Actuarial Model Outcome Optimal Fit (AMOOF) 3.0 --Free Research Software for Data Analyses and Advanced Probability Modeling
Document Type
Oral Presentation
Campus where you would like to present
SURC Room 202
Start Date
15-5-2014
End Date
15-5-2014
Keywords
Software, Statistics, Optimization
Abstract
The purpose of this software is to assist in the fitting of data sets using single and mixed probability density functions (pdfs), and to calculate distribution parameters and statistics regarding these curves. Nonlinear Optimization of the log-likelihood function is used to determine the best values for the pdf variables (MLE approach). Challenging measures such as Percentiles (Vale at Risk VaR) and Conditional Tail Expectations (Tail Value at Risk TVaR) for the resulting best-fitted pdf functions are found using numeric integration. AMOOF 3.0 primarily adds mixed pdfs, speed increases, interactive user interface improvements, and an additional real-time check on numeric accuracy. This software is an extension and enhancement of AMOOF 2.0, which was begun as an undergraduate software engineering project sponsored by the Actuarial Foundation.
Recommended Citation
Smigaj, James, "Actuarial Model Outcome Optimal Fit (AMOOF) 3.0 --Free Research Software for Data Analyses and Advanced Probability Modeling" (2014). Symposium Of University Research and Creative Expression (SOURCE). 43.
https://digitalcommons.cwu.edu/source/2014/oralpresentations/43
Additional Mentoring Department
Mathematics
Actuarial Model Outcome Optimal Fit (AMOOF) 3.0 --Free Research Software for Data Analyses and Advanced Probability Modeling
SURC Room 202
The purpose of this software is to assist in the fitting of data sets using single and mixed probability density functions (pdfs), and to calculate distribution parameters and statistics regarding these curves. Nonlinear Optimization of the log-likelihood function is used to determine the best values for the pdf variables (MLE approach). Challenging measures such as Percentiles (Vale at Risk VaR) and Conditional Tail Expectations (Tail Value at Risk TVaR) for the resulting best-fitted pdf functions are found using numeric integration. AMOOF 3.0 primarily adds mixed pdfs, speed increases, interactive user interface improvements, and an additional real-time check on numeric accuracy. This software is an extension and enhancement of AMOOF 2.0, which was begun as an undergraduate software engineering project sponsored by the Actuarial Foundation.
Faculty Mentor(s)
Chueh, Yvonne