NAG and Actuarial Science

Numerical Libraries for complex actuarial computation

NAG provides numerical software and services to the actuarial science community in the form of an extensive mathematical and statistical library and through expert (and tailored) Numerical Services. The NAG Library provides advanced, accessible and reliable routines that enable the development of cutting edge risk models thus giving optimized solutions to complex problems. With 100s of routines for statistics, simulation, data mining, analytics, optimization and forecasting functions it is applicable to the following areas in actuarial science:

  • Survival models:
    • Cox regression
    • Kaplan-Meier estimator
    • Weibull
    • Exponential and extreme values
  • Statistical tests:
    • Kolmogorov-Smirnov, Anderson-Darling, chi-square, Wilcoxon and many more
  • Monte Carlo simulation
    • Pseudo- and Quasi-Random number generation
    • Simulation from copulas
    • Inverse distribution functions for major classes of distribution
    • Nearest Correlation Matrix
  • Risk analysis/loss functions:
    • Lognormal, gamma, beta - distribution functions
    • Fast Fourier Transform and inverse FFT
  • Proxy modelling:
    • Regression analysis
    • Curve and surface fitting
  • Time Series Analysis:
    • SARIMA
    • VARMA
    • GARCH, with various modifications
  • Analysis of risk factors:
    • Generalised linear models
    • Principal Component Analysis

More generally the NAG Library covers: Local and global optimization; Matrix functions; Nearest Correlation Matrix; Time series analysis; Linear Programming, Quadratic Programming, Non-linear programming; Regression; Survival analysis; Multivariate analysis; Ordinary differential equations; partial differential equations; Wavelets; Fourier transforms; Curve and surface fitting.

Inherently flexible; the NAG Library can be called from your development environments including Java, C, C++, .NET, Excel, VBA, R, Python and others. It is available with support for Microsoft Windows, Linux and Mac OSX operating systems.

Numerical Services from NAG - leverage the expertise behind the NAG Library

Numerical computing is the core of actuarial science methods making it a critical to be able to rely on your results and to develop a computing advantage over your competitors. NAG has delivered proven solutions in this area through its trusted Numerical Libraries for over 4 decades, and provides numerical services that deliver the expertise and experience behind the Libraries to developers and users of numerical computing applications.

NAG Numerical Services include:

  • Numerical Software and Algorithm Audit and Tuning
  • Custom Algorithm Development
  • Numerical Method Selection
  • Specialist Numerical and Parallel Code Training
  • Custom Numerical Projects

Recent Numerical Work:

  • NAG helped a pharmaceutical company deliver an analysis tool to run scenario analysis on complete product lifecycles. They needed robust and well tested methods.
  • A consumer products firm, with a focus on pricing models, used NAG to access some sophisticated regression techniques.
  • The financial systems division of a technology services company needed NAG to enhance key statistical models.
  • An analysis and pricing firm used NAG Numerical Services to help speed-up their application ten times.
  • A global consumer business came to NAG for advice on porting parts of numerical applications to GPUs and Co-processors
  • A precision engineering business had NAG verify their in-house algorithms

More on NAG's Numerical Services here.

Features & Benefits - NAG Libraries

Business Benefits Key Features
Speed up application development Thread Safety
  • Developing routines is time consuming and costly; using NAG software saves time and reduces maintenance costs.
  • Expand the capability of existing or new applications involving numerical computation
NAG has produced a collection of thread-safe routines allowing developers of multi-threaded applications to have complete confidence in the product.
Using NAG products: Flexibility
  • Leads to more effective, faster prototyping
  • Improves application robustness
  • Reduces key person dependency
  • Allows more time to concentrate on the specialist aspects of your application
The structure of NAG's software enables you to employ some of the world's most widely used numerical algorithms, whatever your application or program – C/C++, Excel, VB, Java, Python, etc.
  Expert Technical Support
  By subscribing to NAG's dedicated in-house Customer Support Service, not only will you receive product updates which include new and enhanced functionality, but you can contact NAG experts who will assist with your technical queries of difficulties. NAG's support service is provided by the Numerical Libraries and Services team members so advice comes from the very people that write, develop and document NAG routines and consultancy projects.
  Extensive Availability
  NAG’s software is available across a wide range of machines – whether you use a PC, workstation or an HPC system.
  Each routine in the software is tested on each of the machine ranges for which the software is available. Only when an implementation satisfies our stringent accuracy standards is it released.