This paper introduces \code{gemact}, a \proglang{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 \pkg{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\code{gemact},一个基于集体风险模型的精算建模\proglang{Python}包。该库支持成本核算与风险转移、风险聚合以及索赔准备金评估等应用。我们在\pkg{scipy}已有分布的基础上新增了概率分布,包括(a,b,0)和(a,b,1)离散分布,以及阿基米德和椭圆类连接函数。我们提供了AEP算法的软件实现,用于计算具有由连接函数指定的相依结构的非负随机变量之和的累积分布函数。每节开头简要介绍理论框架,使读者能够充分理解基础的精算模型。