Examples – JuliaActuary

Credibility When Claims Are Scarce

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

statistics

experience-analysis

bayesian

credibility

modeling

Your best customers are the ones you know least about.

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

actuaryutilities

statistics

modeling

tutorial

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…

Interactive Cashflow Analysis with ActuaryUtilities.jl

actuaryutilities

financemodels

assets

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

Universal Life Policy Account Mechanics as a Differential Equation

modeling

diffeq

mortalitytables

actuaryutilities

tutorial

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

US Treasury Comparison Tool

modeling

financemodels

tutorial

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.

Bayesian Markov-Chain-Monte-Carlo and Claims Data

mortalitytables

exposures

experience-analysis

dataframes

tutorial

statistics

bayesian

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).

Nested Projection Mechanics

modeling

benchmark

actuaryutilities

tutorial

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…

Using MortaltiyTables.jl with DataFrames

mortalitytables

dataframes

tutorial

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

Poisson approximation to Binomial

modeling

statistics

experience-analysis

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

Bayesian vs Limited Fluctuation Experience Analysis

modeling

statistics

experience-analysis

bayesian

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

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

actuaryutilities

statistics

modeling

tutorial

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…

Fitting Rate Data to Yield Curves

market

yieldcurves

financemodels

tutorial

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

Fitting survival data with MortaltityTables.jl

survival

tutorial

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

Interactive AAA Economic Scenario Generator

modeling

scenario-generator

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

Stochastic claims projections demo

modeling

benchmark

tutorial

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

Exposure Calculation with ExperienceAnalysis.jl

mortalitytables

exposures

experience-analysis

dataframes

tutorial

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

Replicating the AAA equtity generator

modeling

scenario-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)

modeling

autodiff

alm

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

Interactive Mortality Comparison Tool

experience-analysis

mortalitytables

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

Cassette Futurism: a Makie theme preview

design

code

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