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)

AccumCF(t)[source]¶: Accumulated cashflows

ActualNetCF(t)[source]¶: Acutal net cashflow

NetBalance(t)[source]¶: Net insurance assets plus accumulated cashflows.

NetInsurAssets(t)[source]¶: Net Insurance Assets or Liabilities

Warning

The liabilities for incurred claims are not implemented.

PV_FutureCF(t)[source]¶: Present value of future cashflows

RiskAdjustment(t)[source]¶: Risk Adjustment

Warning

To be implemented

CSM_Unfloored(t)[source]¶: Unfloored CSM (38, 44)

CSM(t)[source]¶: floored CSM (38, 44)

LossComp(t)[source]¶: Loss Component

Incr_LossComp(t)[source]¶: Increase in Loss Component

AdjLCO_FulfCF(t)[source]¶: Adjustment to Loss Component for changes in fulfilment cashflows

IntAccrCSM(t)[source]¶: Interest accreted on CSM (44(b))

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.

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.

TransServices(t)[source]¶: Transfer of services (44(e)->B119)

CovUnitsBeg1(t)[source]¶: The number of coverage units at t after new business

CovUnitsEnd(t)[source]¶: The number of coverage units at t

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.

ProfitBefTax(t)[source]¶: IFRS Profit before tax

InsServiceResult(t)[source]¶: Insurance Service Result (80(a), 83-86)

InsurFinIncomeExps(t)[source]¶: Insurance Finance Income or Expenses (80(b), 87-92, B128-B136)

Warning

Accounting Policy Choice 88(b) not implemented.

InsurRevenue(t)[source]¶: Insurance Revenue (82-85, B120-B125)

EstPremIncome(t)[source]¶: Expected Premium Income

EstAcqCashflow(t)[source]¶: Expected Acquisition Cashflow

EstIntOnCF(t)[source]¶: Expected Interest on future cashflows

EstClaim(t)[source]¶: Expected Claims

Warning

Using actuarl invest componets as proxy.

EstExps(t)[source]¶: Expected Expenses

AsmpChangeImpact(t)[source]¶: Non-financial assumption changes

RelsRiskAdj(t)[source]¶: Release of Risk Adjustment to Revenue

Warning

To be implemented.

InsurServiceExps(t)[source]¶: Insurance Service Expense (103(b))

IncurClaim(t)[source]¶: Incurred Claims

InvstComponent(t)[source]¶: Investment Components in Incur Claims

Warning

To be implemented.

IncurExps(t)[source]¶: Incurred Expenses

AcqPremRatio()[source]¶

Ratio of PV Acquisiton Cashflows to PV Premiums.

The ratio is determined by the expectation at issue.

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.