portfolio: Constructing a SST Portfolio

Description Usage Arguments Note See Also Examples

View source: R/portfolio-base.R

Description

Constructor for the S3 class portfolio. It allows to build for a sst portfolio containing financial items (market items), insurance items (life and health) as well as a participation.

Usage

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portfolio(market.items = NULL, participation.item = NULL,
  life.item = NULL, health.item = NULL, base.currency, portfolio.parameters)

Arguments

market.items

a list of marketItem S3 objects created using the constructors (see the corresponding help pages for more information):

  • asset

  • cashflow

  • liability

  • assetForward

  • fxForward

  • delta

Please refer to the note Section for extra-information.

participation.item

a participation S3 object created using the constructor participation. This should be expressed in the same currency as base.currency.

life.item

a life S3 object created using the constructor life. The life sensitivities be expressed in the same currency as base.currency.

health.item

a health S3 object created using the constructor health. The health sensitivities be expressed in the same currency as base.currency.

base.currency

a character value representing the base currency in which the holder of the portfolio reports its results.

portfolio.parameters

a list of parameters specific to the portfolio (understood in currency base.currency) with entries:

  • mvm: market value margin information (MVM), this should be a named list with three numeric fields of length one:

    • mvm.life: the market value margin for life;

    • mvm.health: the market value margin for health;

    • mvm.nonlife: the market value margin for non-life.

  • rtkr: risk-bearing capital (RBC) at time 0 run-off, this should be a numeric value of length one.

  • rtkg: risk-bearing capital (RBC) at time 0 on-going concern, this should be a numeric value of length one.

  • credit.risk the credit risk value, this should be a numeric value of length one.

  • expected.insurance.result expected insurance result, this should be a numeric value of length one.

  • expected.financial.result expected financial result, this should be a numeric value of length one.

  • correction.term correction term, this should be a numeric value of length one.

Note

In order to create an sstModel, the portfolio should contain at least one marketItem. Additionally, we do not allow for a portfolio containing a participation without any marketItem.

See Also

summary.portfolio, print.portfolio, asset, cashflow, liability, fxForward, assetForward, delta, participation, life, nonLifeRisk, health, scenarioRisk.

Examples

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# Creating a portofolio.
asset1 <- asset("equity", "USD", 1000)
asset2 <- asset("hedge fund", "EUR", 2000)
life1 <- life(name        = c("pandemy", "longetivity", "storno"),
              currency    = c("CHF", "CHF", "CHF"),
              sensitivity = c(-100, -150, -130))
health1 <- health(name        = c("pandemy", "longetivity", "storno"),
                  currency    = c("CHF", "CHF", "CHF"),
                  sensitivity = c(100, 150, 130))
participation1 <- participation("CHF", 1000)
# valid portfolio parameters
   valid.param <- list(mvm = list(mvm.life = 2, mvm.health = 4, mvm.nonlife = 3),
                       rtkr = 0,
                       rtkg = 0,
                       correction.term = 2,
                       credit.risk = 3,
                       expected.insurance.result =  10^6,
                       expected.financial.result =  10^5)
pf <- portfolio(market.items   = list(asset1, asset2),
                participation.item  = participation1,
                life.item       = life1,
                health.item     = health1,
                base.currency  = "CHF",
                portfolio.parameters = valid.param)

sstModel documentation built on May 4, 2018, 1:04 a.m.