JuliaActuary is an ecosystem of packages that makes Julia the easiest language to get started for actuarial workflows.
“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 avoid a true brute force NSM, it’s easy to lose track of the more fundamental question: how to set up an efficient computational algorithm for an NSM?” — Victoria Zhang, Discussion of Efficient Computational Structure of Nested…
One question that I try to explain sometimes is the purpose of actuarial modeling and financial projections in the actuarial context. It genuinely is different than the “quant” perspective where valuations of individual assets is of the utmost importance. In contrast, in actuarial projections, financial reporting, internal forecasting, capital management, and other non-trading-desk activities…
Yields.jl has evolved into FinanceModels.jl. The benefits are: Provide a composable set of contracts and Quotes Those contracts, when combined with a model produce a Cashflow via a flexibly defined Projection models can be fit with a new unified API: fit(model_type,quotes,fit_method) This blog post describes the conceptual overview and motivation for the change. Finance Models Overview…
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 is that outside of trivial introductory examples (“you tested positive for a disease…”) is that Bayes’ Theorem becomes intractably complicated to calculate the posterior distribution. Modern advances in computing power,…
What is Hacktoberfest? Hacktoberfest is DigitalOcean’s annual event that encourages people to contribute to open source throughout October. By contributing to open source, you can get a t-shirt (or a tree planted!) upon submitting four contributions to open source projects. See the Hacktoberfest site for more details. JuliaActuary participation JuliaActuary has a number of “issues” with the…
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 “evident in its pragmatic, productivity-focused design choices, pleasant syntax, rich ecosystem, thriving communities, and its ability to be both very general purpose and power cutting edge computing”. This is the second in the…
!! Note that this article is a draft Note: This is an extended discussion of the results from one of the items on the Benchmarks page. In the ActuarialOpenSource GitHub organization, a discussion began of the “Life Modeling Problem” (LMP) in actuarial science. I think the “Life Modeling Problem” has the following attributes: Recursive calculations Computationally intensive Large volume of data to…
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 tools you utilize every day (e.g., Python/R/C++/etc. and associated packages) and all of those tools and communities contribute to moving actuarial processes out of the Spreadsheet Age. There’s a newer programming language called…
“…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 distributing information.” - Martin Campbell-Kelly, writing about the Prudential in the Victorian Era. 1 The insurance industry: yesterday, today, and tomorrow It might be odd to say that technology and its use in insurance is…