Project nestedlife

The nestedlife project has the same annual projection model of basic traditional life policies as simplelife, but at each projection step, a nested projection going forward from the step is carried out. The outer and nested projections share the same base assumptions, but the assumptions of the nested projections can be adjusted based on how the outer projection develops up to each projection step at which point a nested projection starts.

The main purpose of this model is to simulate actual/realistic cashflows as the outer projection, and expected future cashflows at each projection step as each of the inner projection.

Model Structure

Composition Structure

Input Space and Economic Space hold input data read from input.xlsx. LifeTable Space is the same is the one in simplelife, and calculates commutation functions and actuarial notations. BaseProj, and PV serve as base Spaces for OuterProj and InnerProj. OuterProj is for carrying out outer projections,

As is the case of simplelife, The OuterProj is parametrized with PolicyID, so Projection[1] represents the Projection Space for Policy 1. The present values of the cashflow items are also calculated in the OuterProj Spaces. For example, the expression nestedlife.OuterProj[1].PV_NetCashflow(0) returns the present value of net cashflows for Policy 1.

blockdiag nestedlife OuterProj [PolicyID, ScenID=1] Economic LifeTable Input BaseProj PV InnerProj[t0] Policy Assumptions

Inheritance Structure

blockdiag BaseProj OuterProj InnerProj
blockdiag PV OuterProj InnerProj

Space Details

Input

Input from files

Economic

Economic scenarios

BaseProj

Base Space for the OuterProj and InnerProj.

Assumptions

Assumption input and calculations for individual policies.

LifeTable

Commutation functions and actuarial notations

PV

Present Value mix-in Space

OuterProj

Policy

Policy attributes and policy values

InnerProj