From 8f2ea2ab558f1cb6da03f89aa88577fa64ac172d Mon Sep 17 00:00:00 2001
From: Reinhold Kainhofer <reinhold@kainhofer.com>
Date: Sun, 7 Nov 2021 19:39:43 +0100
Subject: [PATCH] Add flag to include (default) or exclude the administration
cost reserve in the surrender value
Fixes #71
---
R/InsuranceParameters.R | 6 +++++-
R/InsuranceTarif.R | 6 +++++-
man/InsuranceContract.ParameterDefaults.Rd | 3 +++
3 files changed, 13 insertions(+), 2 deletions(-)
diff --git a/R/InsuranceParameters.R b/R/InsuranceParameters.R
index 02291f0..06e5b13 100644
--- a/R/InsuranceParameters.R
+++ b/R/InsuranceParameters.R
@@ -443,6 +443,9 @@ InsuranceContract.Values = list(
#' immediately for balance-sheet purposes. In particular, the
#' balance sheet reserve at time $t=0$ is not 0, but the
#' premium paid. In turn, no unearned premiums are applied.}
+#' \item{\code{$surrenderIncludesCostsReserves}}{Whether (administration)
+#' cost reserves are paid out on surrender (i.e. included in the
+#' surrender value before surrender penalties are applied)}
#' }
#'
#' ## Elements of sublist \code{InsuranceContract.ParameterDefault$ProfitParticipation}
@@ -563,7 +566,8 @@ InsuranceContract.ParameterDefaults = list(
Features = list( # Special cases for the calculations
betaGammaInZillmer = FALSE, # Whether beta and gamma-costs should be included in the Zillmer premium calculation
alphaRefundLinear = TRUE, # Whether the refund of alpha-costs on surrender is linear in t or follows the NPV of an annuity
- useUnearnedPremiums = isRegularPremiumContract # Whether unearned premiums should be calculated in the balance sheet reserves. Otherwise, a premium paid at the beginning of the period is added to the reserve for balance-sheet purposes.
+ useUnearnedPremiums = isRegularPremiumContract, # Whether unearned premiums should be calculated in the balance sheet reserves. Otherwise, a premium paid at the beginning of the period is added to the reserve for balance-sheet purposes.
+ surrenderIncludesCostsReserves = TRUE # Whether (administration) cost reserves are paid out on surrender (i.e. included in the surrender value before surrender penalties are applied)
),
ProfitParticipation = list(
diff --git a/R/InsuranceTarif.R b/R/InsuranceTarif.R
index 11b7c2b..3a0b6d4 100644
--- a/R/InsuranceTarif.R
+++ b/R/InsuranceTarif.R
@@ -1090,7 +1090,11 @@ InsuranceTarif = R6Class(
}
# Reduction Reserve: Reserve used for contract modifications:
- resReduction = pmax(0, resZ + resGamma + alphaRefund) # V_{x,n}^{Rkf}
+ resReduction = resZ + alphaRefund;
+ if (params$Features$surrenderIncludesCostsReserves) {
+ resReduction = resReduction + resGamma;
+ }
+ resReduction = pmax(0,resReduction) # V_{x,n}^{Rkf}
# Collect all reserves to one large matrix
res = cbind(
diff --git a/man/InsuranceContract.ParameterDefaults.Rd b/man/InsuranceContract.ParameterDefaults.Rd
index 118bde8..f3c00be 100644
--- a/man/InsuranceContract.ParameterDefaults.Rd
+++ b/man/InsuranceContract.ParameterDefaults.Rd
@@ -241,6 +241,9 @@ premiums, but the initial single premium is added to the reserve
immediately for balance-sheet purposes. In particular, the
balance sheet reserve at time $t=0$ is not 0, but the
premium paid. In turn, no unearned premiums are applied.}
+\item{\code{$surrenderIncludesCostsReserves}}{Whether (administration)
+cost reserves are paid out on surrender (i.e. included in the
+surrender value before surrender penalties are applied)}
}
}
--
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