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ReservingPackage

Page history last edited by PBworks 16 years, 2 months ago

Reserving Package in R

 

We are attempting to set up a reserving package in R so that actuaries can play with new methodologies as they are published.

 

 

Richard's comments on project planning

 

  • reserving - from Markus Gesmann. He started developing some of the standard actuarial tools (Mack-Chain-Ladder, Munich-Chain-Ladder, Bootstrap) in late 2003, early 2004, hopefully we can build on this. See documentation, examples, and the reserving_0.1-3.zip package for R-2.2.0 and higher for MS Windows Reserving suggests the following packages: boot, Hmisc, lattice, MASS, and grid. MG had some new ideas to use the inbuild modeling functionalty of R, which are presented here. These ideas resulted than in the ChainLadder package. More informatio here: ChainLadder on CRAN
  • Nigel de Silva presented some further ideas in one of our RSouls meetings, see here
  • actuar - package by Vincent Goulet and Sébastien Auclair (Canada) - Collection of functions related to actuarial science applications, namely credibility theory and risk theory.

Please see as well the Rtoolkit and Rsouls sites.

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