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Using Julia to calculate transition probabilities in life-insurance

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AndreasSlattelid/Euler_RK4_jl

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Overview

The goal here is to show the power of Julia for computationally heavy operations in Actuarial Science.

It is actually possible to evaulate the stepsize hourly using Julia (takes around 18 seconds using the most sophisticated model (RK4), and around 4 seconds using the simplest model (Euler)), this is something one can only dream about using R (atleast using the same implementation method)

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Using Julia to calculate transition probabilities in life-insurance

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