In ActuarialAnalyst/expstudies: Calculate Exposures, Assign Records to Intervals

library(expstudies)
library(dplyr)
library(magrittr)
library(pander)
library(tidyr)

Suppose we have some monthly exposures that we would like to add premium data to.

exposures_PM <- addExposures(records, type = "PM")
head(exposures_PM)

pander::pandoc.table(head(exposures_PM))

Simulated premium data "trans" comes with the package.

head(trans)

pander::pandoc.table(head(trans))

The addStart function adds the start date of the appropriate exposure interval to the transactions.

trans_with_interval <- addStart(trans, exposures_PM)
head(trans_with_interval)

pander::pandoc.table(head(trans_with_interval))

We can group and aggregate by key and start_int to get unique transaction rows corresponding to intervals in exposures_PM.

trans_to_join <- trans_with_interval %>% group_by(start_int, key) %>% summarise(premium = sum(amt))
head(trans_to_join)

pander::pandoc.table(head(trans_to_join))

Then we can join this to the exposures using a left join without duplicating any exposures.

premium_study <- exposures_PM %>% left_join(trans_to_join, by = c("key", "start_int"))
head(premium_study, 10)

pander::pandoc.table(head(premium_study, 10))

Change the NA values resulting from the join to zeros using an if_else.

premium_study <- premium_study %>% mutate(premium = if_else(is.na(premium), 0, premium))
head(premium_study, 10)

pander::pandoc.table(head(premium_study, 10))

Now we are free to do any calculations we want. For a simple example we calculate the average premium in the first two policy months. Refer to the section on adding additional information for more creative policy splits.

premium_study %>% filter(policy_month %in% c(1,2)) %>% group_by(policy_month) %>% summarise(avg_premium = mean(premium))

pander::pandoc.table(premium_study %>% filter(policy_month %in% c(1,2)) %>% group_by(policy_month) %>% summarise(avg_premium = mean(premium)))

Other Uses for addStart

Suppose we were interested in what the last premium paid by a policy was for some predictive analytics project. Again we left join the premium to the exposure frame.

previous_premium_unfilled <- exposures_PM %>% left_join(trans_to_join, by = c("key", "start_int"))
head(previous_premium_unfilled)

pander::pandoc.table(head(previous_premium_unfilled))

This time we fill in NA values with the previous paid premium instead of 0. The first interval is NA because there are no prior premiums.

previous_premium <- previous_premium_unfilled %>%
tidyr::fill(premium, .direction = "down")

pander::pandoc.table(head(previous_premium))

Data manipulations similar to this can be used to engineer features for anything varying with time: account values, guarantees, planned premiums, etc...

ActuarialAnalyst/expstudies documentation built on Aug. 4, 2022, 6:14 p.m.