From 609af94de09cd65b2df84a1c27ffee4b94338f9e Mon Sep 17 00:00:00 2001
From: Reinhold Kainhofer <reinhold@kainhofer.com>
Date: Fri, 29 Apr 2016 00:38:56 +0200
Subject: [PATCH] Some more attempts at properly implementing a premium waiver
---
Formulas_Reference/.gitignore | 3 +++
R/InsuranceTarif.R | 50 +++++++++++++++++++++++++++++------
2 files changed, 45 insertions(+), 8 deletions(-)
diff --git a/Formulas_Reference/.gitignore b/Formulas_Reference/.gitignore
index 5a1c25f..1663ebe 100644
--- a/Formulas_Reference/.gitignore
+++ b/Formulas_Reference/.gitignore
@@ -5,3 +5,6 @@
*.backup
*.kilepr
Bernkopf Max
+Formelsammlung_Beispielrechnung.toc
+Formelsammlung_Beispielrechnung.out
+.gitignore
diff --git a/R/InsuranceTarif.R b/R/InsuranceTarif.R
index 735e76b..8484e1c 100644
--- a/R/InsuranceTarif.R
+++ b/R/InsuranceTarif.R
@@ -148,6 +148,7 @@ InsuranceTarif = R6Class(
survival_arrears = zeroes,
death_SumInsured = zeroes,
death_GrossPremium = zeroes,
+ death_Refund_past = zeroes,
death_PremiumFree = zeroes,
row.names = ages-age
);
@@ -178,6 +179,8 @@ InsuranceTarif = R6Class(
# death benefit for premium refund is the sum of all premiums so far:
cf$death_GrossPremium = pad0(Reduce("+", totalpremiumcf[0:policyPeriod], accumulate=TRUE), cflen)
+ cf$death_Refund_past = cf$death_GrossPremium
+ cf$death_Refund_past[(cf$death_GrossPremium >0)] = 1;
}
cf
@@ -213,12 +216,17 @@ InsuranceTarif = R6Class(
benefitFrequencyCorrection = correctionPaymentFrequency(m = benefitFrequency, i = self$i, order = self$benefitFrequencyOrder);
premiumFrequencyCorrection = correctionPaymentFrequency(m = premiumFrequency, i = self$i, order = self$premiumFrequencyOrder);
+ pvRefund = calculatePVDeath (q, cashflows$death_GrossPremium, v=self$v);
+ pvRefundPast = calculatePVDeath (q, cashflows$death_Refund_past, v=self$v) * cashflows[,"death_GrossPremium"];
+
pv = cbind(
premiums = calculatePVSurvival (q, cashflows$premiums_advance, cashflows$premiums_arrears, m=premiumFrequency, mCorrection=premiumFrequencyCorrection, v=self$v),
guaranteed = calculatePVSurvival (q*0, cashflows$guaranteed_advance, cashflows$guaranteed_arrears, m=benefitFrequency, mCorrection=benefitFrequencyCorrection, v=self$v),
survival = calculatePVSurvival (q, cashflows$survival_advance, cashflows$survival_arrears, m=benefitFrequency, mCorrection=benefitFrequencyCorrection, v=self$v),
death_SumInsured = calculatePVDeath (q, cashflows$death_SumInsured, v=self$v),
- death_GrossPremium = calculatePVDeath (q, cashflows$death_GrossPremium, v=self$v),
+ death_GrossPremium = pvRefund,
+ death_Refund_past = pvRefundPast,
+ death_Refund_future = pvRefund - pvRefundPast,
death_PremiumFree = calculatePVDeath (q, cashflows$death_PremiumFree, v=self$v)
);
rownames(pv) <- pad0(rownames(qq), len);
@@ -253,12 +261,12 @@ InsuranceTarif = R6Class(
cashflows[,c("premiums_advance", "premiums_arrears")] = cashflows[,c("premiums_advance", "premiums_arrears")] * premiums[["gross"]];
cashflows[,c("guaranteed_advance", "guaranteed_arrears", "survival_advance", "survival_arrears", "death_SumInsured", "death_PremiumFree")] =
cashflows[,c("guaranteed_advance", "guaranteed_arrears", "survival_advance", "survival_arrears", "death_SumInsured", "death_PremiumFree")] * sumInsured;
- cashflows[,"death_GrossPremium"] = cashflows[,"death_GrossPremium"] * premiums[["gross"]] * (1+refundAddon);
+ cashflows[,c("death_GrossPremium", "death_Refund_past")] = cashflows[,c("death_GrossPremium","death_Refund_past")] * premiums[["gross"]] * (1+refundAddon);
