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Commit f65f0af3 authored by Reinhold Kainhofer's avatar Reinhold Kainhofer
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Implement US 1994 GAM/GAR and 1996 IAM annuity tables as data sets

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data-raw/US/Annuities/USA_Annuities.xlsx
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data-raw/US/create_MortalityTables_US_Annuities.R
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......@@ -457,70 +457,82 @@ save(USA1983GAM,
##############################################################################h#
USA1994GAM.data = read_excel(
US.annuities.file, sheet = "1994 GAR",
US.annuities.file, sheet = "1994 GAM - GAR",
col_names = c("age","qx", "AAx", "qy", "AAy", "qxBasic", "qyBasic"),
skip = 4)
USA1994GAM.male.basic = mortalityTable.period(
name = "USA 1994 GAM basic (unloaded), male",
ages = USA1994GAM.data$age,
deathProbs = USA1994GAM.data$qxBasic,
data = list(
dim = list(table = "1994 GAM", sex = "m", collar = "group Mortality", type = "Rententafel", data = "unloaded", year = 1994)
)
)
USA1994GAM.female.basic = mortalityTable.period(
name = "USA 1994 GAM basic (unloaded), female",
ages = USA1994GAM.data$age,
deathProbs = USA1994GAM.data$qyBasic,
data = list(
dim = list(table = "1994 GAM", sex = "f", collar = "group Mortality", type = "Rententafel", data = "unloaded", year = 1994)
)
)
skip = 6)
USA1994GAR.male = mortalityTable.improvementFactors(
name = "USA 1994 GAR, male",
ages = USA1994GAM.data$age,
deathProbs = USA1994GAM.data$qx,
improvement = USA1994GAM.data$AAx,
data = list(
dim = list(table = "1994 GAR", sex = "m", collar = "group Reserving", type = "Rententafel", data = "loaded", year = 1994)
)
)
USA1994GAM = array(
data = c(
mortalityTable.period(
name = "USA 1994 GAM basic, male",
ages = USA1994GAM.data$age,
deathProbs = USA1994GAM.data$qxBasic,
data = list(
dim = list(table = "1994 GAM Basic", sex = "m", collar = "group Mortality", type = "Rententafel", data = "unloaded", year = 1994, country = "USA")
)
),
USA1994GAR.female = mortalityTable.improvementFactors(
name = "USA 1994 GAR, female",
ages = USA1994GAM.data$age,
deathProbs = USA1994GAM.data$qy,
improvement = USA1994GAM.data$AAy,
data = list(
dim = list(table = "1994 GAR", sex = "f", collar = "group Reserving", type = "Rententafel", data = "loaded", year = 1994)
)
)
mortalityTable.period(
name = "USA 1994 GAM basic, female",
ages = USA1994GAM.data$age,
deathProbs = USA1994GAM.data$qyBasic,
data = list(
dim = list(table = "1994 GAM Basic", sex = "f", collar = "group Mortality", type = "Rententafel", data = "unloaded", year = 1994, country = "USA")
)
),
mortalityTable.period(
name = "USA 1994 GAM, male",
ages = USA1994GAM.data$age,
deathProbs = USA1994GAM.data$qxBasic,
data = list(
dim = list(table = "1994 GAM", sex = "m", collar = "group Mortality", type = "Rententafel", data = "loaded", year = 1994, country = "USA")
)
),
USA1994GAM = array(
data = c(
USA1994GAM.male.basic, USA1994GAM.female.basic
mortalityTable.period(
name = "USA 1994 GAM, female",
ages = USA1994GAM.data$age,
deathProbs = USA1994GAM.data$qyBasic,
data = list(
