sstModel: portfolio – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

portfolio

Constructing a SST Portfolio

Description

Constructor for the S3 class portfolio. It allows to build for a sst portfolio containing financial items (market items), insurance items (life and health) as well as a participation.

Usage

portfolio(market.items = NULL, participation.item = NULL,
  life.item = NULL, health.item = NULL, base.currency, portfolio.parameters)

Arguments

`market.items`	a list of marketItem S3 objects created using the constructors (see the corresponding help pages for more information): `asset` `cashflow` `liability` `assetForward` `fxForward` `delta` Please refer to the note Section for extra-information.
`participation.item`	a participation S3 object created using the constructor `participation`. This should be expressed in the same currency as `base.currency`.
`life.item`	a life S3 object created using the constructor `life`. The life sensitivities be expressed in the same currency as `base.currency`.
`health.item`	a health S3 object created using the constructor `health`. The health sensitivities be expressed in the same currency as `base.currency`.
`base.currency`	a character value representing the base currency in which the holder of the portfolio reports its results.
`portfolio.parameters`	a list of parameters specific to the portfolio (understood in currency `base.currency`) with entries: `mvm`: market value margin information (MVM), this should be a named list with three numeric fields of length one: `mvm.life`: the market value margin for life; `mvm.health`: the market value margin for health; `mvm.nonlife`: the market value margin for non-life. `rtkr`: risk-bearing capital (RBC) at time 0 run-off, this should be a numeric value of length one. `rtkg`: risk-bearing capital (RBC) at time 0 on-going concern, this should be a numeric value of length one. `credit.risk` the credit risk value, this should be a numeric value of length one. `expected.insurance.result` expected insurance result, this should be a numeric value of length one. `expected.financial.result` expected financial result, this should be a numeric value of length one. `correction.term` correction term, this should be a numeric value of length one.

Note

In order to create an sstModel, the portfolio should contain at least one marketItem. Additionally, we do not allow for a portfolio containing a participation without any marketItem.

Examples

# Creating a portofolio.
asset1 <- asset("equity", "USD", 1000)
asset2 <- asset("hedge fund", "EUR", 2000)
life1 <- life(name        = c("pandemy", "longetivity", "storno"),
              currency    = c("CHF", "CHF", "CHF"),
              sensitivity = c(-100, -150, -130))
health1 <- health(name        = c("pandemy", "longetivity", "storno"),
                  currency    = c("CHF", "CHF", "CHF"),
                  sensitivity = c(100, 150, 130))
participation1 <- participation("CHF", 1000)
# valid portfolio parameters
   valid.param <- list(mvm = list(mvm.life = 2, mvm.health = 4, mvm.nonlife = 3),
                       rtkr = 0,
                       rtkg = 0,
                       correction.term = 2,
                       credit.risk = 3,
                       expected.insurance.result =  10^6,
                       expected.financial.result =  10^5)
pf <- portfolio(market.items   = list(asset1, asset2),
                participation.item  = participation1,
                life.item       = life1,
                health.item     = health1,
                base.currency  = "CHF",
                portfolio.parameters = valid.param)

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