Life Contingencies
Life Contingencies
Life Contingencies
December 9, 2017
Type Package
Title Financial and Actuarial Mathematics for Life Contingencies
Version 1.3.2
Date 2017-12-09
Author Giorgio Alfredo Spedicato [cre,aut], Reinhold Kainhofer [ctb], Kevin J.
Owens [ctb], Christophe Dutang [ctb], Ernesto Schirmacher[ctb], Gian Paolo Clemente [ctb]
Maintainer Giorgio Alfredo Spedicato <[email protected]>
Description Classes and methods that allow the user to manage life table,
actuarial tables (also multiple decrements tables). Moreover, functions to easily
perform demographic, financial and actuarial mathematics on life contingencies
insurances calculations are contained therein.
Depends R (>= 3.4), methods
Imports parallel, utils, markovchain, Rcpp, stats
Suggests demography, forecast, testthat, knitr, rmarkdown
License GPL-2
Encoding latin1
LazyLoad yes
BugReports http://github.com/spedygiorgio/lifecontingencies/issues
BuildVignettes yes
VignetteBuilder utils, knitr
URL http://github.com/spedygiorgio/lifecontingencies
LinkingTo Rcpp
RoxygenNote 6.0.1
NeedsCompilation yes
Repository CRAN
Date/Publication 2017-12-09 13:25:50 UTC
1
2 R topics documented:
R topics documented:
lifecontingencies-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
accumulatedValue . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
actuarialtable-class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
AExn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
annuity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Axn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
axn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Axn.mdt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
axyn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Axyzn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
DAxn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
decreasingAnnuity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
demoCanada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
demoChina . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
demoFrance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
demoGermany . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
demoIta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
demoJapan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
demoUk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
demoUsa . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
de_angelis_di_falco . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
duration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
effective2Convertible . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
Exn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
exn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
getDecrements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
getLifecontingencyPv . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
getOmega . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
IAxn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
Iaxn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
increasingAnnuity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
intensity2Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
interest2Discount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
Isn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
lifetable-class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
Lxt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
mdt-class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
multiple life probabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
mx2qx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
mxt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
presentValue . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
probs2lifetable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
pxt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
pxyt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
qx2mx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
qxt.prime.fromMdt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
lifecontingencies-package 3
rLife . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
rLifeContingencies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
rLifeContingenciesXyz . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
rmdt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
soa08 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
soa08Act . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
SoAISTdata . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
soaLt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Tx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
Uk life tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
Index 69
lifecontingencies-package
Package to perform actuarial mathematics on life contingencies and
classical financial mathematics calculations.
Description
The lifecontingencies package performs standard financial, demographic and actuarial mathematics
calculation. The main purpose of the package is to provide a comprehensive set of tools to perform
risk assessment of life contingent insurances.
Details
Package: lifecontingencies
Type: Package
Version: 1.3.2
Date: 2017-12-09
License: GPL-2.0
LazyLoad: yes
Warning
This package and functions herein are provided as is, without any guarantee regarding the accuracy
of calculations. The author disclaims any liability arising by any losses due to direct or indirect use
of this package.
Note
Work in progress.
4 lifecontingencies-package
Author(s)
Giorgio Alfredo Spedicato with contributions from Reinhold Kainhofer and Kevin J. Owens Main-
tainer: <[email protected]>
References
The lifecontingencies Package: Performing Financial and Actuarial Mathematics Calculations in R,
Giorgio Alfredo Spedicato, Journal of Statistical Software, 2013,55 , 10, 1-36
See Also
accumulatedValue, annuity
Examples
i=0.05
monthlyInt=(1+i)^(1/12)-1
Capital=100000
#Montly installment
for(i in (2:121)) {
balance[i]=balance[i-1]*(1+monthlyInt)-R
interests[i]=balance[i-1]*monthlyInt
capitals[i]=R-interests[i]
}
loanSummary=data.frame(rate=c(0, rep(R,10*12)),
balance, interests, capitals)
head(loanSummary)
tail(loanSummary)
#APV of an annuity
accumulatedValue 5
data(soaLt)
soa08Act=with(soaLt, new("actuarialtable",interest=0.06,
x=x,lx=Ix,name="SOA2008"))
#evaluate and life-long annuity for an aged 65
axn(soa08Act, x=65)
Description
This functions returns the value at time n of a series of equally spaced payments of 1.
Usage
accumulatedValue(i, n,m=0, k,type = "immediate")
Arguments
i Effective interest rate expressed in decimal form. E.g. 0.03 means 3%.
n Number of terms of payment.
m Deferring period, whose default value is zero.
k Frequency of payment.
type A string, either "immediate" or "due".
Details
The accumulated value is the future value of the terms of an annuity. Its mathematical expression is
n
s n| = (1 + i) a n|
Value
A numeric value representing the calculated accumulated value.
Warning
The function is provided as is, without any guarantee regarding the accuracy of calculation. We
disclaim any liability for eventual losses arising from direct or indirect use of this software.
Note
n
Accumulated value are derived from annuities by the following basic equation s n| = (1 + i) =
a n| .
Author(s)
Giorgio A. Spedicato
6 actuarialtable-class
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
See Also
annuity
Examples
#A man wants to save 100,000 to pay for his sons
#education in 10 years time. An education fund requires the investors to
#deposit equal installments annually at the end of each year. If interest of
#0.075 is paid, how much does the man need to save each year in order to
#meet his target?
R=100000/accumulatedValue(i=0.075,n=10)
Description
Objects of class "actuarialtable" inherit the structure of class "lifetable" adding just the slot
for interest rate, interest.
Objects can be created by calls of the form new("actuarialtable", ...). Creation is the same
as lifetable objects creation, the slot for interest must be added too.
