Providing Information for Insurance Liability Valuation from a marketRisk
valInfo is a generic S3 method for classes
inheriting from item. It returns sufficient information for the
creation of the valuation function of the item.
## S3 method for class 'liability' valInfo(object, market.risk, standalone = NULL, ...)
object |
S3 object of class liability. |
market.risk |
S3 object of class marketRisk created using the constructor
|
standalone |
S3 object of class standalone. |
... |
additional arguments. |
A list with the following elements:
exposure: numeric value of length one. The nominal value of the liability.
constant: numeric value of length one. The constant centering the
log-normal expression.
risk.factor: a data.frame with columns:
name: character value. The names of the base risk
factors.
id: integer value. The position of the base risk
factors in the covariance matrix in marketRisk.
scale: numeric value. The scales associated to the
base risk factors.
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