sstModel: life – R documentation

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life

Constructing a Life Delta-Normal Remainder Term with Respect to lifeRisk

Description

Constructor for the S3 class life. It allows to build for the sensitivities with respect to the life risk factors of the total positions not modeled by the other marketItems.

Usage

life(name, currency, sensitivity)

Arguments

`name`	character value. The names of the life risk-factors (the life risk factors defined in `lifeRisk`) with respect to which sensitivities are computed (non-zero). This vector should not contain duplicated names.
`currency`	character value representing currencies in which the sensitivities are expressed. If the currency specified does not match the base currency of the `marketRisk`, the initial fx-rates will be used to convert to the base currency. Nevertheless, it is forced at construction of a `portfolio` that the sensitivities should be provided in the `portfolio` base currency.
`sensitivity`	numeric value giving the sensitivities (understood as quantiles) for the corresponding life risk-factors provided in `name`. Please consult the help page of `lifeRisk` for more information on the meaning of these senstivities. Sensitivities must be expressed in the corresponding currencies in `currency`.

Value

an S3 object, instance of the class life.

Note

All parameters must be of equal length.

Examples

# Creating a new health.
life1 <- life(name            = c("pandemy", "longetivity", "storno"),
              currency        = c("EUR", "CHF", "EUR"),
              sensitivity     = c(100, 150, 130))

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