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pyRE - Python Reinsurance

Overview

pyre is a comprehensive Python package designed to provide pricing tools and utilities for non-life reinsurance professionals. It offers a wide range of actuarial and statistical methods for analyzing claims data, managing exposures, and pricing reinsurance contracts.

Features

  • Claims Analysis: Tools for managing and analyzing claims data, including development triangles and IBNER pattern extraction
  • Exposure Management: Classes for handling exposure data with various bases (earned, written)
  • Treaty Modeling: Functionality for modeling reinsurance contracts and layers
  • Experience Rating: Methods for burn cost analysis, frequency-severity modeling, and curve fitting
  • Rate Monitoring: Tools for tracking rate adequacy and rate changes

Installation

To install the package, clone the repository and install the dependencies:

git clone https://github.com/rdj09/pyre.git
cd pyre
pip install -e .

Quick Start

Here's a simple example of how to use the package to analyze claims data:

# Import the claims module
from pyre.claims.claims import Claim, Claims, ClaimsMetaData, ClaimDevelopmentHistory
from pyre.claims.triangles import Triangle
from datetime import date

# Create a claim with metadata and development history
metadata = ClaimsMetaData(
    claim_id="CL001",
    currency="USD",
    loss_date=date(2022, 1, 15),
    report_date=date(2022, 2, 1),
    line_of_business="Property"
)

development = ClaimDevelopmentHistory(
    development_months=[0, 3, 6, 9, 12],
    cumulative_dev_paid=[0, 10000, 25000, 40000, 50000],
    cumulative_dev_incurred=[100000, 90000, 75000, 60000, 50000]
)

claim = Claim(metadata, development)

# Create a collection of claims
claims_collection = Claims([claim])

# Create a triangle from claims data
triangle = Triangle.from_claims(claims_collection, value_type="incurred")

# Calculate age-to-age factors
factors = triangle.calculate_age_to_age_factors()
print(factors)

Directory Structure

pyre/
├── docs/               # Documentation
├── src/                # Source code
│   └── pyre/
│       ├── claims/     # Claims analysis tools
│       ├── exposures/  # Exposure management
│       ├── Models/     # Pricing models
│       ├── treaty/     # Reinsurance contract modeling
│       └── rate_monitoring/ # Rate monitoring tools
└── tests/              # Test suite

Contributing

Contributions are welcome! Please follow these steps: 1. Fork the repository. 2. Create a new branch for your feature or bug fix. 3. Submit a pull request with a detailed description of your changes.

License

pyre is distributed under the terms of the MIT license.