ENSAE Paris - École d'ingénieurs pour l'économie, la data science, la finance et l'actuariat

R language in Actuarial science



Department: Finance


This course considers that students have a first experience in R, we can refresh our memory with https://nicolasbaradel.fr/enseignement/ressources/cours_r.pdf. The beginning of the course solidifies the basics while learning vector language techniques in order to program efficiently. This is followed by various practical cases of using R in finance and actuarial sciences. Finally, we discuss the use of simple C compiled code with R to speed up certain programs. Knowledge of C is not a prerequisite.
At the end of this course, students should be able to carry out an R project in the topics covered.


1. Efficient R programming (including reminders of R structures)
2. R in Finance: Simulation of stochastic processes, simple asset valuation by Monte Carlo (using the simulation previously done)
3. R in property and casualty insurance: Underwriting and provisioning
4. R in life insurance: Life table estimate
5. Use compiled C code to speed up R


Charpentier A. (2014), Computational Actuarial Science with R, Chapman and Hall/CRC.
Baradel N.  (2015), Langage R : Application à la Statistique, à l'Actuariat et à la Finance.