igroup: Group of Insurance Portfolios

In nathanesau/stocins: Stochastic Interest Rate Models for Life Insurance

Description

A class for calculating the moments, insurance risk and and investment risk for a group of endowment and term insurance portfolios using the formulas described in Parker (1997).

In addition to the functions described in the insurance class some other functions are available for the igroup class.

In particular, z.ev.two.igroup calculates E[Z_{1,i}, Z_{i,r}] for i = ind1 and r = ind2, cashflow.ev calculates the expected cashflow at time r and cashflow.cov calculates the covariance between the cashflows at time r and time s as describd in Parker (1997).

For details and examples on how to use the igroup class see the insurance class.

Usage

z.ev.two.igroup(ind1, ind2, ins, mort, irm)

## S3 method for class 'igroup'
z.moment(moment, ins, mort, irm)

cashflow.ev(r, ins, mort, irm)

cashflow.cov(s, r, ins, mort, irm)

## S3 method for class 'igroup'
z.insrisk(ins, mort, irm)

## S3 method for class 'igroup'
z.invrisk(ins, mort, irm)

References

Parker, G. (1997). Stochastic analysis of the interaction between investment and insurance risks. North American actuarial journal, 1(2), 55–71.

Examples

oumodel = iratemodel(list(delta0 = 0.1, delta = 0.06, 
alpha = 0.1, sigma = 0.01), "ou")
mort = mortassumptions(list(x = 40, table = "MaleMort91"))
mort2 = mortassumptions(list(x = 50, table = "FemaleMort91"))

termins = insurance(list(n = 10, d = 1), "isingle", "term")
endowins = insurance(list(n = 10, e = 1, d = 1), "isingle", "endow")

termport = insurance(list(single = termins, c = 1000), "iport", "term")
endowport = insurance(list(single = endowins, c = 1000), "iport", "endow")

groupins = insurance(list(termport, endowport), 
"igroup") # 1000 term contracts, 1000 endow contracts
groupmort = list(mort, mort2) # term contracts are age 40, endow contracts are age 50
z.moment(1, groupins, groupmort, oumodel) / groupins$c # average cost per policy
z.ev.two.igroup(1, 2, groupins, groupmort, oumodel)
cashflow.ev(5, groupins, groupmort, oumodel)
cashflow.cov(3, 5, groupins, groupmort, oumodel)

nathanesau/stocins documentation built on May 23, 2019, 12:19 p.m.