sstModel: mvmLife – R documentation

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mvmLife

MVM life computation

compute MVM life.

mvmLife(cashflow.table, rates, cov.mat, coc)

`cashflow.table`	a data.table.
`rates`	a numeric vector of rates, with continuous compounding. These should start for time to maturity 1 and go until 1 + last cashflow time to maturity.
`cov.mat`	covariance matrix of life risks.
`coc`	a numeric value. The cost of capital.

a numeric value, the life MVM.

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