Computational actuarial science with R. (English) Zbl 1293.91002

Chapman & Hall/CRC The R Series. Boca Raton, FL: CRC Press (ISBN 978-1-4665-9259-9/hbk; 978-1-138-03378-8/pbk; 978-1-4665-9260-5/ebook). xxxi, 618 p. (2015).

Publisher’s description: This book 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) from CRAN.

MSC:

91-01	Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
91B30	Risk theory, insurance (MSC2010)
91-04	Software, source code, etc. for problems pertaining to game theory, economics, and finance
91-08	Computational methods for problems pertaining to game theory, economics, and finance
91B84	Economic time series analysis
91G10	Portfolio theory
91G30	Interest rates, asset pricing, etc. (stochastic models)
91G60	Numerical methods (including Monte Carlo methods)

Keywords:

actuarial science; modeling stock prices; nonlinear time series; yield curves; interest rates; portfolio optimization

Software:

quantreg; R; rpy2; lme4; MatrixModels; mapReduce; ColByCol; Tinn-R; JGR; rpartOrdinal; plyr; RgoogleMaps; CASdatasets; VGAM; PROC_R; nlme; RODBC; foreign; Hadoop; RStudio; CRAN; sqldf