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>.
| Version: |
0.1.2 |
| Depends: |
R (≥ 4.1.0) |
| Imports: |
dplyr, dtplyr, forcats, furrr, future, gamlss.dist, ggplot2, ggtext, grDevices, MASS, pracma, progress, purrr, rlang, scales, stats, tidyr, yardstick |
| Suggests: |
spelling |
| Published: |
2026-03-04 |
| DOI: |
10.32614/CRAN.package.actuary (may not be active yet) |
| Author: |
Andrew Wilson [aut, cre, cph] |
| Maintainer: |
Andrew Wilson <andrewm.wilson at gmail.com> |
| BugReports: |
https://github.com/andrewwilson201/actuary/issues |
| License: |
MIT + file LICENSE |
| NeedsCompilation: |
no |
| Language: |
en-US |
| Materials: |
NEWS |
| CRAN checks: |
actuary results |
Documentation:
Downloads:
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