reserve: Reserve This function calculates the reserve given the reward...

In lifepack: Insurance Reserve Calculations

Reserve This function calculates the reserve given the reward matrix and some constant rate This function requires proper construction of reward matrix as specified in the lecture notes provided in the course Liv1 at the University of Copenhagen.

Description

Reserve This function calculates the reserve given the reward matrix and some constant rate This function requires proper construction of reward matrix as specified in the lecture notes provided in the course Liv1 at the University of Copenhagen.

Usage

reserve(t, TT, Lambda, R, mu, r, n)

Arguments

t	initial timepoint
TT	end timepoint
Lambda	intensity matrix
R	reward matrix
mu	equivalence premium
r	constant rate as a scalar
n	number of steps for the Runge-Kutta algorithm

Value

Returns a matrix of statewise reserves

Examples

Lambda <- function(x) matrix(c(-0.1, 0.1, 0, -0.1), 2, 2)
R <- function(x, mu) matrix(c(0, 0, 0, mu), 2, 2)
reserve(0, 80, Lambda, R, 200000, 0.01, 1000)

lifepack documentation built on April 4, 2025, 2:29 a.m.