liability: Constructing an Insurance Liability

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

Constructor for the S3 class liability. It allows to build for an insurance liability referred under the name "Versicherungsverpflichtungen" in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

liability(time, currency, value)

Arguments

time	stricly positive integer value of length one representing the time-to-maturity. This parameter relates to the "Restlaufzeit" liability variable tau in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
currency	character value of length one representing the currency in which the fixed-income-asset is labeled. This parameter relates to the "Fremdwährungsrisikofaktor" index j in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
value	non-zero numeric value of length one representing the "Certainty-Equivalent-Versicherungsverpflichtung-Cashflows" as referred in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". at time time. This must be expressed in the same currency as currency. If value is negative, then the liability is interpreted as a positive cashflow.

Value

an S3 object, instance of the class liability.

See Also

summary.liability, print.liability.

Examples

# Creating new liabilities.
liability1 <- liability(1, "USD", 1000)
liability2 <- liability(2, "EUR", 2000)

sstModel documentation built on May 2, 2019, 12:16 p.m.