Scenario Weights for Importance Measurement

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SWIM is a free and powerful tool for sensitivity analysis, which can be used to analyse the simulation output of models used by insurers. It offers both standard choices for stressing models and the ability to design custom stresses and sensitivity measures.

SWIM
Articles
Presentations
CRAN - GitHub
The Team
SWIM

The SWIM package is an efficient sensitivity analysis tool for stochastic models developed in Pesenti et al. 2019. It provides a stressed version of a stochastic model, subject to model components (random variables) fulfilling given probabilistic constraints (stresses). Possible constraints include stressing moments, probability intervals and risk measures such as the Value-at-Risk and the Expected Shortfall. Provided with simulated scenarios from a stochastic model, the SWIM package returns scenario weights under which the stochastic model satisfies the stress and minimises the relative entropy with respect to the baseline model.

Articles

A practical introduction to SWIM:

 
 

The mathematics of SWIM:

Presentations
CRAN - GitHub

CRAN version: https://CRAN.R-project.org/package=SWIM

GitHub version: https://github.com/spesenti/SWIM

Develop version: https://github.com/spesenti/SWIM/blob/develop/NEWS.md

The Team
Alberto Bettini, actuary at Assicurazioni Generali S.p.A., Trieste, Italy.
Pietro Millossovich, senior lecturer in actuarial science at Cass Business School, City, University of London, and an associate professor at the University of Trieste.
Silvana M. Pesenti, assistant professor, Insurance Risk Management, University of Toronto, Canada
Andreas Tsanakas, professor of actuarial science at Cass Business School, City, University of London.