This paper introduces gemact, a Python package for actuarial modeling based on the collective risk model. The library supports applications to costing and risk transfers, risks aggregation, and claims reserving. We add new probability distributions to those available in scipy, including the (a,b,0) and (a,b,1) discrete distributions, the Archimedean and the Elliptical classes of copulas. We provide a software implementation of the AEP algorithm for calculating the cumulative distribution function of the sum of dependent, non-negative random variables, given their dependency structure specified with a copula. The theoretical framework is introduced in brief at the beginning of each section to provide the reader with a sufficient understanding of the underlying actuarial models.
翻译:本文介绍了基于集体风险模型的举例建模的Python软件包GEMAct。该库支持成本和风险转移、风险聚合以及赔付预备金等应用。除了scipy中可用的概率分布外,我们还加入了新的概率分布,包括(a,b,0)和(a,b,1)离散分布、Archimedean和Elliptical科普拉斯类。我们提供了AEP算法的软件实现,此算法可以计算非负随机变量之和的累积分布函数,其中以科普拉斯规定它们的依赖结构。每个部分的理论框架在开始时进行简要介绍,以使读者对基础的精算模型有足够的了解。