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Www.guycarp.com Introduction to R! for Actuaries Histograms R! Working Party Avraham Adler, FCAS, MAAA.

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1 Introduction to R! for Actuaries Histograms R! Working Party Avraham Adler, FCAS, MAAA

2 1 Guy Carpenter Introduction to R! for Actuaries Histograms It is often useful to view histograms of loss severity on both regular and logged scales There are many ways to do so using R! Following are two methods, one using the MASS package and the other using the more sophisticated ggplot2 package R! code will be displayed in Courier New font, and can be copied directly into R! to generate results R! text outputs will be displayed in blue-colored Courier New

3 2 Guy Carpenter Histograms Generating losses For demonstration purposes, the actuar package will be used to generate a suite of losses Fixing the initial random seed ensures reproducibility set.seed(216) library(actuar) Claims<-rgenpareto(n=1000, shape1=2.7, shape2=1.4, scale=1e6) summary(Claims) Min. 1st Qu. Median Mean 3rd Qu. Max

4 Histograms Using MASS

5 4 Guy Carpenter Using MASS Introduction and R! Code The MASS package has some simple, but useful formulæ to generate histograms library(MASS) par(mfrow=c(2,1)) truehist(Claims) lines(density(Claims), col="red", lwd=2) truehist(log10(Claims)) lines(density(log10(Claims)), col="red", lwd=2)

6 5 Guy Carpenter Using MASS Results

7 Histograms Using ggplot2

8 7 Guy Carpenter Using ggplot2 Introduction The ggplot2 package is both much more complicated and powerful ggplot2 requires data frames and not merely vectors The initial plot is created, and then layers are added or adjusted Viewports are used to show multiple plots on the same device The plot including histogram and density will be created first, and then a new scale can be overlaid on it for the second version

9 8 Guy Carpenter Using ggplot2 R! Code library(ggplot2) ClaimsDF<-data.frame(Claims) Hist<-ggplot(ClaimsDF, aes(x=Claims)) Hist1<-Hist + geom_histogram(aes(y=..density..), colour="black", fill="dodgerblue") + stat_density(color="red", size=1, geom="line") Hist2<-Hist1+scale_x_log10() vplayout <- function(x, y) viewport(layout.pos.row=x, layout.pos.col=y) grid.newpage() pushViewport(viewport(layout=grid.layout(2,1))) print(Hist1, vp=vplayout(1,1)) print(Hist2, vp=vplayout(2,1))

10 9 Guy Carpenter Using ggplot2 Results

11 10 Guy Carpenter Histograms References Dutang, C.; Goulet, V. & Pigeon, M. actuar: An R Package for Actuarial Science. Journal of Statistical Software (2008) R Development Core Team. R: A language and environment for statistical computing. R Foundation for Statistical Computing:Vienna, Austria Venables, W. N. & Ripley, B. D. Modern Applied Statistics with S. New York:Springer-Verlag, 2002 Wickham, H., ggplot2: Elegant Graphics for Data Analysis. New York:Springer Science+Business Media, Inc., 2009

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