The ProductBase Space

Base projection logic for all products

The ProductBase space serves as the base space for concrete product spaces defined in the Run space.

This space defines main projection logic that is common for all products.

Projection parameters

fixed_params()	Fixed parameters
proj_len()	Projection length in months
scen_index()
asmp_id()	Assumption ID
date_id()	Date ID

Model point data

model_point()	Target model points
model_point_index()	Index for model points
model_point_table_ext()	Extended model point table
age(t)	The attained age at time t.
sex()	The sex of the model points
age_at_entry()	The age at entry of the model points
av_pp_init()	Initial account value per policy
commission_rate()	Commission rate
duration(t)	Duration of model points at t in years
duration_mth(t)	Duration of model points at t in months
duration_mth_init()	Initial duration in month
has_gmab()	Whether GMAB is attached
has_gmdb()	Whether GMDB is attached
has_surr_charge()	Whether surrender charge applies
is_wl()	Whether the model point is whole life
maint_fee_rate()	Maintenance fee per account value
policy_term()	The policy term of the model points.
premium_type()	Type of premium payment
sum_assured()	The sum assured of the model points
surr_charge_id()	ID of surrender charge pattern

Assumptions

base_lapse_rate(t)	Base lapse rate
is_lapse_dynamic()	Whether the lapse assumption is dynamic
dyn_lapse_param()	Dynamic lapse parameters
dyn_lapse_factor(t)	Dynamic lapse factor
lapse_rate_key(t)	Index keys to retrieve lapse rates for time t
lapse_rate(t)	Lapse rate
disc_factors(t)	Discount factors.
disc_rate(t)	Discount rate to be applied at time t
disc_rate_mth(t)	Monthly discount rate
expense_acq()	Acquisition expense per policy
expense_maint()	Annual maintenance expense per policy
inflation_rate()	Inflation rate
inflation_factor(t)	The inflation factor at time t
mort_last_age()	The last age of mortality tables
base_mort_rate(t)	Base mortality rate to be applied at time t
mort_rate(t)	Mortality rates for time t
mort_rate_key(t)	Index keys to retrieve mortality rates for time t
mort_rate_mth(t)	Monthly mortality rate to be applied at time t
mort_table_id()	Mortality table IDs

Policy values

claim_net_pp(t, kind)	Per policy claim in excess of account value
claim_pp(t, kind)	Claim per policy
coi_pp(t)	Cost of insurance charges per policy
coi_rate(t)	Cost of insurance rate per account value
premium_pp(t)	Premium amount per policy
surr_charge_key(t)	Index keys to retrieve surrender charge rates at time t
surr_charge_rate(t)	Surrender charge rate

Policy decrement

pols_if(t)	Number of policies in-force
pols_if_at(t, timing)	Number of policies in-force
pols_if_init()	Initial number of policies in-force
pols_lapse(t)	Number of lapse
pols_death(t)	Number of death
pols_maturity(t)	Number of maturing policies
pols_new_biz(t)	Number of new business policies

Account Value

inv_income(t)	Investment income on account value
inv_income_pp(t)	Investment income on account value per policy
inv_return_mth(t)	Rate of investment return
av_at(t, timing)	Account value in-force
av_change(t)	Change in account value
av_pp_at(t, timing)	Account value per policy
csv_pp(t)	Cash surrender value per policy
coi(t)	Cost of insurance charges
maint_fee(t)	Maintenance fee deducted from account value
maint_fee_pp(t)	Maintenance fee per policy
net_amt_at_risk(t)	Net amount at risk per policy
prem_to_av(t)	Premium portion put in account value
prem_to_av_pp(t)	Per-policy premium portion put in the account value

Cashflows

claims(t[, kind])	Claims
claims_from_av(t, kind)	Account value taken out to pay claim
claims_over_av(t, kind)	Claim in excess of account value
commissions(t)	Commissions
expenses(t)	Expenses
surr_charge(t)	Surrender charge
net_cf(t)	Net cashflow

Margin Analysis

margin_expense(t)	Expense margin
margin_guarantee(t)	Mortality margin

Present values

pv_av_change()	Present value of change in account value
pv_claims([kind])	Present value of claims
pv_claims_from_av([kind])	Present value of claims
pv_claims_over_av([kind])	Present value of claims
pv_commissions()	Present value of commissions
pv_expenses()	Present value of expenses
pv_inv_income()	Present value of investment income
pv_maint_fee()	Present value of maintenance fees
pv_net_cf()	Present value of net cashflows.
pv_pols_if()	Present value of policies in-force
pv_premiums()	Present value of premiums

Results and output

result_pv()	Result table of present value of cashflows
result_cf()	Result table of cashflows
result_pols()	Result table of policy decrement
result_sample([point_id, scen])	Sample projection result for a specific model point and scenario
excel_sample([point_id, scen])	Output sample cashflows to Excel

Validation

check_av_roll_fwd()	Check account value roll-forward
check_margin()	Check consistency between net cashflow and margins
check_pv_net_cf()	Check present value summation