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Following the successful 3rd R in Insurance conference in Amsterdam last year, we return to London this year.The registration for the 4th conference on R in Insurance on Monday 11 July 2016 at Cass Business School has opened. This one-day conference will focus again on applications in insurance and actuarial science ... [Read more...]

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I had the great pleasure time to attend the Warsaw R meetup last Thursday. The organisers Olga Mierzwa and Przemyslaw Biecek had put together an event with a focus on R in Insurance (btw, there is a conference with the same name), discussing examples of pricing and reserving in general ... [Read more...]

I continue with the growth curve model for loss reserving from last week's post. Today, following the ideas of James Guszcza [2] I will add an hierarchical component to the model, by treating the ultimate loss cost of an accident year as a random effect. Initially, I will use the nlme ... [Read more...]

Last week I posted a biological example of fitting a non-linear growth curve with Stan/RStan. Today, I want to apply a similar approach to insurance data using ideas by David Clark [1] and James Guszcza [2].Instead of predicting the growth of dugongs (sea cows), I would like to predict the ... [Read more...]

I suppose the go to tool for fitting non-linear models in R is nls of the stats package. In this post I will show an alternative approach with Stan/RStan, as illustrated in the example, Dugongs: "nonlinear growth curve", that is part of Stan's documentation. The original example itself is ... [Read more...]

We released version 0.2.2 of ChainLadder a few weeks ago. This version adds back the functionality to estimate the index parameter for the compound Poisson model in glmReserve using the cplm package by Wayne Zhang. Ok, what does this all mean? I will run through a couple of examples and look ... [Read more...]

Last Friday the Cologne R user group came together for the 15th time. Since its inception over three years ago the group evolved from a small gathering in a pub into an active data science community, covering wider topics than just R. Still, R is the link and clue between ... [Read more...]

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It seems the summer is coming to end in London, so I shall take a final look at my ice cream data that I have been playing around with to predict sales statistics based on temperature for the last couple of weeks [1], [2], [3].Here I will use the new brms (GitHub, ... [Read more...]

Last week I presented visualisations of theoretical distributions that predict ice cream sales statistics based on linear and generalised linear models, which I introduced in an earlier post.Theoretical distributionsToday I will take a closer look at t... [Read more...]

Two weeks ago I discussed various linear and generalised linear models in R using ice cream sales statistics. The data showed not surprisingly that more ice cream was sold at higher temperatures.

icecream   temp=c(11.9, 14.2, 15.2, 16.4, 17.2, 18.1, <br>         18.5, 19.4, 22.1, 22.6, 23.4, 25.1),<br>  units=c(185L, 215L, 332L, 325L, 408L, 421L, <br>          406L, 412L, 522L, 445L, 544L, 614L)<br>)

I used a linear model, a log-transformed linear model, a Poisson and Binomial generalised linear model to ... [Read more...]

Linear models are the bread and butter of statistics, but there is a lot more to it than taking a ruler and drawing a line through a couple of points.Some time ago Rasmus Bååth published an insightful blog article about how such models could be described from a ... [Read more...]

Photo: Arthur CharpentierThe R in Insurance conference in Amsterdam was a sold out success! Congratulations to the organising committee at the University of Amsterdam, and many thanks to our sponsors:Milliman, RStudio, CYBAEA, Deloitte, a.s.r., Triple ... [Read more...]

Over the weekend we released version 0.2.1 of the ChainLadder package for claims reserving on CRAN. New FeaturesNew function PaidIncurredChain by Fabio Concina, based on the 2010 Merz & Wüthrich paper Paid-incurred chain claims reserving methodFunctions plot.MackChainLadder and plot.BootChainLadder gained new argument which, allowing users to specify which sub-plot to ... [Read more...]

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Last Friday the Cologne R user group came together for the 14th time, and for the first time we met at Startplatz, a start-up incubator venue. The venue was excellent, not only did they provide us with a much larger room, but also with the whole infrastructure, including table-football and ... [Read more...]

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