Commit 8f2ea2ab authored by Reinhold Kainhofer's avatar Reinhold Kainhofer
Browse files

Add flag to include (default) or exclude the administration cost reserve in the surrender value

Fixes #71
parent 9165a215
......@@ -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(
......
......@@ -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(
......
......@@ -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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