first commit

.gitignore

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+pom.xml
+pom.xml.asc
+*jar
+/lib/
+/classes/
+/target/
+/checkouts/
+.lein-deps-sum
+.lein-repl-history
+.lein-plugins/
+.lein-failures
+/bin/

LICENSE

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README

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+# actuarial
+
+Probability distributions for actuarial models
+
+## Usage
+
+Use as a function library
+
+## License
+
+Copyright (C) 2014 François Pelletier
+
+Distributed under the Eclipse Public License, the same as Clojure.

project.clj

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+(defproject actuarial "1.0.0-SNAPSHOT"
+  :description "Actuarial functions for Clojure using Incanter and Weka"
+  :dependencies [[org.clojure/clojure "1.6.0"]
+                 [weka "3.6.2"]
+                 [incanter/incanter-core "1.4.1"]
+                 [ring "1.3.2"]
+                 [org.clojure/data.xml "0.0.8"]])

src/actuarial/basic.clj

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+(ns actuarial.basic)
+(import [weka.core Statistics])
+
+(defn normalcdf "Normal CDF" [a] (Statistics/normalProbability a))
+(defn normalvar "Normal VAR" [a] (Statistics/normalInverse a))
+(def infinity Double/POSITIVE_INFINITY)
+
+(defn binomial-coefficient [n k]
+  (let [rprod (fn [a b] (reduce * (range a (inc b))))]
+    (/ (rprod (- n k -1) n) (rprod 1 k))))
+
+;; from https://gist.github.com/the-max0r/d5affa7c3c8a481733e5
+(defn rootNP
+  "Newton Raphson univariate root"
+  [f x]
+  (def step 1E-4)
+  (def eps 1E-8)
+  (let [m (/ (- (f (+ x step)) (f x)) step)
+        b (- (f x) (* m x))
+        x-0 (- (/ b m))]
+    (if (<= (Math/abs (- x x-0)) eps)
+      x-0
+      (recur f x-0))
+    ))

src/actuarial/core.clj

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+(ns actuarial.core (:require [actuarial.distributions]
+                             [actuarial.mixed-distributions]
+                             [actuarial.basic]
+                             [actuarial.measures]
+                             [actuarial.http]))

src/actuarial/http.clj

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+(ns actuarial.http 
+  (:use ring.adapter.jetty)
+  (:use ring.middleware.params)
+  (:use actuarial.distributions))
+
+(require 'ring.middleware.stacktrace)
+
+;(describe (build-distribution (resolve (symbol (str "gaussian" "-dist"))) [1 3]) 0.5 0.25 3)
+
+(defn wrap-spy [handler]
+  (fn [request]
+    (println "-------------------------------")
+    (println "Incoming Request:")
+    (clojure.pprint/pprint request)
+    (let [response (handler request)]
+      (println "Outgoing Response Map:")
+      (clojure.pprint/pprint response)
+      (println "-------------------------------")
+      response)))
+
+(defmacro get-map-dist [map name param]
+  `(apply (get ~map ~name ) ~param))
+
+(defn handler [req]
+  (let [distr-name (get-in req [:query-params "dist"])
+        distr-params (read-string (get-in req [:query-params "params"]))
+        distr-x (read-string (get-in req [:query-params "x"] "0"))
+        distr-d (read-string (get-in req [:query-params "d"] "0"))
+        distr-t (read-string (get-in req [:query-params "t"] "1"))
+        distr-map (get-map-dist distributions-map distr-name distr-params)
+        sortie (describe distr-map distr-x distr-d distr-t)
+        ]
+    (println distr-name distr-params)
+    {:status 200
+     :headers {"Content-Type" "text/html"}
+     :body (str "<p>" sortie "<p>")}
+  ))
+
+(def app
+  (-> #'handler
+    (ring.middleware.stacktrace/wrap-stacktrace)
+    (wrap-spy)
+    (wrap-params)
+    ))
+
+(defonce server (ring.adapter.jetty/run-jetty #'app {:port 8080 :join? false}))
+
+(.stop server)
+
+(.start server)

src/actuarial/measures.clj

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+(ns actuarial.measures (:use actuarial.basic))
+(use '(incanter core))
+
+(defn node-entropy [& values]
+  (- (reduce + (map #(* % (/ (log %) (log 2)))
+                    (map #(/ % (reduce + values)) values)))))

src/actuarial/mixed_distributions.clj

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+(ns actuarial.mixed-distributions (:use actuarial.distributions))
+
+(defn mixedDist
+  [prob-dist cont-dist]
+  {:Distribution ::Mixed
+   :SubDistributions {:prob-dist prob-dist
+                      :cont-dist cont-dist}
+   :type ::Mixed})
+
+(defmacro getmixed [f m & params]
+  `(let [probs# (get-in ~m [:SubDistributions :prob-dist :Parameters :prob])
+         dists# (get-in ~m [:SubDistributions :cont-dist])]
+     (reduce + (map #(* %1 (~f %2 ~@params)) probs# dists#))))
+
+(defmethod pdf ::Mixed [m x]
+  (getmixed pdf m x))
+
+(defmethod cdf ::Mixed [m x]
+  (getmixed cdf m x))
+
+(defmethod mgf ::Mixed [m t]
+  (getmixed mgf m t))
+
+(defmethod rawmoments ::Mixed [m k]
+  (getmixed rawmoments m k))
+
+(defmethod truncated-mean ::Mixed [m d]
+  (getmixed truncated-mean m d))
+
+
+
+

