Actuarial science projects and source code

Financial calculator in java

The following java project contains the java source code and java examples used for financial calculator. This Java Swing Application is a Demonstration of JInternal Frames and MDI. Which is used to perform some Financial Calculations * Regular Payment on Loan * Remaining balance on Loan * Future value of investment * Initial investment to attain a desired future value * Annuity from a desired investment * investment for a desired Annuity

Approximate the distribution of a compound random variable by panjer recursion. in matlab

The following Matlab project contains the source code and Matlab examples used for approximate the distribution of a compound random variable by panjer recursion. . Example: plot distribution of compound Poisson/Lognormal n = 1e4; xmax = 100; lam = 10; mu = 0; sig = 1; [gl,gu,xp,GL,GU]=panjer(@(x)logncdf(x,mu,sig),0,lam,xmax/n,n); plot(xp,GL,'b-',xp,GU,'r-'); See help for more details.

Goodness of fit (modified) in matlab

The following Matlab project contains the source code and Matlab examples used for goodness of fit (modified).  GFIT2 Computes goodness of fit for regression model  USAGE:        [gf] = gfit2(t,y)        [gf] = gfit2(t,y,gFitMeasure)        [gf] = gfit2(t,y,gFitMeasure,options)  INPUT:            t: matrix or vector of target values for regression model            y: matrix or vector of output from regression model.

Modeling variable annuities with matlab

The following Matlab project contains the source code and Matlab examples used for modeling variable annuities with matlab. Highlights include: • Integrating data sources • Valuing and creating a variable annuity product • Application development and deployment This webinar is relevant to practitioners or academics in finance whose focus is quantitative analysis, modeling, risk analysis, and valuation—particularly but not exclusively actuaries and professionals in the insurance industry.

Estimation value at risk by using conditional copula garch in matlab

The following Matlab project contains the source code and Matlab examples used for estimation value at risk by using conditional copula garch. the copula111cGarch111VaR function estimate VaR (Value at Risk) of portfolio composed of two stocks return and extract number of violation of VaR The method of estimation is conditional copula- GARCH model.

Linear deming regression in matlab

The following Matlab project contains the source code and Matlab examples used for linear deming regression. [ b sigma2_x x_est y_est stats] = deming(x,y,lambda,alpha) deming() performs a linear Deming regression to find the linear coefficients:                     y = b(1) + b(2)*x under the assumptions that x and y *both* contain measurement error with measurement error variance related as lambda = sigma2_y/sigma2_x (sigma2_x and sigma2_y is the measurement error variance of the x and y variables, respectively).

Pls regression or discriminant analysis, with leave one out cross validation and prediction. in matlab

The following Matlab project contains the source code and Matlab examples used for pls regression or discriminant analysis, with leave one out cross validation and prediction.. Leave-one-out cross-validation for PLS regression or discriminant analysis pls_cv = plscv(x,y,vl,'da') input: x (samples x descriptors) for cross-validation y (samples x variables) for regression or   (samples x classes) for discriminant analysis.

Plot the kaplan-meier estimation of the survival function in matlab

The following Matlab project contains the source code and Matlab examples used for plot the kaplan-meier estimation of the survival function . Survival times are data that measure follow-up time from a defined starting point to the occurrence of a given event, for example the time from the beginning to the end of a remission period or the time from the diagnosis of a disease to death.

Robust multivariate regression using the student-t distribution in matlab

The following Matlab project contains the source code and Matlab examples used for robust multivariate regression using the student-t distribution . The function mvsregress performs regression on multivariate data using the Student-t distribution. Its usage syntax is similar to that of the Statistics Toolbox function mvregress that does regression with the normal distribution. The contribution includes a user manual.

Negative binomial regression in matlab

The following Matlab project contains the source code and Matlab examples used for negative binomial regression. Performs Negative-Binomial regression. Regression coefficients are updated using IRLS, and the dispersion parameter is estimated via Chi^2 dampening. See Hardin, J.W. and Hilbe, J.M. Generalized Linear Models and Extensions. 3rd Ed. p. 251-254. for more information.

Interval prediction of a single value for a geometric mean regression-reduced major axis regression. in matlab

The following Matlab project contains the source code and Matlab examples used for interval prediction of a single value for a geometric mean regression-reduced major axis regression. . Model II regression should be used when the two variables in the regression equation are random and subject to error, i.

Markov copula code in matlab

The following Matlab project contains the source code and Matlab examples used for markov copula code. Log-likelihood functions for Markov Switching Copula model presented in "Modelling Dependence Dynamics through Copulas with Regime Switching" with Flávio A. Ziegelmann and Michael J. Dueker, Insurance: Mathematics and Economics, Volume 50, Issue 3, May 2012, Pages 346-356.

Pages

Subscribe to RSS - Actuarial science