ageOnePolicy: Age One Policy

In vamc: A Monte Carlo Valuation Framework for Variable Annuities

Description

Age a VA policy specified in inPolicy from currentDate (specified in inPolicy) to targetDate. The againg scenario is given in fundScen. The time step length is specified in dT. Here we input a rather irrelevant parameter df to "hack" for a more flexible user-defined projection function.

Usage

ageOnePolicy(
  inPolicy,
  mortTable,
  fundScen,
  scenDates,
  dT = 1/12,
  targetDate,
  df
)

Arguments

inPolicy	A vector containing 45 attributes of a VA policy, usually a row of a VA portfolio dataframe.
mortTable	A dataframe with three columns of doubles representing the mortality table.
fundScen	A numScen-by-numStep-by-numFund array of doubles of return factors (i.e., exp(mu_t dt)) in each period.
scenDates	A vector containing strings in the format of "YYYY-MM-DD" of dates corresponding to each period in fundScen.
dT	A double of stepsize in years; dT = 1 / 12 would be monthly.
targetDate	A string in the format of "YYYY-MM-DD" of valuation date of the portfolio.
df	A vector of doubles of risk-free discount rates of different tenor (not forward rates), should have length being numStep.

Value

Outputs a vector containing 45 attributes of a VA policy, where currentDate, gbAmt, GMWBbalance, withdrawal, & fundValue could be updated as a result of aging. Usually a row of a VA portfolio dataframe.

Note

Target date MUST be PRIOR to the last date of historical scenario date, Current date MUST be LATER than the first date of historical scenario date.

Examples

exPolicy <- VAPort[1, ]
targetDate <- "2016-01-01"
histFundScen <- genFundScen(fundMap, histIdxScen)
ageOnePolicy(exPolicy, mortTable, histFundScen, histDates, dT = 1 / 12,
targetDate, cForwardCurve)
## Not run: 
targetDate <- "2001-01-01"
histFundScen <- genFundScen(fundMap, histIdxScen)
ageOnePolicy(exPolicy, mortTable, histFundScen, histDates, dT = 1 / 12,
targetDate, cForwardCurve)

## End(Not run)
## Not run: 
exPolicy <- VAPort[1, ]
exPolicy[1, c("currentDate", "issueDate")] <- c("2001-01-01", "2001-01-01")
histFundScen <- genFundScen(fundMap, histIdxScen)
ageOnePolicy(exPolicy, mortTable, histFundScen, histDates, dT = 1 / 12,
targetDate, cForwardCurve)

## End(Not run)

vamc documentation built on Feb. 28, 2020, 5:08 p.m.