NOTE that there is no guarantee of the accuracy of any result of this program. This software was developed primarily as a learning tool and is in an incomplete state. Additionally, limitations of computer precision and nonlinear optimization mean that there will be many cases where the results will be poor, with no explicit warning or error message. Send all feedback, problems, or questions to amoof3@gmail.com.

Welcome

Actuarial Model Outcome Optimal Fit (AMOOF) 3.0 is designed to assist in the fitting of datasets using probability density functions (pdfs).

Features

• 24 single pdfs included.
• Mixed pdfs may be created using combination of any two single pdfs.
• Pdf parameters may be modified while viewing resulting curve against data histogram.
• Nonlinear Optimization of parameters is used to improve fit of pdfs to the data set.
• Moments, Value at Risk and Conditional Tail Expectations are calculated and compared to those of the dataset.
• KS and Anderson Darling tests and critical point statistics are provided.
• Log-Likelihood and Akaike Information Criterion (AICc) provided.
• Save a Word document with information regarding selected models.
• Generate datasets from models.

General Usage

• Load data and select desired pdfs.
• Set initial parameters. This can be done to fix certain parameter values (for instance you want theta to be 1.0), or may be required for the more difficult cases to prevent the solver from diverging.
• Run the solver to maximize Log Likelihood.
• Calculate desired statistics.
• Select which results should go in the final report.

Installation

See Downloads for the latest version. Download and extract contents to any location. To install, double click AMOOF.msi.

Install Pari/GP onto your computer (optional)

If you intend on calculating Conditional Tail Expectations (CTEs), you will need to install the Pari/GP mathematical software. Pari is free software and contains many useful mathematical functions. AMOOF uses Pari because it provides arbitrary precision calculations and a numeric integration routine. These are required for accurate calculation of CTEs. It is not required for other functionality of the program.

Pari website: http://pari.math.u-bordeaux.fr Supported version is 2.7.5 (released Oct 26 2015), although other versions may work. Under the ?Download? link, download and run one of the self-installing distributions for Windows. This will install Pari and make available to AMOOF.

Requirements

• Windows 7, 8.0, 8.1.
• Minimum screen resolution: 1366x768. Lower resolutions will result in poor display of user interface components.

Usage

Access Data panel

Data points must be greater than zero. Several sample data sets have been included in the download.

Model Selection panel

Single and mixed pdfs are built by selecting subcomponents. Initial parameter values are set. These will be optimized in the next step.

Optimize Models panel

The solver is run on pdfs to find parameter values that maximize the log-likelihood function. Pdfs may be modified and rerun if necessary.

Order Results panel

Value at Risk(VaRs), Conditional Tail Expectations (CTEs), and moments are calculated for both pdfs and dataset for comparison.

Findings panel

Pdfs are reviewed against each other. They may be selected to go into the final report.

Report Generation

Report document contains information regarding dataset and pdfs.