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🐍 Actuarial procedures in Jupyter Notebooks 🐍


Collection of notebooks that actuaries use in model validation and when interacting with the European regulator.

Procedures available

Procedure Source Description
EIOPA RFR monthly tests EIOPA RFR technical information Each monthly submission is recalculated to make sure the given curve is correct
Metropolis Hastings likelihood test Metropolis-Hastings parameter estimation Bayesian maximum likelihood of a Black Sholes stochastic scenario generator
Hull-White Scenarios check Example_from_lecture Checks if # of stochastic scenarios is large enough to cover term structure

Procedures planned

Algorithm Description
Validation of Deterministic scenarios Validation of the deterministic scenario with monthly steps
Validation of stochastic scenarios Validation of the stochastic risk neutral scenario with monthly steps and a single source of noise

New suggestions are welcome.

If anybody is interested in publishing something they implemented, or help with the project, contact us and we will make it happen.

Queries and suggestions; gregor@osmodelling.com