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https://github.com/open-source-modelling/insurance_python
All Python algorithms published by Open Source Modelling in one place.
https://github.com/open-source-modelling/insurance_python
actuarial actuarial-modeling actuarial-statistics algorithms bisection-method bootstrap calibration capital-markets hull-white insurance life-insurance python risk risk-analysis risk-management risk-models smith-wilson solvency2 stationary stationary-bootstrap
Last synced: about 2 months ago
JSON representation
All Python algorithms published by Open Source Modelling in one place.
- Host: GitHub
- URL: https://github.com/open-source-modelling/insurance_python
- Owner: open-source-modelling
- License: mit
- Created: 2021-12-11T16:18:02.000Z (about 3 years ago)
- Default Branch: main
- Last Pushed: 2024-11-14T20:48:04.000Z (about 2 months ago)
- Last Synced: 2024-11-14T21:32:33.316Z (about 2 months ago)
- Topics: actuarial, actuarial-modeling, actuarial-statistics, algorithms, bisection-method, bootstrap, calibration, capital-markets, hull-white, insurance, life-insurance, python, risk, risk-analysis, risk-management, risk-models, smith-wilson, solvency2, stationary, stationary-bootstrap
- Language: Jupyter Notebook
- Homepage: https://www.linkedin.com/company/open-source-modelling
- Size: 51.6 MB
- Stars: 36
- Watchers: 6
- Forks: 4
- Open Issues: 6
-
Metadata Files:
- Readme: README.md
- License: LICENSE
- Code of conduct: CODE_OF_CONDUCT.md
Awesome Lists containing this project
- jimsghstars - open-source-modelling/insurance_python - All Python algorithms published by Open Source Modelling in one place. (Jupyter Notebook)
README
🐍 Actuarial models in Python 🐍
Collection of useful models that actuaries can use to speed up their tasks.
## Algorithms available
| Algorithm | Source | Description |
| -------------------------| ----------------------------------- | ----------------------------------------------------------------------------- |
| [Smith_Wilson] | [Technical-documentation] | Interpolation and extrapolation of missing interest rates. |
| [Stationary_boot_calib] | [Whitepaper-2004] | Automatic calibration of the stationary bootstrap algorithm. |
| [Stationary_bootstrap] | [Politis-Romano-1994] | Resampling procedure for weakly dependent stationary observations. |
| [Calibration_of_alpha] | [Technical-documentation] | Calibration of the Smith & Wilson's alpha parameter. |
| [Correlated Brownian] | [Wiki Brownian motion] | Simple function to generate correlated Brownian motion in multiple dimensions.|
| [Nel_Si_Svansson] | [BIS whitepaper] | Nelson-Siegel-Svansson model for approximating the yield curve. |
| [Black_Scholes] | [Wiki Black&Sholes] | Black&Scholes model for pricing option contracts. |
| [Vasicek one factor] | [Wiki Vasicek] | Vasicek model for modelling the evolution of interest rates. |
| [Vasicek two factor] | [Wiki Vasicek] | Vasicek model for modelling the evolution of a pair of interest rates. |
| [1F Hull White] | [Wiki Hull White] | One factor Hull White model of short rates. |
| [Dothan one factor] | [Quant Exchange] | One factor Dothan model of short rates. |
[Quant Exchange]:https://quant.stackexchange.com/questions/16017/for-the-dothan-model-eqbt-infty
[Dothan one factor]:https://github.com/open-source-modelling/insurance_python/tree/main/dothan_one_factor
[Wiki Hull White]:https://en.wikipedia.org/wiki/Hull%E2%80%93White_model
[1F Hull White]:https://github.com/open-source-modelling/insurance_python/tree/main/hull_white_one_factor
[Smith_Wilson]: https://github.com/open-source-modelling/insurance_python/tree/main/smith_wilson
[Technical-documentation]: https://www.eiopa.europa.eu/sites/default/files/risk_free_interest_rate/12092019-technical_documentation.pdf
[Stationary_boot_calib]: https://github.com/open-source-modelling/insurance_python/tree/main/stationary_bootstrap_calibration
[Whitepaper-2004]: http://public.econ.duke.edu/~ap172/Politis_White_2004.pdf
[Stationary_bootstrap]: https://github.com/open-source-modelling/insurance_python/tree/main/stationary_bootstrap
[Politis-Romano-1994]: https://www.jstor.org/stable/2290993
[Calibration_of_alpha]: https://github.com/open-source-modelling/insurance_python/tree/main/bisection_alpha
[Correlated Brownian]: https://github.com/open-source-modelling/insurance_python/tree/main/correlated_brownian_motion
[Wiki Brownian motion]: https://en.wikipedia.org/wiki/Brownian_motion
[Nel_Si_Svansson]: https://github.com/open-source-modelling/insurance_python/tree/main/nelson_siegel_svansson
[BIS whitepaper]: https://www.bis.org/publ/bppdf/bispap25l.pdf
[Black_Scholes]: https://github.com/open-source-modelling/insurance_python/tree/main/black_sholes
[Wiki Black&Sholes]: https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model
[Vasicek one factor]: https://github.com/open-source-modelling/insurance_python/tree/main/vasicek_one_factor
[Wiki Vasicek]: https://en.wikipedia.org/wiki/Vasicek_model
[Vasicek two factor]: https://github.com/open-source-modelling/insurance_python/tree/main/vasicek_two_factor
## Algorithms planned
| Algorithm | Source | Description |
| ---------------------- | ----------------------------------- | ---------------------------------------------------------------------- |
| Matrix on fraction | TBD | Heuristics for calculating transition matrices on fractions of power |
| G2++ with piec cons vol| TBD | Calibration of a G2++ model with piecewise constant volatility |
| Carter-Lee model | TBD | Simple stochastic mortality model |
| Metropolis-Hastings | TBD | Sampling of probability distributions |
New suggestions for algorithms are welcome.
If anybody is interested in publishing an algorithm they implemented, or help with the project, contact us and we will make it happen.
Queries and suggestions; [email protected]