6. Design and Development
6.1. Help Structure
Documentation roadmap.
The documentation is structured around application, access, implementation, and theory.
Application: destinations, where you can go with the code and problems you can solve.
User Guides, problem sections
Access: operating manual, how you access the functions you need to solve your problems
User Guides, problem sections
API Reference, traditional API reference documentation
Implementation: how the functionality is coded; algorithms.
Theory: the underlying mathematics.
6.2. Design Philosophy
Work at the correct speed order…
…but don’t worry about speed until it becomes a problem
Save everything until space becomes an issue
Offer sensible defaults for (almost) everything
Separate internal naming from user naming and offer standard dataframe renamer dictionaries
Use sensible number formats
6.3. History
I have built several iterations of software to work with aggregate distributions.
Late 1990s: a Matlab tool for CNA Re with a graphical interface. Computed aggregates by business unit and the portfolio total. Used to discover the shocking fact there was only a 53 percent chance of achieving plan…which is obvious in hindsight but was a surprise at the time.
Late 1990s: a C++ version of the Matlab code called SADCo in 1997-99. This code sits behind MALT. It won the CAS award for an online contribution.
Early 2000s: another C++ version with an implementation of the Iman-Conover method to combine aggregates with correlation using the (gasp) normal copula, SCARE. Used by SCOR.
2003-2005: I worked on Aon Re Services’ simulation based tools called the ALG (Aggregate Loss Generator) which simulated losses, and Prime/Re which manipulated the simulations and applied various reinsurance structures. ALG used a shared mixing variables approach to correlation.
Late 2000s: At Aon Re, I also built related tools
The Levy measure maker
A simple approach to multi-year modeling based on re-scaling a base year, convolving using FFTs and tracking (and stopping) in default scenarios
2010s: At Aon Benfield, I was involved with ReMetrica, a very sophisticated, general purpose DFA/ERM simulation tool.