Modern Actuarial Risk Theory -- Using R

Rob Kaas
  University of Amsterdam, The Netherlands
Marc Goovaerts (†2018)
  Formerly Catholic University of Leuven, Belgium
  and University of Amsterdam, The Netherlands
Jan Dhaene
  Catholic University of Leuven, Belgium
Michel Denuit
  Catholic University of Louvain-la-Neuve, Belgium

Contents: Foreword. Preface. 1. Utility theory and insurance. 2. The individual risk model. 3. Collective risk models. 4. Ruin theory. 5. Premium principles. 6. Bonus-malus systems. 7. Ordering of risks. 8. Credibility theory. 9. Generalized linear models. 10. IBNR techniques. 11. More on GLMs. Appendices: The 'R' in Modern ART, Hints for the exercises, Notes and references, Tables, Index.

Book cover Modern A.R.T. - Using R

Modern Actuarial Risk Theory -- Using R is a textbook about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective model and basic ruin theory. Other topics are risk measures and premium principles, bonus-malus systems, ordering of risks and credibility theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems.
As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics.
The second and much expanded edition emphasizes the implementation of these techniques through the use of R.

R is a free software environment for statistical computing and graphics, available on a wide variety of platforms. To download, visit its homepage.
This free but powerful software is rapidly developing into the de facto standard for statistical computation, not just in academic circles but also in practice. With R, one can do simulations, find maximum likelihood estimators, compute distributions by inverting transforms, and much more.

Versions in other languages The first edition of Modern Actuarial Risk Theory appeared in 2001. It is available in Chinese and Russian. The second edition (2008) is available in Chinese as well as Farsi.

Internet pages associated with the use of this book:

Support for teachers Solutions to most of the exercises in the book are available for teachers. Also, my own slides for classroom use are available. Both are in the form of pdf-files with more than 500 slides each for use with a multimedia projector.
To get these files, contact us, adding some details like a homepage of yourself or of your institute, and information about the course for which you intend to use the book.
The files, though still useful, contain the slides as they were before I switched to using LaTeX's beamer class.

Feedback The authors very much appreciate getting feedback about the book. Is anything unclear, forgotten, just plain wrong, or clumsily done? Please let us know, as there might be updated versions of the book in the future. If you have good things to say, you are welcome as well.

Page maintained by Rob Kaas.
Latest update of this page: July 2018