dim = list(table = "1994 GAM", sex = "f", collar = "group Mortality", type = "Rententafel", data = "loaded", year = 1994, country = "USA")
)
)
),
dim = c(2),
dimnames = list(Sex = c("m", "f"))
dim = c(2, 2),
dimnames = list(Sex = c("m", "f"), type = c("basic", "loaded"))
)
USA1994GAR = array(
data = c(
USA1994GAR.male, USA1994GAR.female
mortalityTable.improvementFactors(
name = "USA 1994 GAR, male",
ages = USA1994GAM.data$age,
deathProbs = USA1994GAM.data$qx,
improvement = USA1994GAM.data$AAx,
data = list(
dim = list(table = "1994 GAR", sex = "m", collar = "group Reserving", type = "Rententafel", data = "loaded", year = 1994, country = "USA")
)
),
mortalityTable.improvementFactors(
name = "USA 1994 GAR, female",
ages = USA1994GAM.data$age,
deathProbs = USA1994GAM.data$qy,
improvement = USA1994GAM.data$AAy,
data = list(
dim = list(table = "1994 GAR", sex = "f", collar = "group Reserving", type = "Rententafel", data = "loaded", year = 1994, country = "USA")
)
)
),
dim = c(2),
dimnames = list(Sex = c("m", "f"))
)
save(USA1994GAM, USA1994GAM.male.basic, USA1994GAM.female.basic,
save(USA1994GAM,
file = here::here("data", "USA1994GAM.RData")
)
save(USA1994GAR, USA1994GAR.male, USA1994GAR.female,
save(USA1994GAR,
file = here::here("data", "USA1994GAR.RData")
)
......@@ -528,6 +540,65 @@ save(USA1994GAR, USA1994GAR.male, USA1994GAR.female,
##############################################################################h#
### 1996 IAM individual annuity mortality table (period table) ####
##############################################################################h#
USA1996IAM.data = read_excel(
US.annuities.file, sheet = "1996 IAM",
col_names = c("age","qx", "qy", "qxBasic", "qyBasic"),
skip = 6)
USA1996IAM = array(
data = c(
mortalityTable.period(
name = "USA 1996 IAM basic, male",
ages = USA1996IAM.data$age,
deathProbs = USA1996IAM.data$qxBasic,
data = list(
dim = list(table = "1996 IAM Basic", sex = "m", collar = "Mortality", type = "Rententafel", data = "unloaded", year = 1996, country = "USA")
)
),
mortalityTable.period(
name = "USA 1996 IAM basic, female",
ages = USA1996IAM.data$age,
deathProbs = USA1996IAM.data$qyBasic,
data = list(
dim = list(table = "1996 IAM Basic", sex = "f", collar = "Mortality", type = "Rententafel", data = "unloaded", year = 1996, country = "USA")
)
),
mortalityTable.period(
name = "USA 1996 IAM, male",
ages = USA1996IAM.data$age,
deathProbs = USA1996IAM.data$qxBasic,
data = list(
dim = list(table = "1996 IAM", sex = "m", collar = "Mortality", type = "Rententafel", data = "loaded", year = 1996, country = "USA")
)
),
mortalityTable.period(
name = "USA 1996 IAM, female",
ages = USA1996IAM.data$age,
deathProbs = USA1996IAM.data$qyBasic,
data = list(
dim = list(table = "1996 IAM", sex = "f", collar = "Mortality", type = "Rententafel", data = "loaded", year = 1996, country = "USA")
)
)
),
dim = c(2, 2),
dimnames = list(Sex = c("m", "f"), type = c("basic", "loaded"))
)
save(USA1996IAM,
file = here::here("data", "USA1996IAM.RData")
)
#################################################################################h#
### Annuity 2000 Basic (unloaded) and Mortality (loaded) Tables, PERIOD tables ####
#################################################################################h#
......
