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

AcqPremRatio()[source]

Ratio of PV Acquisiton Cashflows to PV Premiums.

The ratio is determined by the expectation at issue.

ActualNetCF(t)[source]

Acutal net cashflow

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.

AdjLCO_FulfCF(t)[source]

Adjustment to Loss Component for changes in fulfilment cashflows

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.

AsmpChangeImpact(t)[source]

Non-financial assumption changes

CSM(t)[source]

floored CSM (38, 44)

CSM_Unfloored(t)[source]

Unfloored CSM (38, 44)

CovUnitsBeg1(t)[source]

The number of coverage units at t after new business

CovUnitsEnd(t)[source]

The number of coverage units at t

EstAcqCashflow(t)[source]

Expected Acquisition Cashflow

EstClaim(t)[source]

Expected Claims

Warning

Using actuarl invest componets as proxy.

EstExps(t)[source]

Expected Expenses

EstIntOnCF(t)[source]

Expected Interest on future cashflows

EstPremIncome(t)[source]

Expected Premium Income

Incr_LossComp(t)[source]

Increase in Loss Component

IncurClaim(t)[source]

Incurred Claims

IncurExps(t)[source]

Incurred Expenses

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)

InsurServiceExps(t)[source]

Insurance Service Expense (103(b))

IntAccrCSM(t)[source]

Interest accreted on CSM (44(b))

InvstComponent(t)[source]

Investment Components in Incur Claims

Warning

To be implemented.

LossComp(t)[source]

Loss Component

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_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.

PV_FutureCF(t)[source]

Present value of future cashflows

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

RelsRiskAdj(t)[source]

Release of Risk Adjustment to Revenue

Warning

To be implemented.

RiskAdjustment(t)[source]

Risk Adjustment

Warning

To be implemented

TransServices(t)[source]

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