R programming for actuarial science / Peter McQuire, Alfred Kume.
By: McQuire, Peter [author.]
Contributor(s): Kume, Alfred [author.]
Language: English Publisher: Hoboken, NJ : John Wiley & Sons Ltd, ©2024Description: 1 online resource : illustrationsContent type: text Media type: computer Carrier type: online resourceISBN: 9781119754978; 9781119754992; 1119754992; 9781119754985; 1119754984; 9781119755005; 111975500XSubject(s): R (Computer program language) | Actuarial scienceGenre/Form: Electronic books.DDC classification: 368/.0102855133 LOC classification: QA276.45.R3 | M38 2024ebOnline resources: Full text is available at Wiley Online Library Click here to view| Item type | Current location | Home library | Call number | Status | Date due | Barcode | Item holds |
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COLLEGE LIBRARY | COLLEGE LIBRARY | 368/.0102855133 (Browse shelf) | Available |
Includes bibliographical references and index.
Table of Contents
About the Companion Website xxi
Introduction 1
1 R : What You Need to Know to Get Started 9
2 Functions in R 33
3 Financial Mathematics (1): Interest Rates and Valuing Cashflows 45
4 Financial Mathematics (2): Miscellaneous Examples 63
5 Fundamental Statistics: A Selection of Key Topics -- Dr A Kume 87
6 Multivariate Distributions, and Sums of Random Variables 139
7 Benefits of Diversification 147
8 Modern Portfolio Theory 155
9 Duration -- A Measure of Interest Rate Sensitivity 171
10 Asset-Liability Matching: An Introduction 177
11 Hedging: Protecting Against a Fall in Equity Markets 187
12 Immunisation -- Redington and Beyond 195
13 Copulas 211
14 Copulas -- A Modelling Exercise 237
15 Bond Portfolio Valuation: A Simple Credit Risk Model 247
16 The Markov 2-State Mortality Model 259
17 Approaches to Fitting Mortality Models: The Markov 2-state Model and an Introduction to Splines 273
18 Assessing the Suitability of Mortality Models: Statistical Tests 295
19 The Lee-Carter Model 311
20 The Kaplan-Meier Estimator 329
21 Cox Proportionate Hazards Regression Model 339
22 Markov Multiple State Models: Applications to Life Contingencies 351
23 Contingencies I 383
24 Contingencies II 403
25 Actuarial Risk Theory -- An Introduction: Collective and Individual Risk Models 447
26 Collective Risk Models: Exercise 473
27 Generalised Linear Models: Poisson Regression 481
28 Extreme Value Theory 501
29 Introduction to Machine Learning: k-Nearest Neighbours (kNN) 513
30 Time Series Modelling in R -- Dr A Kume 523
31 Volatility Models -- GARCH 551
32 Modelling Future Stock Prices Using Geometric Brownian Motion: An Introduction 571
33 Financial Options: Pricing, Characteristics, and Strategies 585
Index 605
"The purpose of this chapter is to introduce the fundamentals of the R programming language, and the basic tools you will need to use this book; it is therefore an important chapter for readers new to R. The reader is advised, following reading this chapter, to proceed to Chapter 2 which, together with this chapter, forms our introduction to programming in R. R is an exceptional statistical computing tool which is increasingly used by researchers and students in many disciplines. R is an open-source language which one can use without purchasing a licence, and contribute to solving problems within the vast R community."-- Provided by publisher.
About the Author
Peter McQuire, FIA, is a Lecturer in Actuarial Science at the University of Kent. He has 18 years of experience in pension scheme consultancy and risk management, and more than 10 years teaching at the University. He is a Fellow of the Institute and Faculty of Actuaries.
Dr. Alfred Kume is a Senior Lecturer in Statistics at the University of Kent with more than 20 years of teaching experience and exposure to general insurance.
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