P&C Insurance: Pricing

All the scripts of the UseR sessions are available here.

Required Software

• R (at least 4.0.0 https://cloud.r-project.org/bin/windows/base/ )
• RStudio ( https://www.rstudio.com/products/rstudio/download/#download )
• For Windows, Rtools : https://cran.r-project.org/bin/windows/Rtools/ (Make sure to check the box add to path when installing Rtools)
• For Mac: No extra compilator should be required = Nothing else to do.

Please run the following script in your R session to install all the required packages. Make sure Rtools (Windows) has been installed previously.

Start with the package containing datasets. If there is a query to install from source, answer "y" (yes).

if (!require("sp")) install.packages("sp")
if (!require("xts")) install.packages("xts")
if (!require("CASdatasets")) install.packages("CASdatasets", repos = "http://cas.uqam.ca/pub/", type="source")

require("CASdatasets")

If the installation succeeded, the following lines should load a dataset and show the first six lines.

data("freMTPLfreq")
head(freMTPLfreq)

##   PolicyID ClaimNb Exposure Power CarAge DriverAge
## 1        1       0     0.09     g      0        46
## 2        2       0     0.84     g      0        46
## 3        3       0     0.52     f      2        38
## 4        4       0     0.45     f      2        38
## 5        5       0     0.15     g      0        41
## 6        6       0     0.75     g      0        41
##                                Brand     Gas Region Density
## 1 Japanese (except Nissan) or Korean  Diesel    R72      76
## 2 Japanese (except Nissan) or Korean  Diesel    R72      76
## 3 Japanese (except Nissan) or Korean Regular    R31    3003
## 4 Japanese (except Nissan) or Korean Regular    R31    3003
## 5 Japanese (except Nissan) or Korean  Diesel    R52      60
## 6 Japanese (except Nissan) or Korean  Diesel    R52      60

Then, we can install and load all the other packages.

if (!require("Rcpp")) install.packages("Rcpp")
if (!require("zoo")) install.packages("zoo")
if (!require("caret")) install.packages("caret")
if (!require("mgcv")) install.packages("mgcv")
if (!require("plyr")) install.packages("plyr")
if (!require("gridExtra")) install.packages("gridExtra")
if (!require("visreg")) install.packages("visreg")
if (!require("MASS")) install.packages("MASS")
if (!require("plotrix")) install.packages("plotrix")
if (!require("lme4")) install.packages("lme4")
if (!require("glmnet")) install.packages("glmnet")
if (!require("parallel")) install.packages("parallel")
if (!require("devtools")) install.packages("devtools")
if (!require("rpart")) install.packages("rpart")
if (!require("rpart.plot")) install.packages("rpart.plot")
if (!require("randomForest")) install.packages("randomForest")
if (!require("reshape2")) install.packages("reshape2")

require("Rcpp")
require("mgcv")
require("caret")
require("gridExtra")
require("plyr")
require("visreg")
require("MASS")
require("plotrix")
require("lme4")
require("glmnet")
require("parallel")
require("devtools")
require("rpart")
require("rpart.plot")
require("reshape2")

install_github("gbm-developers/gbm3")
install_github("fpechon/rfCountData")
require("gbm3")
require("rfCountData")