LifeContingencies.jl
LifeContingencies is a package enabling actuarial life contingent calculations. The benefits are:
- Integration with other JuliaActuary packages such as MortalityTables.jl
- Fast calculations, with some parts utilizing parallel processing power automatically
- Use functions that look more like the math you are used to (e.g.
Ax,ä) with Unicode support - All of the power, speed, convenience, tooling, and ecosystem of Julia
- Flexible and modular modeling approach
Package Overview
- Leverages MortalityTables.jl for the mortality calculations
- Contains common insurance calculations such as:
A(x): Whole lifeA(x,n): Term life fornyearsä(x): Life contingent annuity dueä(x,n): Life contingent annuity due fornyears
- Contains various commutaion functions such as
D(x),M(x),C(x), etc. - Various interest rate mechanics (e.g. stochastic, constant, etc.)
- More documentation available by clicking the DOCS bages at the top of this README
Examples
Calculate the whole life insurance rate for a 30-year-old male nonsmoker using 2015 VBT base table and a 5% interest rate
using LifeContingencies, MortalityTables
tbls = MortalityTables.tables()
vbt2001 = tbls["2001 VBT Residual Standard Select and Ultimate - Male Nonsmoker, ANB"]
issue_age = 30
l = LifeContingency(
vbt2001.select,
InterestRate(0.05),
issue_age
)
start_time = 0
A(l,start_time) # 0.111...Use a stochastic interest rate calculation to price a term policy:
using LifeContingencies, MortalityTables
using Distributions
tbls = MortalityTables.tables()
vbt2001 = tbls["2001 VBT Residual Standard Select and Ultimate - Male Nonsmoker, ANB"]
# use an interest rate that's normally distirbuted
μ = 0.05
σ = 0.01
int = InterestRate(t -> rand(Normal(μ,σ)))
l = LifeContingency(
vbt2001.select,
int,
30 # issue age
)
start_time = 0
term = 10
A(l,start_time,term) # somewhere around 0.055You can use autocorrelated interest rates - substitute the following in the prior example using the ability to self reference:
σ = 0.01
initial_rate = 0.05
int = InterestRate(
function intAR(time)
if time <= 1
initial_rate
else
i′ = last(int.rate_vector)
rand(Normal(i′,σ))
end
end
)
Compare the cost of annual premium, whole life insurance between multiple tables visually:
using LifeContingencies, MortalityTables, Plots
tbls = MortalityTables.tables()
tables = [
tbls["1980 CET - Male Nonsmoker, ANB"],
tbls["2001 VBT Residual Standard Select and Ultimate - Male Nonsmoker, ANB"],
tbls["2015 VBT Male Non-Smoker RR100 ANB"],
]
issue_ages = 30:90
int = InterestRate(0.05)
whole_life_costs = map(tables) do t
map(issue_ages) do ia
lc = LifeContingency(
t.ultimate,
int,
ia
)
A(lc,0) / ä(lc,0)
end
end
plt = plot(ylabel="Annual Premium per unit", xlabel="Issue Age",
legend=:topleft, legendfontsize=8)
for (i,t) in enumerate(tables)
plot!(plt,issue_ages,whole_life_costs[i], label="$(t.d.name)")
end
display(plt)
References
- Life Insurance Mathematics, Gerber
- Actuarial Mathematics and Life-Table Statistics, Slud
- Commutation Functions, MacDonald