# Sum all death-related payments to "death" and remove the death_GrossPremium column
cashflows[,"death_SumInsured"] = cashflows[,"death_SumInsured"] + cashflows[,"death_GrossPremium"]
colnames(cashflows)[colnames(cashflows)=="death_SumInsured"] = "death";
- cashflows[,"death_GrossPremium"] = NULL;
+ # cashflows[,"death_GrossPremium"] = NULL;
cashflowsCosts = cashflowsCosts[,,"SumInsured"] * sumInsured +
cashflowsCosts[,,"SumPremiums"] * premiumSum * premiums[["gross"]] +
@@ -278,11 +286,11 @@ InsuranceTarif = R6Class(
pv[,"premiums"] = pv[,"premiums"] * premiums[["gross"]];
pv[,c("guaranteed", "survival", "death_SumInsured", "death_PremiumFree")] =
pv[,c("guaranteed", "survival", "death_SumInsured", "death_PremiumFree")] * sumInsured;
- pv[,"death_GrossPremium"] = pv[,"death_GrossPremium"] * premiums[["gross"]] * (1+refundAddon);
+ pv[,c("death_GrossPremium", "death_Refund_past", "death_Refund_future")] = pv[,c("death_GrossPremium", "death_Refund_past", "death_Refund_future")] * premiums[["gross"]] * (1+refundAddon);
pv[,c("benefits", "benefitsAndRefund", "alpha", "Zillmer", "beta", "gamma", "gamma_nopremiums")] =
pv[,c("benefits", "benefitsAndRefund", "alpha", "Zillmer", "beta", "gamma", "gamma_nopremiums")] * sumInsured;
- # Sum all death-related payments to "death" and remove the death_GrossPremium column
+ # Sum all death-related payments to "death" and remove the death_SumInsured column
pv[,"death_SumInsured"] = pv[,"death_SumInsured"] + pv[,"death_GrossPremium"]
colnames(pv)[colnames(pv)=="death_SumInsured"] = "death";
@@ -462,17 +470,43 @@ InsuranceTarif = R6Class(
if (!is.null(self$surrenderValueCalculation)) {
surrenderValue = self$surrenderValueCalculation(
resReduction, reserves=res, premiums=premiums, presentValues=presentValues,
- cashflows=cashflows, sumInsured=sumInsured, premiumSum=premiumdSum,
+ cashflows=cashflows, sumInsured=sumInsured, premiumSum=premiumSum,
policyPeriod = policyPeriod, age = age, ...);
} else {
surrenderValue = resReduction;
}
- # res.premiumfree =
+ # Calculate new sum insured after premium waiver
+ Storno = 0; # TODO: Implement storno costs
+ newSI = (resReduction - presentValues[,"death_Refund_past"] * (1+self$loadings$security) - c(Storno)) / (presentValues[, "benefits"] * (1+self$loadings$security) + presentValues[, "gamma_nopremiums"]) * sumInsured;
+# str(newSI);
+
+ zaehler=(resReduction - presentValues[,"death_Refund_past"] * (1+self$loadings$security) - c(Storno));
+ nenner=(presentValues[, "benefits"] * (1+self$loadings$security) + presentValues[, "gamma_nopremiums"]) / sumInsured;
+
+ # str(resReduction);
+ # str(presentValues[,"death_Refund_past"] * cashflows$death_GrossPremium * (1+self$loadings$security) * premiums[["gross"]]);
+ # str(presentValues[,"death_Refund_past"]);
+ # str(cashflows$death_GrossPremium * (1+self$loadings$security) * premiums[["gross"]]);
+ str(cashflows$death_GrossPremium);
+ str(cashflows);
+ str((1+self$loadings$security));
+ str(premiums[["gross"]]);
+ # str(presentValues[, "benefits"] * (1+self$loadings$security) + presentValues[, "gamma_nopremiums"]);
+
+
+
+ # res.premiumfree =
# res.gamma.premiumfree =
- cbind(res, "Surrender"=surrenderValue)
+ cbind(res,
+ "PremiumsPaid"=Reduce("+", cashflows$premiums_advance, accumulate = TRUE),
+ "Surrender"=surrenderValue,
+ "PremiumFreeSumInsured" = newSI,
+ "RedWert_Zaehler" = zaehler,
+ "RedWert_Nenner" = nenner
+ )
},
premiumDecomposition = function(premiums, reserves, cashflows, presentValues, q, sumInsured=1, ...) {
--
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