GEMAct: a Python package for non-life (re)insurance modeling
Authors: Gabriele Pittarello, Edoardo Luini, Manfred Marvin Marchione
Abstract: This paper introduces gemact, a 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 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.
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