The CAS maintains an active organizational account on GitHub. What's GitHub? It's a cloud-based version control system that allows actuaries and others to share and enhance code. Note that code encompasses more than just software. By writing in a format like RMarkdown, we can also share research papers, and other human-readable items.
If you'd like to learn more about git and GitHub, the CAS has a series of microlearning videos which give an overview.
By Dom Yarnell
The Excel-Based Data Exchange (EBDEx) format is designed to increase the efficiency of processing Microsoft Excel data and ensures consistent formatting of data from multiple sources, while allowing for flexibility of content. Tools that incorporate EBDEx formatting can quickly analyze the properly formatted data using actuarial techniques, generate traditional reinsurance submission exhibits, or run diagnostics on the data to get an overview of the submission and how it differs from previous versions.
The EBDEx format is simple and easy to implement, allowing for reinsurers and brokers to develop custom tools that best address their specific needs. Get started by downloading this simple tool, which includes a video tutorial explaining how to implement the EBDEx format on data in Excel.
(NAIC Loss Reserving Data)
by William P. Rudolph
The student version of the Actuarial Relativity Program can be used to calculate 2-way classification relativities. The program implements the Poisson Multiplicative, Bailey Additive, Least Squares Multiplicative, Chi-Square, and Exponential models. The software is provided as a self-extracting compressed file.
(Only viewable in IE 5.0+)
by Stephen Mildenhall, FCAS, MAAA
by Donald F. Mango
(Published in the 1999 Discussion Paper Program book)
Excel model upon which the paper is based
The program is window-based and available in ZIP format and is easily installed when the program is unzipped by running SETUP from Windows. The zipfile size is ~4mb and the additional documentation files add another ~300kb. This a true 32-bit application, thus no Window 3.1 users. The program provides a front-end underwriting tool and back-end monitoring tool for use by underwriters and management to make informed decisions when writing Property Catastrophe Exposures. The tool assumes that the user has acquired the use of a simulation model, such as Catmap, RMS or similar programs that provide expected losses and standard deviations. Reports on the book of business can easily be created by importing the database files into Excel or Lotus.
by Hou-wen Jeng
This software is provided as a zipped file of size 6.5MB. It unpacks into 10 files; double-click setup.exe to run the program. This updated software is designed to build aggregate loss distributions based on the collective risk model. Most calculations can be completed in less than 10 seconds (with a Pentium II 450/64 MB memory). You have the choice of using either Simulation or two approximation methods - Recursion and Fast Fourier Transform - to build your aggregate loss distributions.
- The two choices for frequency distributions are Poisson and Negative Binomial while there are five severity distributions -Exponential, Gamma, LogNormal, Weibull, and Pareto- for the user to choose from. The software presents the results in both tabular and graphic forms. The user can print the summary results or export the results to MS Excel. If you need more specific information about the resulting aggregate loss distributions, please contact Hou-wen Jeng at firstname.lastname@example.org.
- Freeware Excel Spreadsheet that does property per risk exposure rating for Commercial (Lloyds & Hartford Scales) and Homeowners (Salzmann & Hartford Scales).
by Thomas P. Hughes
The files listed below are self-extracting ZIP files containing a brief explanatory text file and fourteen spreadsheets demonstrating option strategies as described in Hull's textbook (John C. Hull, "Options, Futures, and Other Derivative Securities," Second Edition, Prentice Hall, Englewood Cliffs, NJ, 1993). Download the version(s) appropriate for your system. The file sizes range from 53k to 124k.
- .wk1 files - prepared with Lotus 1-2-3 Rel. 2.2
.wk4 files - prepared with Lotus 1-2-4 Rel. 5
.123 files - prepared with Lotus 1-2-3 97
.xls files - Excel 5/95 Workbook, prepared with Excel 97
.xls files - Excel 97, prepared with Excel 97
by Glenn Meyers<br />
The spreadsheet FFTCalc provides an introduction to Fourier methods for aggregate loss distributions. It provides a step by step explanation of the process. It also illustrates the <a href="https://www.casact.org/library/index.cfm?fa=wang"><strong>FFT methodology developed by Shaun Wang</strong></a> to include correlation beween the frequency distribution of two lines of insurance.
https://www.casact.org/library/bonds203.zip by Thomas P. Hughes
The Bond Analytics Program is a fixed income analytics program for computing bond yields, price-yield volatility metrics and horizon analyses. Options include an external reinvestment rate, tax rates, horizon and call calculations and odd first coupon periods. The program has an easy to use single screen user interface featuring pop-up Help windows and extensive diagnostic messages. A User Guide text file gives more detailed information about the program and bond analytics in general. This is not a .pdf file, it is a zipped file (77KB) containing a .txt file and an executable file.
https://www.casact.org/library/sseasrts.zip SSEAS is a complete loss reserving system able to do side-by-side comparisons using chain-ladder, Bornhuetter-Ferguson and numerous other estimators. It can perform Monte-Carlo simulations extending Stanard's model in PCAS LXXII. It runs under DOS or in a DOS session under OS/2 or Windows 3.1 or higher. This is the complete DOS version of SSEAS, release 7.24, and may be used for study or research with no restrictions. The software is provided as a zipped file of size 1,169,013 bytes. It unpacks into the files sseas.exe and readme.1st; to install, follow the instructions in the latter file.
This spreadsheet is an example of the bootstrap method described in England & Verrall paper, "Analytic and Bootstrap Estimates of Prediction Errors in Claims Reserving.
Download Handout (.xls)
This spreadsheet is an example of Thomas Mack's approach regarding variability of the chain ladder method that is explained in his 1993 paper, "Distribution-Free Calculation of the Standard Error of Chain Ladder Reserve Estimates
https://www.casact.org/library/Copulas.zipThe tool's installation is a windows installer program provided as a zipped file. The tool has functions of correlation calculation, bivariate copulas, FFT, bivariate IC modeling, Simulations, Distributions and their Expected Values, Limited Expected Values, etc.. Hopefully it can bring conveniences and enlightenment to research activities. Please send questions to email@example.com
by Michael Wacek
Template for Calculations Described in Paper (.xls)