All Posts – JuliaActuary

Interactive AAA Economic Scenario Generator

Scroll down below the sample video to see how to run it.

Replicating the AAA equtity generator

This notebook replicates the model and parameters for the real world equity generator described in this AAA 2005 reference paper.

Autodifferentiation and Asset Liability Management (AAD & ALM)

Asset liability modeling requires computing derivatives of portfolio values with respect to yield curve changes. Traditional approaches use finite difference methods or…

Bayesian vs Limited Fluctuation Experience Analysis

Alternate title: Why actuaries should cease to care about the number 1082.

Bayesian Markov-Chain-Monte-Carlo and Claims Data

The problem of interest is to look at mortality rates, which are given in terms of exposures (whether or not a life experienced a death in a given year).

Interactive Cashflow Analysis with ActuaryUtilities.jl

Scroll down below the sample video to see how to run it.

Credibility When Claims Are Scarce

Comparing limited fluctuation, Bühlmann–Straub, and hierarchical Bayes on sparse mortality data

Your best customers are the ones you know least about.

Exposure Calculation with ExperienceAnalysis.jl

In this tutorial, we will walk through how to calculate exposures using the ExperienceAnalysis.jl package.

Fitting survival data with MortalityTables.jl

This tutorial is via PharmCat on Github (this link has similar code with comments in Russian and English).

Fitting Rate Data to Yield Curves

Given rates and maturities, we can fit the yield curves with different techniques.

Interactive Mortality Comparison Tool

Scroll down below the sample video to see how to run it.

Using MortaltiyTables.jl with DataFrames

MortalityTables.jl stores the rates in a very efficient manner as a collection of vectors indexed by attained age.

Nested Projection Mechanics

A simple example of how one could define a nested projection system. Includes the following examples: - Outer loop policy projections only - Outer + Inner loop policy…

How Much Capital Does Model Error Cost?

Optimal transport for actuaries, continued: put a dollar budget on how wrong the loss model could be, and price the exact worst case that budget allows

Every capital number comes out of a model. Not out of the book of business — out of a model of the book. Everyone in the room knows the model is wrong; the argument is only…

How Far Did the Book Move?

Optimal transport for actuaries: sort the claims, measure the drift in dollars, and be honest about how wrong the model is

Somewhere right now, an actuary is in a meeting about whether the book of business has changed. There is a slide with two means on it. Someone remembers a bad claim from…

Poisson approximation to Binomial

This notebook explores using the Poissson approximation to the Binomial. This can be useful for a number of reasons:

Universal Life Policy Account Mechanics as a Differential Equation

This demonstrates an example of defining an universal life policy value roll like a discrete differential equation.

Stochastic claims projections demo

Define a datatype. Not strictly necessary, but will make extending the program with more functions easier.

US Treasury Comparison Tool

The screenshot above shows a Pluto.jl notebook where you can select a pair of dates and find the change in the treasury curve’s zero rates.

FinanceModels 7, ActuaryUtilities 6, MortalityTables 3, FinanceCore 3 and LifeContingencies 3

Five major JuliaActuary releases improve curve calibration, interest-rate risk, life-contingent valuation and mortality calculations. They add sensitivities through…

Alec Loudenback

Nested Stochastic Projections: Python vs. Julia

Reworking the SOA’s open-source VA valuation, where the fastest implementation turns out to be the one that looks like the specification

“The computational structure of a NSM has been the elephant in the room over the past few years. While we were all busy talking about the different approximation methods to…

Alec Loudenback

Cassette Futurism: a Makie theme preview

A draft Makie theme exploring a cassette futurism / NASA-punk look for JuliaActuary plots: Apollo-era flight-plan manila, navy plotter-pen ink, instrument-panel accent…

Alec Loudenback

JuliaActuary and QuantLib: cashflows, curves and sensitivities

Actuarial projections and trading models share cashflows, curves and risk measures, but put different demands on them. A multi-basis forecast of 100,000 annuity contracts…

Alec Loudenback

FinanceModels.jl - Evolving the JuliaActuary Ecosystem

This August 2023 article describes the original FinanceModels 4 interface. Its extension hooks, projection examples and non-linear bootstrap calls are historical. For…

Alec Loudenback

Modern Bayesian Statistics for Actuaries

One of the first probabilistic theorems everyone learns is Bayes’ Theorem, but that theorem is conspicuously absent from most applications and practice. The reason for this…

Alec Loudenback

JuliaActuary and Hacktoberfest 2022

Hacktoberfest is DigitalOcean’s annual event that encourages people to contribute to open source throughout October.

Getting Started with Julia for Actuaries

The previously published article titled Julia for Actuaries gave a longer introduction to why Julia works so well in actuarial workflows. In summary: Julia’s attributes are…

Alec Loudenback and Dimitar Vanguelov

The Life Modeling Problem: A Comparison of Julia, Rust, Python, and R

!! Note that this article is a draft

Alec Loudenback

Coding the Future

“…the insurance business is perhaps the purest example of an ‘information-based’ industry - that is, an industry whose sole activity consists of gathering, processing, and…

Alec Loudenback

Julia for Actuaries

I have suggested that actuaries who are competent coders will differentiate both themselves and the companies they work for. Coding ability will be useful no matter what…

Alec Loudenback