Description Usage Details References Examples
A term insurance pays a benefit of d
if the policyholder
dies within the term of the contract and 0 if the policyholder
survives the term of the contract.
In addition to the functions described in the insurance class, other functions are available for the termsingle class.
In particular,
z.ev.two.isingle.termsingle
can be used to calculate E[Z_{1}Z_{2}],
z.ev.three.isingle.termsingle
can be used to calculate
E[Z_{1}Z_{2}Z_{3}] and z.ev.twoone.isingle.termsingle
can be used to calculate E[Z_{1}^2Z_{2}] in Parker (1992).
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 | ## S3 method for class 'isingle.termsingle'
z.moment(moment, ins, mort, irm)
z.ev.two.isingle.termsingle(ins, mort, irm)
z.ev.three.isingle.termsingle(ins, mort, irm)
z.ev.twoone.isingle.termsingle(ins, mort, irm)
## S3 method for class 'isingle.termsingle'
z.insrisk(ins, mort, irm)
## S3 method for class 'isingle.termsingle'
z.invrisk(ins, mort, irm)
## S3 method for class 'isingle.termsingle'
z.pdf(z, ins, mort, irm)
|
The z.insrisk
and z.invrisk
functions for the
termsingle class are implemented such that we are conditioning
on K not y. See Parker (1997) for details.
Parker, Gary. An application of stochastic interest rate models in life assurance. Diss. Heriot-Watt University, 1992.
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 | oumodel = iratemodel(list(delta0 = 0.1, delta = 0.06,
alpha = 0.1, sigma = 0.01), "ou")
mort = mortassumptions(list(x = 40, table = "MaleMort91"))
term = insurance(list(n = 10, d = 1), "isingle", "term")
z.ev(term,mort,oumodel) # first moment
z.ev.two.isingle.termsingle(term, mort, oumodel)
z.ev.twoone.isingle.termsingle(term, mort, oumodel)
z.ev.three.isingle.termsingle(term, mort, oumodel)
|
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