volrisk

The volrisk package provides simulation tools for modeling stochastic cash flows in life reinsurance contracts with profit commission provisions.

Features

Create insurance portfolios with validation
Simulate death and lapse events under stochastic assumptions
Calculate profit commissions from simulated cash flows
Quantify risk using Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR)

Installation

# Install from GitHub
devtools::install_github("taku1094/volrisk")
library(volrisk)

Example Usage

1. Generate Portfolio

port <- make_portfolio(example_portfolio, cols = list(
  unique_id = "POL_ID",
  client_id = "CLIENT_ID",
  duration = "DURATION",
  mortality = "MORTALITY",
  lapse = "LAPSE",
  nar = "NAR",
  rate = "RATE"
))

2. Run Simulation

simulation(
  port, 
  n_sim = 10, 
  split = 100,
  seed = 12345,
  output_format = "csv", 
  output_path = tempdir()
)

3. Calculate Profit Commission

data(example_simulation)

example_simulation_with_PC <- example_simulation %>%
  dplyr::group_by(split, sim_n) %>%
  dplyr::mutate(
    PC = calc_pc(PREM, CLAIM,
                 pc_rate = 0.9,
                 me = 0.05,
                 loss_carry = "N",
                 duration = DURATION)
  ) %>%
  dplyr::ungroup()

4. Evaluate Risk

result <- risk(
  example_simulation,
  time_horizon = c(1, 10),
  level = c(0.01, 0.99),
  discount = 0.02,
  output = "BAL"
)