A package for life contingent risks
Project description
This package implements fundamental methods for modeling life contingent risks, and closely follows traditional topics covered in actuarial exams and standard texts such as the “Fundamentals of Actuarial Math - Long-term” exam syllabus by the Society of Actuaries, and “Actuarial Mathematics for Life Contingent Risks” by Dickson, Hardy and Waters.
Overview
The package comprises three sets of classes, which:
Implement general actuarial concepts
Basic interest theory and probability laws
Survival functions, future lifetimes and fractional ages
Insurance, annuity, premiums, policy values, and reserves calculations
Adjust results for
Extra risks
1/mthly payments using UDD or Woolhouse approaches
Specify and load a particular form of assumptions
Life table, select life table, or standard ultimate life table
Mortality laws, such as constant force of maturity, beta and uniform distributions, or Makeham’s and Gompertz’s laws
Recursion inputs
Quick Start
pip install actuarialmath
Select a suitable subclass to initialize with your actuarial assumptions, such as MortalityLaws (or a special law like ConstantForce), LifeTable, SULT, SelectTable or Recursion.
Call appropriate methods to compute intermediate or final results, or to solve parameter values implicitly.
If needed, adjust the answers with ExtraRisk or Mthly (or its UDD or Woolhouse) classes.
Examples
# SOA FAM-L sample question 5.7 from actuarialmath.recursion import Recursion from actuarialmath.woolhouse import Woolhouse # initialize Recursion class with actuarial inputs life = Recursion().set_interest(i=0.04)\\ .set_A(0.188, x=35)\\ .set_A(0.498, x=65)\\ .set_p(0.883, x=35, t=30) # modfy the standard results with Woolhouse mthly approximation mthly = Woolhouse(m=2, life=life, three_term=False) # compute the desired temporary annuity value print(1000 * mthly.temporary_annuity(35, t=30)) # solution = 17376.7
# SOA FAM-L sample question 7.20 from actuarialmath.sult import SULT # use Standard Ultimate Life Table from actuarialmath.policyvalues import Contract life = SULT() # compute the required FPT policy value S = life.FPT_policy_value(35, t=1, b=1000) # is always 0 in year 1! # input the given policy contract terms contract = Contract(benefit=1000, initial_premium=.3, initial_policy=300, renewal_premium=.04, renewal_policy=30) # compute gross premium using the equivalence principle G = life.gross_premium(A=life.whole_life_insurance(35), **contract.premium_terms) # compute the required policy value R = life.gross_policy_value(35, t=1, contract=contract.set_contract(premium=G)) print(R-S) # solution = -277.19
Resources
Colab or Jupyter notebook, to solve all sample SOA FAM-L exam questions
Github repo and issues
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