The 21st International Congress on Insurance: Mathematics and Economics (IME 2017), scheduled July 3-5 2017, is one of the largest international meeting series in actuarial science. The aim of the conference is to strengthen communication between individuals and groups who produce and apply research results in insurance and finance, aiming to integrate the currently fragmented research in both fields.
The numerical and computational aspects play an ever increasing role in the risk modeling and evaluation process. The Computational Actuarial Science with R workshop aims to improve the general programming skills of the participants and to expand their knowledge of R for quantitative risk analysis.
2.1 (release notes)
Part 1: R programming
- Presentation of R
- Fundamentals of R programming
- Data types
- Mapping functions
- Control structures
- Elements of floating point arithmetic
Part 2: Case study
- Data import
- Data selection and subsetting
- Modeling using maximum likelihood estimation
- Simulation of compound models and discrete mixtures
- Computation of the value-at-risk and tail value-at-risk
A base knowledge of R and standard statistical and actuarial procedures is assumed.
Participants must bring their own laptop to the workshop with the following software installed:
the most recent version of R;
the workshop documentation (uncompress the
.ziparchive in any directory).
Author and speaker
Vincent Goulet, professor, École d’actuariat, Université Laval.