Computation of the aggregate claim amount distribution using R and actuar

Abstract

Actuar is a package providing additional Actuarial Science functionality to the R statistical system. This paper presents the features of the package targeted at risk theory calculations. Risk theory refers to a body of techniques to model and measure the risk associated with a portfolio of insurance contracts. The main quantity of interest for the actuary is the distribution of total claims over a fixed period of time, modeled using the classical collective model of risk theory. actuar provides functions to discretize continuous distributions and to compute the aggregate claim amount distribution using many techniques, including the recursive method and simulation. The package also provides various plotting and summary methods to ease working with aggregate models. © Springer-Verlag Berlin Heidelberg 2010.