Actuarial science with R


This course considers that students have a first experience in R, we can refresh our memory with 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.