lifeRisk: Constructing a LifeRisk

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

lifeRisk is the constructor for the S3 class lifeRisk. It allows to build for life insurance risks parameters.

Usage

lifeRisk(corr.mat, quantile)

Arguments

corr.mat	matrix of numeric values. This must be a valid correlation matrix and should have names, i.e. attributes colnames and rownames indicating the names of the corresponding life insurance risk-factors.
quantile	positive numeric value smaller than one representing the probabilities at which the life sensitivities will be interpreted as (1-quantile)-quantiles.

Value

an S3 object, instance of the class lifeRisk.

See Also

summary.lifeRisk, print.lifeRisk, simulate.lifeRisk, compute.lifeRisk.

Examples

# Creating new lifeRisks.

corr.mat <- diag(rep(1, 2))
colnames(corr.mat) <- c("invalidity", "longetivity")
rownames(corr.mat) <- colnames(corr.mat)

lifeRisk1 <- lifeRisk(corr.mat  = corr.mat,
                      quantile = c(0.995, 0.995))

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