GEMAct: a Python package for non-life (re)insurance modeling

Gabriele Pittarello, Edoardo Luini and Manfred Marvin Marchione

Annals of Actuarial Science, 2024, vol. 18, issue 2, 342-378

Abstract: This paper introduces gemact, a Python package for actuarial modeling based on the collective risk model. The library supports applications to risk costing and risk transfer, loss aggregation, and loss reserving. We add new probability distributions to those available in scipy, including the (a, b, 0) and (a, b, 1) discrete distributions, copulas of the Archimedean family, the Gaussian, the Student t and the Fundamental copulas. We provide an implementation of the AEP algorithm for calculating the cumulative distribution function of the sum of dependent, nonnegative random variables, given their dependency structure specified with a copula. The theoretical framework is introduced at the beginning of each section to give the reader with a sufficient understanding of the underlying actuarial models.

Date: 2024
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