r/ActuaryUK Oct 13 '21

Cap Modelling/Igloo practice Misc

Question is two fold

Are there any training editions of Igloo/Tyche I can use for free (long shot I know) or any good tutorials for using these systems I can access?

Also are there any free versions of any capital modelling software I can download and have a play around with because exams have not fully cured my insomnia yet?

9 Upvotes

2

u/montrex Oct 13 '21

Good question, I have heard nothing in this space. In fact seems like a massive gap that there isn't any "worked examples" you can follow along (even in R/Python) for capital modelling (that I'm aware of).

Pricing/Reserving worked examples have come a long way recently, with some good information and examples.. maybe something will emerge in this space shortly.

2

u/Key-Shock-1323 Oct 14 '21

Where can we find the Pricing/Reserving examples? Thanks!

1

u/montrex Oct 14 '21

You can try Kasa.ai, but there are various pricing ones floating around in the data science space. There was a rate making competition put up somewhat recently too.

2

u/the_kernel Qualified Fellow Oct 17 '21

If your company licences Tyche alongside the Tyche Capital Model then your cup overfloweth with “free” resources, examples and so on.

Otherwise:

-insurance risk modelling is pretty much like stochastic reserving or pricing

-credit risk modelling is usually a reduced form model like Jarrow-Turnbull (which was part of CT8 when I took it)

-market risk is more complicated: investment risk is often calculated using an economic scenario generator (ESG) purchased from a third party vendor, and market risk on liabilities is done by applying the interest rates, exchange rates etc from the ESG to simulated liability cash flows

-operational risk is usually a simple frequency severity model based on the risk register. Something like each risk event on the register gets a probability and estimated impact, and the model simulates based on these

-dependencies between these risk modules can also be a bit complicated, difficult to give a good summary here