialMath contains financial math functions and introductory derivative
functions included in the Society of Actuaries and Casualty Actuarial Society
Financial Mathematics exam, and some topics in the Models for Financial
Economics exam.

See the view TeachingStatistics for usual documentation on teaching statistics.

Bibliography

Actuarial science using R references

• Charpentier, A., ed. (2014). Computational Actuarial Science with R, Chapman &
Hall/CRC. doi:10.1201/b17230
• Kaas, R., Goovaerts, M., Dhaene, J. & Denuit, M. (2008). Modern Actuarial Risk
Theory Using R, 2nd ed., Springer-Verlag. doi:10.1007/978-3-540-70998-5
• Bowers, N. L., Gerber, H. U., Hickman, J. C., Jones, D. A. & Nesbitt, C. J. (1997).
Actuarial Mathematics, The Society of Actuaries.
• Teugels, J. & Sundt, B. (2004). Encyclopedia of Actuarial Science, Vol. 1, John
Wiley & Sons. doi:10.1002/9780470012505

Life insurance references

• Dickson, D., Hardy, M. & Waters, H. (2013). Actuarial Mathematics for Life
Contingent Risks, 2nd ed., Cambridge University Press. doi:
10.1017/9781108784184
• Macdonald, A., Richard, S. & Currie, I. (2018). Modelling Mortality with Actuarial
Applications, Cambridge University Press. doi:10.1017/9781107051386

Non-life insurance references

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• Frees, E. (2009). Regression Modeling with Actuarial and Financial Applications,

International Series on Actuarial Science, Cambridge University Press. doi:10.1017/
CBO9780511814372
• Jong, P. D. & Heller, G. (2008). Generalized Linear Models for Insurance Data,
Cambridge University Press. doi:10.1017/CBO9780511755408
• Klugman, S., Panjer, H. & Willmot, G. (2019). Loss Models: From Data to
Decisions, 5th ed., John Wiley & Sons.

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

• CRAN Task View: Bayesian

• CRAN Task View: Distributions
• CRAN Task View: Econometrics
• CRAN Task View: Epidemiology
• CRAN Task View: ExtremeValue
• CRAN Task View: Finance
• CRAN Task View: MachineLearning
• CRAN Task View: Spatial
• CRAN Task View: Survival
• CRAN Task View: TeachingStatistics
• GitHub Project: CASdatasets
• GitHub Project: IndividualClaimsSimulator
• GitHub Project: lemur
• GitHub Project: SimBEL
• GitHub Project: simulationmachine

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