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open-source-modelling/README.md

Open-Source Modelling

Free, tested Python for actuaries and risk managers. Recalculate EIOPA's risk-free curves, run an asset-liability model, or generate economic scenarios, all without a commercial licence.

Every algorithm comes with its source paper, a worked example and tests, so you can check the result instead of trusting it.

Start here

I want to… Go to
Compute the 2027 EIOPA risk-free curve EIOPA_constant_forward_methodology
Project assets and liabilities for an insurer or pension fund Open_Source_Economic_Model
Generate economic scenarios Light_Economic_Generator
Browse all algorithms: Smith-Wilson, Nelson-Siegel-Svensson, short-rate models, bootstrapping insurance_python
Learn the methods step by step insurance_jupyter
Get public data: every EIOPA curve since 2014, SFCR tables, emissions, GDP insurance_open_data
Use AI assistants where tested Python does the calculating insurance_skills

Get involved

Found a bug? Open an issue on the relevant repository. Have an algorithm or AI skill your team relies on? Get in touch and we'll help publish it.

Need it production-ready? Qnity Consultants, who maintain this project, help life insurers, pension funds and ALM teams with validation, integration and training.

📧 [email protected] · LinkedIn · MIT licence · since 2021

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  1. insurance_python insurance_python Public

    Smith-Wilson, Nelson-Siegel-Svensson, Vasicek, Hull-White, stationary bootstrap and more: actuarial algorithms in Python, each with unit tests.

    Python 50 10

  2. insurance_skills insurance_skills Public

    Claude skills for actuaries (historic EIOPA curves, Excel tests, fund-data checks) and studies of what AI models tell insurance customers.

    Python 6 1

  3. Open_Source_Economic_Model Open_Source_Economic_Model Public

    Asset-liability model (ALM) in Python that projects the investments and liabilities of a life insurer or pension fund.

    Python 30 13

  4. insurance_open_data insurance_open_data Public

    Public data for insurance modelling: EIOPA risk-free curves since 2014, Italian SFCR tables and GDP (PPP), with the pipelines that build them.

    1

  5. EIOPA_constant_forward_methodology EIOPA_constant_forward_methodology Public

    EIOPA’s new risk-free curve method in Python, replacing Smith-Wilson from 2027. Includes VA and rate shocks; matches EIOPA’s workbook exactly.

    Python 6 2

  6. Light_Economic_Generator Light_Economic_Generator Public

    Lightweight economic scenario generator in Python: Hull-White and Vasicek rates and Black-Scholes equity, built on the EIOPA risk-free curve.

    Python 6 2