test/actuarial/test/core.clj

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+(ns actuarial.core-test
+  (:require [clojure.test :refer :all]
+            [actuarial.core :refer :all]
+            [actuarial.distributions :as dist]
+            [actuarial.mixed-distributions :as mix]))
+;; # Discrete distributions
+
+;; ## Arithmetic distribution
+
+(defmacro dbg [& body]
+  `(let [x# ~@body]
+     (println (str "dbg: " (quote ~@body) "=" x#))
+     x#))
+
+(defn close? [tolerance x y]
+  (< (- x y) tolerance))
+
+(defn =? [x y] (partial close? 0.000000001))
+
+(deftest arith-dist
+  (let [arith1 (dist/arithmetic-dist 1 0.2 0.3 0.4 0.1)]
+    (testing "Arithmetic Distribution"
+           (is (=? (dist/pmf arith1 3) 0.1))
+           (is (=? (dist/cdf arith1 2) 0.9))
+           (is (=? (dist/survival arith1 2) 0.1))
+           (is (=? (dist/mean arith1) 1.4))  
+           (is (=? (dist/variance arith1) 1.4))
+           (is (=? (dist/value-at-risk arith1 0.6) 2))
+           (is (=? (dist/tail-value-at-risk arith1 0.6) 2.25))
+           )))
+
+;; ## Poisson distribution
+
+(deftest poisson-dist
+  (let [poisson1 (dist/poisson-dist 3)
+        =? (partial close? 0.00001)]
+  (testing "Poisson distribution"
+           (is (=? (dist/pmf poisson1 0) (Math/exp -3)))
+           (is (=? (dist/mean poisson1) 3))
+           (is (=? (dist/variance poisson1) 3))+
+           (is (=? (dist/pgf poisson1 2) (Math/exp 3)))
+           (is (=? (dist/mgf poisson1 2) (Math/exp(* 3 (- (Math/exp 2) 1)))))
+           )))
+
+;; ## Mixed Distributions
+
+;; tests
+
+(def dist1 (dist/arithmetic-dist 1 0.4 0.6))
+(def dist2 (map #(apply dist/exponential-dist %) '([0.4] [0.5])))
+(def mix1 (mix/mixedDist dist1 dist2))
+(println 
+  (dist/pdf mix1 0.25)
+  (dist/cdf mix1 0.25)
+  (dist/mgf mix1 0.1)
+  (dist/rawmoments mix1 3))
+
+(dist/describe mix1 0.25 0.5 2 0.99)
+
+;; # Continuous distributions
+
+;; Uniform distribution
+(def uniform1 (dist/uniform-dist 1.0 3.0))
+(println (dist/describe uniform1 2.0 2.5 2.0 [0.95]))
+
+;; Exponential distribution
+(def exp1 (dist/exponential-dist 2.0))
+(println (dist/describe exp1 2.0 2.5 1.0 [0.95]))
+
+;; Beta distribution
+(def beta1 (dist/beta-dist 1 3))
+(println (dist/describe beta1 0.75 0.25 2 [0.95]))
+
+;; Gamma distribution
+(def gamma1 (dist/gamma-dist 2.001 4.999))
+(println (dist/describe gamma1 0.75 0.25 2 [0.95]))
+
+;; Erlang distribution
+(def erlang1 (dist/erlang-dist 2 5))
+(println (dist/describe erlang1 0.75 0.25 2 [0.95]))
+
+;; Weibull distribution
+(def weibull1 (dist/weibull-dist 2.2 3.1))
+(println (dist/describe weibull1 0.75 0.25 2 [0.95]))
+
+;; Generalized Erlang distribution
+(def generlang1 (dist/generalized-erlang-dist 2.1 5 0.25))
+(println (dist/describe generlang1 0.75 0.25 2 [0.95]))
+
+;; Gaussian distribution
+(def gaussian1 (dist/gaussian-dist 1.5 0.5))
+(println (dist/describe gaussian1 0.75 0.25 2 [0.95]))
+
+;;Lognormal distribution
+(def lognormal1 (dist/lognormal-dist 1.5 0.5))
+(println (dist/describe lognormal1 0.75 0.25 2 [0.95]))
+
+;;Inverse Gaussian distribution
+(def inversegaussian1 (dist/inverse-gaussian-dist 1.5 0.5))
+(println (dist/describe inversegaussian1 0.75 0.25 2 [0.95]))
+
+;;Pareto distribution
+(def pareto1 (dist/pareto-dist 4 3))
+(println (dist/describe pareto1 0.75 0.25 2 [0.95]))
+
+;;Generalized Pareto distribution
+(def generalizedpareto1 (dist/generalized-pareto-dist 4 3 1))
+(println (dist/describe generalizedpareto1 0.75 0.25 2 [0.95]))
+
+;;Burr distribution
+(def burr1 (dist/burr-dist 4 3 1))
+(println (dist/describe burr1 0.75 0.25 2 [0.95]))
+
+;;Log-Logistic distribution
+(def loglog1 (dist/log-logistic-dist 3 2.1))
+(println (dist/describe loglog1 0.75 0.25 2 [0.95]))
+
+;;Student distribution
+(def student1 (dist/student-dist 3))
+(println (dist/describe student1 0.75 0.25 0.5 [0 1]))
+
+(run-tests)
+