Description

Framework for the implementation of solvency related computations based on standard models for the Swiss Solvency Test (SST), a risk-based capital standard for Swiss insurance companies. Allows Monte Carlo simulation of market risk, some insurance risks and their aggregation. Additional toolbox for preprocessing computations. Convenient shiny GUI combined with a parser for an input excel (.xlsx) template to simplify model configuration,

Main Functionality the R-package

The main functionality of the R-package is the construction of an sstModel object, i.e. an instance of the Swiss Solvency Test (SST) standard model (all parameters needed to create such an instance can be understood with their respective help pages). We can then simulate from the model with the method compute to obtain an sstOutput instance. Solvency figures can finally be computed on this last instance (like riskCapital, targetCapital, marketValueMargin, and sstRatio).

See Also

sstModel