sstModel: liability – R documentation

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liability

Constructing an Insurance Liability

Description

Constructor for the S3 class liability. It allows to build for an insurance liability referred under the name "Versicherungsverpflichtungen" in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

liability(time, currency, value)

Arguments

`time`	stricly positive integer value of length one representing the time-to-maturity. This parameter relates to the "Restlaufzeit" liability variable `tau` in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
`currency`	character value of length one representing the currency in which the fixed-income-asset is labeled. This parameter relates to the "Fremdwährungsrisikofaktor" index `j` in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
`value`	non-zero numeric value of length one representing the "Certainty-Equivalent-Versicherungsverpflichtung-Cashflows" as referred in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". at time `time`. This must be expressed in the same currency as `currency`. If `value` is negative, then the liability is interpreted as a positive cashflow.

Value

an S3 object, instance of the class liability.

Examples

# Creating new liabilities.
liability1 <- liability(1, "USD", 1000)
liability2 <- liability(2, "EUR", 2000)

sstModel

Swiss Solvency Test (SST) Standard Models

v1.0.0

GPL-3 + file LICENSE

Authors

Loris Michel [aut], Melvin Kianmanesh Rad [aut], Adrien Lamit [aut], Michael Schmutz [cre], Swiss Financial Market Supervisory Authority FINMA [cph]

Initial release