simulation: Run Simulation of Death and Lapse Scenarios

In volrisk: Simulation of Life Reinsurance with Profit Commission

Run Simulation of Death and Lapse Scenarios

Description

This function simulates death and lapse events over the insurance period using the portfolio created by make_portfolio(). The total number of simulations is n_sim * split, and results are saved in CSV or Parquet format in the specified path.

Usage

simulation(
  df,
  n_sim = NULL,
  split = NULL,
  seed = NULL,
  sync_seed = TRUE,
  output_format = "csv",
  output_path = NULL
)

Arguments

df	A data.frame returned by make_portfolio()
n_sim	Number of simulations per split
split	Number of splits (simulation repetitions)
seed	Random seed (optional)
sync_seed	Logical flag (default = TRUE). If TRUE, ensures that all policies belonging to the same insured person use synchronized random seeds for death simulation, thereby ensuring consistent timing of death events across policies. This is critical for accurately capturing volatility risk arising from common mortality shocks.
output_format	Output file format: "csv" or "parquet"
output_path	Path to save the simulation results and logs

Value

No return value. Files are saved to output_path.

Examples

# Prepare portfolio
port <- make_portfolio(example_portfolio, cols = list(
  unique_id = "POL_ID",
  client_id = "CLIENT_ID",
  duration = "DURATION",
  mortality = "MORTALITY",
  lapse = "LAPSE",
  nar = "NAR",
  rate = "RATE"
))

# Run simulation (output_path = tempdir() for demonstration)
simulation(port,
           n_sim = 10,
           split = 100,
           seed = 12345,
           output_format = "csv",
           output_path = tempdir()
           )

volrisk documentation built on June 14, 2025, 9:07 a.m.