R-package for spatial risk calculations

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in Python.

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)

All Jupyter Notebooks implemented by Open Source Modelling in one place.

All JavaScript algorithms published by OSM in one place.

Demonstration of a test that checks if a stochastic scenario generator accurately covers the term structure.

Simple bisection method that finds the optimal parameter α for the Smith & Wilson algorithm.

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.

Validation checks for EIOPA technical submissions written and documented in Jupyter notebooks.

Implementazione dell'algoritmo Smith & Wilson per l'interpolazione e/o l'estrapolazione dei tassi di interesse mancanti in Python.

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.

Example of recalculation of the EIOPA RFR curve.

Tutti gli algoritmi con documentazione italiana, scritti in Python, in un unico posto.

Binaries T4U with Unified DPM Database for Solvency II and Pension Funds Reporting

Research project 2019-2020

Mortality & longevity analysis — Lee-Carter model, Solvency II stress testing, French insurance market

Extreme Value Theory for catastrophic claim severity — GPD/GEV, profile likelihood CIs, censored MLE, ExcessGPD reinsurance pricing, Solvency II 1-in-200 (144 tests)

Individual neural claims reserving — per-claim RBNS reserves with bootstrap uncertainty