Create matrix of agreed future payments (without mortality probabilities)
generate_annuity_payments.RdCreates a matrix with one row per annuitiy and agreed future payments in columns. Mortality probabilities are not taken into account here.
Usage
generate_annuity_payments(
annuities,
last_orig_year,
indices = NULL,
future_annuities = FALSE
)Arguments
- annuities
dataframe, see description of
pool_of_annuitiesin details ofprepare_data().- last_orig_year
Integer value for the last origin year which will also be treated as the last calendar year, usually the calendar year just ended.
- indices
dataframe for indexation, see details of
prepare_data(). Only needed if at least one annuity's calendar_year is not equal to last_orig_year, in particular not needed for rolling out active annuities. Default: Null- future_annuities
TRUE if this function is used to calculate future annuities, FALSE for known annuities. Default: FALSE
Details
In order to reduce computing time when rolling out annuities, they are split into two matrices, one with agreed
future payments and one with the corresponding survival probabilities. This is the function for the first.
The function uses the entries of the columns Annual_payment, Dynamic, Annuity_start and Annuity_end to
create the deterministic agreed future payments. If Calendar_year is not equal to last_orig_year, the
payments are indexed to last_orig_year which is important when using annuity pools to predict future annuities.
In this case the dataframe indices is needed.
Examples
# this example uses data provided with this package
# Example without indexation
print(minimal_active_annuities_xmpl)
#> Claim_id Annuity_id Origin_year Calendar_year Entering_year Annuity_start
#> 1 Claim#43 1 2006 2023 2009 2009
#> 2 Claim#51 1 2010 2023 2013 2036
#> 3 Claim#13 1 1990 2023 1992 1992
#> Annuity_end Birth_year Gender Annual_payment Dynamic
#> 1 0 1939 m 12168.21 0
#> 2 2051 1986 m 12893.00 0
#> 3 0 1958 w 11807.36 0
# show only the first 10 columns
generate_annuity_payments(annuities = minimal_active_annuities_xmpl,
last_orig_year = 2023)[,1:10]
#> [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
#> [1,] 12168.21 12168.21 12168.21 12168.21 12168.21 12168.21 12168.21 12168.21
#> [2,] 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
#> [3,] 11807.36 11807.36 11807.36 11807.36 11807.36 11807.36 11807.36 11807.36
#> [,9] [,10]
#> [1,] 12168.21 12168.21
#> [2,] 0.00 0.00
#> [3,] 11807.36 11807.36
# Example with indexation
print(minimal_pool_of_annuities_xmpl)
#> Claim_id Annuity_id Origin_year Calendar_year Entering_year Annuity_start
#> 1 Claim#43 1 2006 2009 2009 2009
#> 2 Claim#51 1 2010 2013 2013 2036
#> 3 Claim#13 2 1990 2009 2009 2009
#> 4 Claim#22 1 1996 2004 2004 2004
#> 5 Claim#22 2 1996 2004 2004 2016
#> Annuity_end Birth_year Gender Annual_payment Dynamic
#> 1 0 1939 m 12168.214 0
#> 2 2051 1986 m 12892.997 0
#> 3 2012 1988 w 7094.071 0
#> 4 2016 1960 m 5645.357 0
#> 5 2025 1960 m 41642.501 0
# show only the first 10 columns
generate_annuity_payments(annuities = minimal_pool_of_annuities_xmpl,
last_orig_year = 2023,
indices = indices_xmpl,
future_annuities = TRUE)[,1:10]
#> [,1] [,2] [,3] [,4] [,5] [,6] [,7]
#> [1,] 16226.105 16226.105 16226.105 16226.105 16226.105 16226.105 16226.105
#> [2,] 0.000 0.000 0.000 0.000 0.000 0.000 0.000
#> [3,] 9459.822 9459.822 9459.822 9459.822 0.000 0.000 0.000
#> [4,] 8177.771 8177.771 8177.771 8177.771 8177.771 8177.771 8177.771
#> [5,] 0.000 0.000 0.000 0.000 0.000 0.000 0.000
#> [,8] [,9] [,10]
#> [1,] 16226.105 16226.105 16226.105
#> [2,] 0.000 0.000 0.000
#> [3,] 0.000 0.000 0.000
#> [4,] 8177.771 8177.771 8177.771
#> [5,] 0.000 0.000 0.000