Blog about F# for Actuarial ModellingThis blog will include a series of posts on the use of F# for Actuarial modelling. This will include the development of useful libraries of code and how best to leverage related libraries and tools.
What is F#?According to Wikipedia:
"F# is an open-source, strongly typed, multi-paradigm programming language encompassing functional, imperative and object-oriented programming techniques.Key items are both the backing for this language from Microsoft, but also from the open source community. The functional programming features include treating functions as values and supporting higher order functions (which take other functions as arguments), by default having variables set as immutable and supporting lazy evaluation.
F# is developed by the F# Software Foundation, Microsoft and open contributors. An open source, cross-platform edition of F# is available from the F# Software Foundation. F# is also a fully supported language in Visual Studio.
F# originated as a variant of ML and has been influenced by OCaml, C#, Python, Haskell, Scala and Erlang."
Why F#?The functional programming features encourage the creation of concise mathematical code, very suitable for actuarial use.
The language also readily supports developing code that can run concurrently, very useful given the typical high performance requirements for actuarial modelling.
As F# is a .NET language, it can readily leverage the many libraries available in this environment, such as those created for mathematical, statistical and financial modelling.
How to get F#?F# is available in a variety of environments, including a number of free of charge options. Please see these links on the F# Software Foundation site:
Blog MaterialThe initial series of blog posts will cover modelling of Life Contingencies, used in Life Insurance, Health Insurance and Pensions modelling.
The standard textbook that will be referred to will be:
Actuarial Mathematics for Life Contingent Risks by Dickson, Hardy and Waters
The code with be developed using MS Visual Studio 2012. Many of the examples will by presented using MS Excel 2010. To support this, we will use FCell, an F# tool developed by StatFactory.