actuarialmath 0.0.9

A package for actuarial math and life contingent risks

This Python package implements fundamental methods for modeling life contingent risks, and closely follows the coverage of traditional topics 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:

1. Implement general actuarial methods

   • Basic interest theory and probability laws

   • Survival functions, expected future lifetimes and fractional ages

   • Insurance, annuity, premiums, policy values, and reserves calculations

2. Adjust results for

   • Extra mortality risks

   • 1/mthly payment frequency using UDD or Woolhouse approaches

3. 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

1. pip install actuarialmath

   • also requires numpy, scipy, matplotlib and pandas.

2. Start Python (version >= 3.10) or Jupyter-notebook

   • Select a suitable subclass to initialize with your actuarial assumptions, such as MortalityLaws (or a special law like ConstantForce), LifeTable, SULT, SelectLife or Recursion.

   • Call appropriate methods to compute intermediate or final results, or to solve parameter values implicitly.

   • 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, 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, 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

1. Colab or Jupyter notebook, to solve all sample SOA FAM-L exam questions

2. User Guide, or download pdf

3. Code documentation

4. Github repo and issues