Research project 2019-2020
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Updated
Feb 22, 2022 - Python
Research project 2019-2020
Binaries T4U with Unified DPM Database for Solvency II and Pension Funds Reporting
Validation checks for EIOPA technical submissions written and documented in Jupyter notebooks.
Class library for actuarial claims reserving and tariff rating for non-life insurances
Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.
Tutti gli algoritmi con documentazione italiana, scritti in Python, in un unico posto.
All Jupyter Notebooks implemented by Open Source Modelling in one place.
All JavaScript algorithms published by OSM in one place.
Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in Python.
Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.
Implementazione dell'algoritmo Smith & Wilson per l'interpolazione e/o l'estrapolazione dei tassi di interesse mancanti in Python.
Demonstration of a test that checks if a stochastic scenario generator accurately covers the term structure.
Example of recalculation of the EIOPA RFR curve.
Simple bisection method that finds the optimal parameter α for the Smith & Wilson algorithm.
R-package for spatial risk calculations
Python script for calculating the (type I) equity risk solvency capital charge ("SCR") under Solvency II
Python script for calculating the spread risk solvency capital charge ("SCR") for a bond portfolio under Solvency II (along the standard formula)
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