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mkriele / RMInsurance.jl

Risk management in Insurance and modelling of insurance portfolios
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Contribution #7

Open odddkidout opened 2 years ago

odddkidout commented 2 years ago

Hi , i would like to contribute to repo

mkriele commented 2 years ago

Thanks for your interest. However, due to another large book project, I have not worked on this code or the second English edition of the book "Value Oriented Risk Management for Insurance" in years. I still cannot say when I will pick up this project again. (You find the code for the current edition of the book in the repository ValueOrientedRiskManagementInsurance.jl Please note also that the aim of the code is to be purely illustrative. It is neither especially idiomatic nor especially fast. So for the time being, this may not an ideal repository to contribute. Needless to say, you may lift anything you like from this repository for your own projects.

odddkidout commented 2 years ago

I want to go in depth of stochastic actuarial modelling. Can you recommend me some book?

mkriele commented 2 years ago

I am not aware of any good book on actuarial modeling. You have not stated whether your interest is in p&c insurance or in life insurance. This makes a big difference as you as the latter requires multi-period models and is typically dominated by financial risk rather than pure insurance risk The standard model for the Swiss Solvency Test by the Swiss Insurance Regulator FINMA has modules for both life and non-life. Moreover, the underlying theory is documented (in French and German) and they also have published open source software (in R). While the standard model for the Swiss Solvency Test may be too simple for the goal you are stating, it is an ecomomic stochastic model and may serve as a starting point.

odddkidout commented 2 years ago

My interest is in modelling insurance product to be specific and for the time being I am exploring life insurance modelling. i want to make open source models for students like me to have a better picture. please suggest me some material where i can grasp a understanding of stochastic modelling in life insurance, If possible in English. Thank you for sharing information about swiss stochastic model.

mkriele commented 2 years ago

If you like Julia as a programming language, have a look at JuliaActuary.org It contains several related open source packages, which you can use as stepping stones and to which you can contribute. It will not be as comprehensive than similar curated opens source packages for R or Python, but this can be an advantage: It will be easier to understand how things work together and you have more opportunities to contribute. On a more theoretical level, a prerequisite for the valuation of life insurance portfolios is an understanding of valuation of derivatives in financial mathematics. There are lots of text books on this topic at various levels of mathematical rigor.