CAS Open Source Software

Hi all,

After expressing interest in contributing to the open source committee on the CAS volunteer survey I was contacted by Ben Escoto and said I would be willing to write a blog post about a project I did in R.

I work in reinsurance as a pricing actuary and we are always comparing experience and exposure for different excess layers. For casualty business, ALAE usually contributes a significant amount of excess layer losses. Most actuaries are probably familiar with the default assumption of ALAE = a fixed percentage of indemnity for all sizes of loss. After noticing how bad the exposure estimate was in layers heavily driven by ALAE (for example, a layer directly above a common primary policy limit)

I decided to do some research and found many publications on copula models for ALAE. My blogpost has a bibliography and all these sources are referenced there. The purpose of the blogpost is just to detail the R implementation I programmed and provide the code and auxiliary files. The model is certainly better and I hope the code provided can make it more practically accessible. I attached files to the blog, the code in a txt and all the upload and download csv files and some images.

If you're interested it needs a few additional reviewers. Thanks!

Just a reminder everyone, we need some people to sign up to review our two sample blog posts. We need:

• Two people (other than Greg) to sign up to review my blog post on dplyr.
• One more person to sign up review Greg's post on modeling copulas.

You can sign up by putting your name down on the Committee Business wiki page. As it says on that page, once we have a few reviewers (and the reviewers have had a chance to review) we'll have a call with the reviewers and author.

This is a good way to learn something while still providing some value for other actuaries.