CAS Annual Meeting 2008 Loss Reserving with R Markus Gesmann, Lloyd’s of London Vincent Goulet, Université Laval Daniel Murphy, Trinostics November 18, 2008 Agenda  Introduction to R (15min) Vincent  The actuar package (15min) Vincent  Exchanging data between R and Excel (10min) Dan  The ChainLadder package (30min) Markus  The copula package (5min) Dan  Q&A (15min) 2 CAS Annual Meeting 2008 Introduction to R and actuar Vincent Goulet Université Laval November 18, 2008 R ?  R is a language and environment for statistical computing and graphics  Free/Open Source implementation of S  R is not unlike S-PLUS  Some important differences, but most code written for S-PLUS runs unaltered in R  Designed around a true programming language  Comprehensive statistical system 3 The R Programming Language Strong mathematical orientation Inspired by APL and Lisp  Extensive suite of operators for calculations on vectors and arrays Rapid development Allows users to add functionality C, C++ and Fortran code can be linked and called at run time 4 The Statistical System Integrated software facilities for data manipulation, calculation and graphical display Extensive collection of tools for data analysis Outstanding graphical facilities 5 Other Advantages Very active project High quality and cutting edge code Open for everyone to contribute Runs on Windows, Linux/Unix and MacOS Free 6 R is Like Guiness 7 R Package Coherent collection of functions, data sets and documentation Distributed through the Comprehensive R Archive Network (CRAN) actuar: tools typically used in Actuarial Science ChainLadder: loss reserving using the chain-ladder method 8 Fields Currently Covered by actuar Loss distributions modeling Risk and ruin theory Simulation of compound hierarchical models Credibility theory 9