ifrs

Source module for IFRS17 CSM amortization simulation

This module contains formulas to simulate amortization of contract service margin (CSM) defined in IFRS17.

This module is a mix-in module to projection module in nestedlife project.

Cells

AccumCF(t) Accumulated cashflows
AcqPremRatio() Ratio of PV Acquisiton Cashflows to PV Premiums.
ActualNetCF(t) Acutal net cashflow
AdjCSM_FlufCF(t) Adjustment to CSM for changes in fulfilment cashflows (44(c)->B96-B100)
AdjLCO_FulfCF(t) Adjustment to Loss Component for changes in fulfilment cashflows
AmortAcqCashflow(t) Amortization of Acquisition Cash Flows
AsmpChangeImpact(t) Non-financial assumption changes
CSM(t) floored CSM (38, 44)
CSM_Unfloored(t) Unfloored CSM (38, 44)
CovUnitsBeg1(t) The number of coverage units at t after new business
CovUnitsEnd(t) The number of coverage units at t
EstAcqCashflow(t) Expected Acquisition Cashflow
EstClaim(t) Expected Claims
EstExps(t) Expected Expenses
EstIntOnCF(t) Expected Interest on future cashflows
EstPremIncome(t) Expected Premium Income
Incr_LossComp(t) Increase in Loss Component
IncurClaim(t) Incurred Claims
IncurExps(t) Incurred Expenses
InsServiceResult(t) Insurance Service Result (80(a), 83-86)
InsurFinIncomeExps(t) Insurance Finance Income or Expenses (80(b), 87-92, B128-B136)
InsurRevenue(t) Insurance Revenue (82-85, B120-B125)
InsurServiceExps(t) Insurance Service Expense (103(b))
IntAccrCSM(t) Interest accreted on CSM (44(b))
InvstComponent(t) Investment Components in Incur Claims
LossComp(t) Loss Component
NetBalance(t) Net insurance assets plus accumulated cashflows.
NetInsurAssets(t) Net Insurance Assets or Liabilities
PV_Cashflow(t, t_at, t_rate) Present value of future cashflows
PV_FutureCF(t) Present value of future cashflows
PV_SumCovUnits(t, t_rate) Present value of cumulatvie coverage units
ProfitBefTax(t) IFRS Profit before tax
RelsRiskAdj(t) Release of Risk Adjustment to Revenue
RiskAdjustment(t) Risk Adjustment
TransServices(t) Transfer of services (44(e)->B119)
ifrs17sim.ifrs.AccumCF(t)[source]

Accumulated cashflows

ifrs17sim.ifrs.ActualNetCF(t)[source]

Acutal net cashflow

ifrs17sim.ifrs.NetBalance(t)[source]

Net insurance assets plus accumulated cashflows.

ifrs17sim.ifrs.NetInsurAssets(t)[source]

Net Insurance Assets or Liabilities

Warning

The liabilities for incurred claims are not implemented.

ifrs17sim.ifrs.PV_FutureCF(t)[source]

Present value of future cashflows

ifrs17sim.ifrs.RiskAdjustment(t)[source]

Risk Adjustment

Warning

To be implemented

ifrs17sim.ifrs.CSM_Unfloored(t)[source]

Unfloored CSM (38, 44)

ifrs17sim.ifrs.CSM(t)[source]

floored CSM (38, 44)

ifrs17sim.ifrs.LossComp(t)[source]

Loss Component

ifrs17sim.ifrs.Incr_LossComp(t)[source]

Increase in Loss Component

ifrs17sim.ifrs.AdjLCO_FulfCF(t)[source]

Adjustment to Loss Component for changes in fulfilment cashflows

ifrs17sim.ifrs.IntAccrCSM(t)[source]

Interest accreted on CSM (44(b))

ifrs17sim.ifrs.AdjCSM_FlufCF(t)[source]

Adjustment to CSM for changes in fulfilment cashflows (44(c)->B96-B100)

Warning

Only B96(b) changes in PV of the future cashflows are implemented.

TODO: Risk Adjustment is yet to be implemented. At the momement this adjustment only considers present value of future cashflows.

TODO: Loss component for onerous contracts are yet to be implemented. At the momemnt this adjustment allows negative CSM.

ifrs17sim.ifrs.PV_Cashflow(t, t_at, t_rate)[source]

Present value of future cashflows

This formula takes 3 time parameters. The projection starts from t, and the projected cashflows are discounted back to t_at. The discount rates applied are the ones at t_rate.

Parameters:
  • t – Time from which the projection
  • t_at – Time discount rates at which are used.
  • t_rate – Time to which the cashflows are discounted.
ifrs17sim.ifrs.TransServices(t)[source]

Transfer of services (44(e)->B119)

ifrs17sim.ifrs.CovUnitsBeg1(t)[source]

The number of coverage units at t after new business

ifrs17sim.ifrs.CovUnitsEnd(t)[source]

The number of coverage units at t

ifrs17sim.ifrs.PV_SumCovUnits(t, t_rate)[source]

Present value of cumulatvie coverage units

The non-economic assumptions used for future estimation are the current estimate at time t.

The discount rates used are the ones at time t_rate.

ifrs17sim.ifrs.ProfitBefTax(t)[source]

IFRS Profit before tax

ifrs17sim.ifrs.InsServiceResult(t)[source]

Insurance Service Result (80(a), 83-86)

ifrs17sim.ifrs.InsurFinIncomeExps(t)[source]

Insurance Finance Income or Expenses (80(b), 87-92, B128-B136)

Warning

Accounting Policy Choice 88(b) not implemented.

ifrs17sim.ifrs.InsurRevenue(t)[source]

Insurance Revenue (82-85, B120-B125)

ifrs17sim.ifrs.EstPremIncome(t)[source]

Expected Premium Income

ifrs17sim.ifrs.EstAcqCashflow(t)[source]

Expected Acquisition Cashflow

ifrs17sim.ifrs.EstIntOnCF(t)[source]

Expected Interest on future cashflows

ifrs17sim.ifrs.EstClaim(t)[source]

Expected Claims

Warning

Using actuarl invest componets as proxy.

ifrs17sim.ifrs.EstExps(t)[source]

Expected Expenses

ifrs17sim.ifrs.AsmpChangeImpact(t)[source]

Non-financial assumption changes

ifrs17sim.ifrs.RelsRiskAdj(t)[source]

Release of Risk Adjustment to Revenue

Warning

To be implemented.

ifrs17sim.ifrs.InsurServiceExps(t)[source]

Insurance Service Expense (103(b))

ifrs17sim.ifrs.IncurClaim(t)[source]

Incurred Claims

ifrs17sim.ifrs.InvstComponent(t)[source]

Investment Components in Incur Claims

Warning

To be implemented.

ifrs17sim.ifrs.IncurExps(t)[source]

Incurred Expenses

ifrs17sim.ifrs.AcqPremRatio()[source]

Ratio of PV Acquisiton Cashflows to PV Premiums.

The ratio is determined by the expectation at issue.

ifrs17sim.ifrs.AmortAcqCashflow(t)[source]

Amortization of Acquisition Cash Flows

Warning

Implemented as a constant percentage of actual premiums, thus not totalling the original amount if actual != expected.