Description Usage References Examples
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.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | 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)
|
Parker, G. (1997). Stochastic analysis of the interaction between investment and insurance risks. North American actuarial journal, 1(2), 55–71.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 | 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)
|
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