data/USA1994GAM.RData
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data/USA1994GAR.RData
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data/USA1996IAM.RData 0 → 100644
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File added
vignettes/international-mortality-tables-overview.Rmd
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......@@ -992,6 +992,7 @@ https://aktuar.de/unsere-themen/lebensversicherung/Seiten/default.aspx
## Population Mortality
https://www.cso.ie/en/statistics/birthsdeathsandmarriages/archive/irishlifetables1926to2012/
https://www.cso.ie/en/releasesandpublications/er/ilt/irishlifetablesno172015-2017/
* gender-specific period tables
* male+female, ages 0--105, earlier tables gave only $l_x$ and $e_x$, but no $q_x$
......@@ -1539,21 +1540,26 @@ plotMortalityTables(
* 1983 IAM (Table a) (Individual Annuity)
* Source: Society of Actuaries, “Report of the Committee to Recommend a New Mortality Table Basis for Individual Annuity Valuation (Derivation of the 1983 Table a)”, Transactions of the Society of Actuaries, Vol. 33. (1981). http://www.soa.org/Library/Research/Transactions-Of-Society-Of-Actuaries/1981/January/tsa81v3325.pdf
* 1983 GAM (Group Annuity Mortality)
* Source: Committee on Annuities, “Development of the 1983 Group Annuity Mortality Table”, Transaction of the Society of Actuaries Vol. XXXV, pp.859-899 (1983). http://www.soa.org/Library/Research/Transactions-Of-Society-Of-Actuaries/1983/January/tsa83v3527.pdf
* Source: Committee on Annuities, “Development of the 1983 Group Annuity Mortality Table”, Transactions of the Society of Actuaries Vol. XXXV, pp.859-899 (1983). http://www.soa.org/Library/Research/Transactions-Of-Society-Of-Actuaries/1983/January/tsa83v3527.pdf
* 1994 GAR (Group Annuity Reserving), 1994 GAM, 1994 GAM Basic
* Source: Society of Actuaries
Group Annuity Valuation Table Task Force, "1994 Group Annuity Mortality Table and 1994 Group Annuity Reserving Table", Transactions of the Society of Actuaries, Vol.47, 1995, pp.865-872. https://www.soa.org/globalassets/assets/library/research/transactions-of-society-of-actuaries/1990-95/1995/january/tsa95v4722.pdf
* 1996 IAM (Individual Annuity Mortality)
* Source: Robert J. Johansen, “Review of Adequacy of 1983 Individual annuity Mortality Table”, Transactions of the Society of Actuaries Vol. XLVII (1995), http://www.soa.org/Library/Research/Transactions-Of-Society-Of-Actuaries/1990-95/1995/January/tsa95v479.pdf
* 1994 GAR (Group Annuity Reserving)
* 1996 IAM (Individual Annuity Mortality)
* 2012 IAR (Individual Annuity Reserving)
* Annuity 2000
* Annuity 2000 Mortality Table
* 2012 Individual Annuity Reserve Valuation Table (2012 IAR = 2012 IAM Period Table + Scale G2
* 2012 IAM Basic table with selection factors $F_x$ (when little or no experience is available on a business sgment (VM-21 Section 11 B.3)
* Source: Society of
Actuaries Committee on Life Insurance Research and shown on page 240 of Volume XLVII of the
Transactions of the Society of Actuaries (1995)
* 2012 IAR (Individual Annuity Reserving) Valuation Table (2012 IAR = 2012 IAM Period Table + Scale G2
* 2012 IAM Basic table with selection factors $F_x$ (when little or no experience is available on a business segment (VM-21 Section 11 B.3)
* GAM-94 generational tables using Scale AA
* UP-94 table with 7% margin
Usage in R:
```{r AnnuitiesUS}
......@@ -1568,13 +1574,15 @@ plotMortalityTables(
USA1971GAM,
USA1983IAM,
USA1983GAM,
USA1994GAR,
USA1994GAM,
USA1994GAR,
USA1996IAM,
USAAnnuity2000,
aes = aes(color = table),
legend.position = "bottom",
legend.key.width = unit(2, "lines")
legend.key.width = unit(2, "lines"),
Period = 2020
) + facet_grid(sex~data)
```
......
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