SCR_life

Source module for Life SCR standard formulas

This module contains formulas to calculate SCR.

Common cells parameters

risk

one of the following strings that represents a life sub-module. only Mortality, Longevity, Lapse and Life expense risks are implemented.

• “mort”: Mortality risk

• “longev”: Longevity risk

• “disab”: Disability risk

• “lapse”: Lapse risk

• “exps”: Life expense risk

• “rev”: Revision risk

• “cat”: Life catastrophe risk

Cells

LapseRisk(shock)	The capital requirement for lapse risk for each shock
Life(risk)	The capital requirement for each risk under the life underwriting risk
NetAstValue([risk, shock, scope])	Net value of assets minus liabilities
SCR_life()	The capital requirement for life underwriting risk

LapseRisk(shock)

The capital requirement for lapse risk for each shock

Parameters

shock – string that represents each lapse shock (“up”, “down”, “mass”)

Life(risk)

The capital requirement for each risk under the life underwriting risk

Parameters

risk – string that represents life risk sub-module (“mort”, “longev”, “disab”, “lapse”, “exps”, “rev”, “cat”)

NetAstValue(risk='base', shock=None, scope=None)

Net value of assets minus liabilities

This formula is simplified and present value of net liability cashflows is used in replacement for net asset value, based on the assumption that the value of assets does not change by life risk scenarios.

Parameters

• risk – string that represents life risk sub-module (“mort”, “longev”, “disab”, “lapse”, “exps”, “rev”, “cat”)

• shock – string that represents each lapse shock (“up”, “down”, “mass”)

• scope – “nonretail” or None (by default)

SCR_life()

The capital requirement for life underwriting risk

\[\sqrt{\sum_{i,j}Corr_{(i,j)}\cdot SCR_i\cdot SCR_j}\]

where i, j are a combination of risks

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