I continue my Stan experiments with another insurance example. Here I am particular interested in the posterior predictive distribution from only three data points. Or, to put it differently I have a customer of three years and I'd like to predict the expected claims cost for the next year to ...

Suppose you have to predict the probabilities of events which haven't happened yet. How do you do this?Here is an example from the 1950s when Longley-Cook, an actuary at an insurance company, was asked to price the risk for a mid-air collision of two p...

The programme for the 3rd R in Insurance conference is on-line. The event will take place on 29 June 2015 at the University of Amsterdam. Time to register now. Special thanks to our sponsors, without whom the conference wouldn't be possible: CYBAEA, RS...

Last week I mentioned the grid.arrange function of the gridExtra package that allows me to combine graphical grid objects onto one page. The latticeExtra package provides another elegant solution for trellis (lattice) plots: the function c.trellis() or...

Occasionally I'd like to plot a table alongside a chart in R, e.g. to present summary statistics of the graph itself. Thanks to the gridExtra package this is quite straightforward. The function tableGrob creates a table like plot of a data frame, while...

ChainLadder is an R package that provides statistical methods and models for claims reserving in general insurance.With version 0.2.0 we added new functions to estimate the claims development result (CDR) as required under Solvency II. Special thanks to Alessandro Carrato, Giuseppe Crupi and Mario Wüthrich who have contributed code ...

I have experimented with reading an Arduino signal into R in the past, using Rserve and Processing. Actually, it is much easier. I can read the output of my Arduino directly into R with the scan function. Here is my temperature sensor example again:And all it needs to read ...

Last week's post about the Kalman filter focused on the derivation of the algorithm. Today I will continue with the extended Kalman filter (EKF) that can deal also with nonlinearities. According to Wikipedia the EKF has been considered the de facto standard in the theory of nonlinear state estimation, navigation ...