reinspy - a Python Reinsurance Package

Sources

reinspy aims to implement methods and functions from the following papers:

Albrecher, Beirlant, Teugels: Reinsurance: Actuarial and Statistical Aspects
Carter: Reinsurance
Clark: Basics of Reinsurance Pricing
Kearney: Reinsurance Principles and Practices
Meyers, Heckman: The Calculation of Aggregate Loss Distributions from Claim Severity and Claim Count distributions
Parodi: Pricing in General Insurance
Robertson: The Computation of aggregate loss distributions
Strain: Reinsurance

Scope

reinspy aims to support the following types of reinsurance transactions:

Types:

Treaty
Facultative

Allocation Methods:

Pro Rata
Excess of Loss

Sub-types:

Quota Share
Surplus Share
Per Risk
Per Occurrence
Aggregate Excess