The purpose of the CAS’s Open-Source Software Committee is to make advanced open-source reserving, ratemaking, and predictive modeling procedures available, accessible and of practical value to a wider audience. The Committee will foster the development of tutorials, procedures, and educational resources, and is working with the CAS professional education committees to share the information with CAS members.
The Committee has focused its initial efforts on R, the open-source statistical package. If you’re new to statistical software, R provides, for free, some of the functionality of SAS and other statistical programs. These programs allow you to more easily implement statistical methods in your work.
R is easy to download and install on your computer – just go to www.r-project.org and you can have it running in less than five minutes.
You can also download specialized packages that are relevant to casualty actuarial work. One popular package is the Chain Ladder package.
The Committee is developing a wiki dedicated to the casualty actuarial applications of R, where you can find a script that will demonstrate the various functions of the Chain Ladder package. These include the Mack Chain Ladder, Boot Chain Ladder, and the Munich Chain Ladder.
None of this is very difficult; a file format is provided, which you can easily use for your own loss triangles. Simply run the code to see the functionality, which includes graphs and variance estimates for your reserves.
The Open-Source Software Committee is interested in your feedback on our wiki. Are there any topics you’d like us to address? Please leave a reply below.