"""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.
"""
from modelx.serialize.jsonvalues import *
_formula = None
_bases = []
_allow_none = None
_spaces = []
# ---------------------------------------------------------------------------
# Cells
[docs]def AccumCF(t):
"""Accumulated cashflows"""
return -NetInsurAssets(t)
[docs]def AcqPremRatio():
"""Ratio of PV Acquisiton Cashflows to PV Premiums.
The ratio is determined by the expectation at issue.
"""
pvs = InnerProj(0).PV(0)
return ((pvs.PV_ExpsCommTotal(0) + pvs.PV_ExpsAcq(0))
/ pvs.PV_PremIncome(0))
[docs]def ActualNetCF(t):
"""Acutal net cashflow"""
return NetInsurCF(t) + IntAccumCF(t)
[docs]def AdjCSM_FlufCF(t):
"""Adjustment to CSM for changes in fulfilment cashflows (44(c)->B96-B100)
Warnings:
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.
"""
return PV_Cashflow(t + 1, t + 1, 0) - PV_Cashflow(t, t + 1, 0)
[docs]def AdjLCO_FulfCF(t):
"""Adjustment to Loss Component for changes in fulfilment cashflows"""
if LossComp(t) > 0:
return min(LossComp(t), EstClaim(t) + EstExps(t) + RelsRiskAdj(t))
else:
return 0
[docs]def AmortAcqCashflow(t):
"""Amortization of Acquisition Cash Flows
Warning:
Implemented as a constant percentage of actual premiums,
thus not totalling the original amount if actual != expected.
"""
return -AcqPremRatio * PremIncome(t)
[docs]def AsmpChangeImpact(t):
"""Non-financial assumption changes"""
return PV_Cashflow(t + 1, t + 1, 0) - PV_Cashflow(t, t + 1, 0)
[docs]def CSM(t):
"""floored CSM (38, 44)"""
if t == 0:
# Initial recognition (38)
return max(0, PV_FutureCF(t) - RiskAdjustment(t))
else:
# Subsequent recognition (44)
return max(0, (CSM(t - 1)
+ IntAccrCSM(t - 1)
+ AdjCSM_FlufCF(t - 1)
- TransServices(t - 1)))
[docs]def CSM_Unfloored(t):
"""Unfloored CSM (38, 44)"""
if t == 0:
# Initial recognition (38)
return PV_FutureCF(t) - RiskAdjustment(t)
else:
# Subsequent recognition (44)
return (CSM_Unfloored(t-1)
+ IntAccrCSM(t-1)
+ AdjCSM_FlufCF(t-1)
- TransServices(t-1))
[docs]def CovUnitsBeg1(t):
"""The number of coverage units at `t` after new business"""
return InsurIF_Beg1(t)
[docs]def CovUnitsEnd(t):
"""The number of coverage units at `t`"""
return InsurIF_End(t)
[docs]def EstAcqCashflow(t):
"""Expected Acquisition Cashflow"""
est = InnerProj(t)
return (est.ExpsCommInit(t)
+ est.ExpsCommRen(t)
+ est.ExpsAcq(t))
[docs]def EstClaim(t):
"""Expected Claims
Warning:
Using actuarl invest componets as proxy.
"""
est = InnerProj(t)
return est.BenefitTotal(t) - InvstComponent(t)
[docs]def EstExps(t):
"""Expected Expenses"""
est = InnerProj(t)
return (est.ExpsTotal(t)
- est.ExpsCommInit(t)
- est.ExpsCommRen(t)
- est.ExpsAcq(t))
[docs]def EstIntOnCF(t):
"""Expected Interest on future cashflows"""
return InnerProj(t).PV(t).InterestNetCF(t)
[docs]def EstPremIncome(t):
"""Expected Premium Income"""
return InnerProj(t).PremIncome(t)
[docs]def Incr_LossComp(t):
"""Increase in Loss Component"""
if t == 0:
return LossComp(t)
else:
return max(0, LossComp(t) - LossComp(t - 1))
[docs]def IncurClaim(t):
"""Incurred Claims"""
return BenefitTotal(t) - InvstComponent(t)
[docs]def IncurExps(t):
"""Incurred Expenses"""
return (ExpsTotal(t) - ExpsCommTotal(t) - ExpsAcq(t))
[docs]def InsServiceResult(t):
"""Insurance Service Result (80(a), 83-86)"""
return InsurRevenue(t) - InsurServiceExps(t)
[docs]def InsurFinIncomeExps(t):
"""Insurance Finance Income or Expenses (80(b), 87-92, B128-B136)
Warning:
Accounting Policy Choice 88(b) not implemented.
"""
chg_discrate = (PV_Cashflow(t + 1, t + 1, t + 1)
- PV_Cashflow(t + 1, t + 1, t))
return (EstIntOnCF(t) + chg_discrate
- IntAccrCSM(t) + IntAccumCF(t))
[docs]def InsurRevenue(t):
"""Insurance Revenue (82-85, B120-B125)"""
return (EstClaim(t)
+ EstExps(t)
+ RelsRiskAdj(t)
+ TransServices(t)
+ AmortAcqCashflow(t)
- AdjLCO_FulfCF(t))
[docs]def InsurServiceExps(t):
"""Insurance Service Expense (103(b))"""
return (IncurClaim(t)
+ IncurExps(t)
+ AmortAcqCashflow(t)
+ Incr_LossComp(t)
- AdjLCO_FulfCF(t))
[docs]def IntAccrCSM(t):
"""Interest accreted on CSM (44(b))"""
return CSM(t) * DiscRate(t, 0)
[docs]def InvstComponent(t):
"""Investment Components in Incur Claims
Warning:
To be implemented.
"""
return 0
[docs]def LossComp(t):
"""Loss Component"""
if t == 0:
# Initial recognition
return - min(0, PV_FutureCF(t) - RiskAdjustment(t))
else:
# Subsequent recognition
return max(0, LossComp(t - 1) - AdjLCO_FulfCF(t - 1))
[docs]def NetBalance(t):
"""Net insurance assets plus accumulated cashflows."""
return NetInsurAssets(t) + AccumCF(t)
[docs]def NetInsurAssets(t):
"""Net Insurance Assets or Liabilities
Warnings:
The liabilities for incurred claims are not implemented.
"""
return (PV_FutureCF(t)
- RiskAdjustment(t)
- CSM(t))
[docs]def PV_Cashflow(t, t_at, t_rate):
"""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`.
Args:
t: Time from which the projection
t_at: Time discount rates at which are used.
t_rate: Time to which the cashflows are discounted.
"""
return InnerProj(t).PV(t_rate).PV_NetCashflow(t_at)
[docs]def PV_FutureCF(t):
"""Present value of future cashflows"""
return PV_Cashflow(t, t, t)
[docs]def PV_SumCovUnits(t, t_rate):
"""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`.
"""
return InnerProj(t).PV(t_rate).PV_SumInsurIF(t)
[docs]def ProfitBefTax(t):
"""IFRS Profit before tax"""
return InsServiceResult(t) + InsurFinIncomeExps(t)
[docs]def RelsRiskAdj(t):
"""Release of Risk Adjustment to Revenue
Warning:
To be implemented.
"""
return 0
[docs]def RiskAdjustment(t):
"""Risk Adjustment
Warnings:
To be implemented
"""
return 0
[docs]def TransServices(t):
"""Transfer of services (44(e)->B119)
"""
csm_pre_rel = (CSM(t)
+ IntAccrCSM(t)
+ AdjCSM_FlufCF(t))
diff_covunits = CovUnitsBeg1(t) * (1 + InnerProj(0).scen.DiscRate(t))
pv_sumcovunits_end = PV_SumCovUnits(t + 1, 0)
return csm_pre_rel * diff_covunits / (diff_covunits + pv_sumcovunits_end)