Slots
interest: Object of class "numeric" slot for interest rate, e.g. 0.03
x: Object of class "numeric" age slot
lx: Object of class "numeric" subjects at risk at age x
name: Object of class "character" name of the actuarial table
Extends
Methods
coerce signature(from = "actuarialtable", to = "data.frame"): moves from actuarialtable
to data.frame
coerce signature(from = "actuarialtable", to = "numeric"): coerce from actuarialtable
to a numeric
getOmega signature(object = "actuarialtable"): as for lifetable
print signature(x = "actuarialtable"): tabulates the actuarial commutation functions
show signature(object = "actuarialtable"): show method
summary signature(object = "actuarialtable"): prints brief summary
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Note
The interest slot will handle time-varying interest rates in the future.
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
axn,lifetable
Examples
showClass("actuarialtable")
Description
This function evaluates the n-year endowment insurance.
Usage
AExn(actuarialtable, x, n, i=actuarialtable@interest, k = 1, type = "EV", power=1)
8 AExn
Arguments
actuarialtable An actuarial table object.
x Insured age.
n Length of the insurance.
i Rate of interest. When missing the one included in the actuarialtable object is
used.
k Frequency of benefit payment.
type Character value, either "EV" or "ST". EV is the default value.
power The power of the APV. Default is 1 (mean)
Details
The n-year endowment insurance provides a payment either in the year of death or at the end of the
insured period.
Value
A numeric value.
Note
When type="EV" the function calls both Axn and Exn.
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
Axn,Exn
Examples
#Actuarial Mathematics book example
#check the actuarial equality on the expected values Exn+Axn=AExn
data(soa08Act)
AExn(soa08Act, x=35,n=30,i=0.06)
Exn(soa08Act, x=35,n=30,i=0.06)+Axn(soa08Act, x=35,n=30,i=0.06)
annuity 9
Description
Function to calculate present value of annuities-certain.
Usage
annuity(i, n,m=0, k=1,type = "immediate")
Arguments
i Effective interest rate expressed in decimal form. E.g. 0.03 means 3%. It can be
a vector of interest rates of the same length of periods.
n Periods for payments. If n = infinity then annuity returns the value of a
perpetuity (either immediate or due).
m Deferring period, whose default value is zero.
k Yearly payments frequency. A payment of k − 1 is supposed to be performed at
the end of each year.
type A string, either "immediate" or "due".
Details
This function calculates the present value of a stream of fixed payments separated by equal interval
of time. Annuity immediate has the fist payment at time t=0, while an annuity due has the first
payment at time t=1.
Value
A string, either "immediate" or "due".
Note
The value returned by annuity function derives from direct calculation of the discounted cash flow
n
and not from formulas, like a(m) n| = 1−v
i(m)
. When m is greater than 1, the payment per period is
1
assumed to be m .
Author(s)
Giorgio A. Spedicato
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
10 Axn
See Also
accumulatedValue
Examples
# The present value of 5 payments of 1000 at one year interval that begins
# now when the interest rate is 2.5% is
1000*annuity(i=0.05, n=5, type = "due")
#A man borrows a loan of 20,000 to purchase a car at
# a nominal annual rate of interest of 0.06. He will pay back the loan through monthly
#installments over 5 years, with the first installment to be made one month
#after the release of the loan. What is the monthly installment he needs to pay?
R=20000/annuity(i=0.06/12, n=5*12)
Description
This function evaluates n - years term and whole life insurance.
Usage
Axn(actuarialtable, x, n, i=actuarialtable@interest,m, k=1, type = "EV",power=1)
Arguments
actuarialtable An actuarial table object.
x Age of the insured.
n Coverage period, if missing the insurance is considered whole life n = ω−x−m
i Interest rate (overrides the interest rate slot in actuarialtable).
m Deferring period, even fractional, if missing assumed to be 0.
k Number of periods per year at the end of which the capital is payable in case of
insured event, default=1 (capital payable at the end of death year).
type A character value, either "EV" (default value) or "ST".
power The power of the APV. Default is 1 (mean)
Details
The variance calculation has not been implemented yet.
Value
A numeric value representing either the actuarial value of the coverage (when type="EV") or a
number drawn from the underlying distribution of Axn.
axn 11
Warning
The function is provided as is, without any guarantee regarding the accuracy of calculation. We
disclaim any liability for eventual losses arising from direct or indirect use of this software.
Note
It is possible that value returned by stochastic simulation are biased. Successive releases of this
software will analyze the issue with detail.
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
axn, Exn
Examples
Description
This function calculates actuarial value of annuities, given an actuarial table. Fractional and deferred
annuities can be evaluated. Moreover it can be used to simulate the stochastic distribution of the
annuity value.
12 axn
Usage
axn(actuarialtable, x, n, i = actuarialtable@interest, m, k = 1, type = "EV",
power=1,payment = "advance")
Arguments
actuarialtable An actuarial table object.
x Age of the annuitant.
n Number of terms of the annuity, if missing annuity is intended to be paid until
death.
i Interest rate (default value the interest of the life table).
m Deferring period. Assumed to be 1 whether missing.
k Number of fractional payments per period. Assumed to be 1 whether missing.
type A string, eithed "EV" (default value) or "ST" (stochastic realization).
power The power of the APV. Default is 1 (mean)
payment Payment type: "advance" default is the annuity due, otherwise annuity immedi-
ate.
Details
When "ST" has been selected a stochastic value representing a number drawn from the domain of
anx
Value
A numeric value.
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Note
When either x = ω or n = 0 zero is returned.
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
Axn.mdt 13
See Also
annuity, Exn
Examples
#assume SOA example life table to be load
data(soaLt)
soa08Act=with(soaLt, new("actuarialtable",interest=0.06,
x=x,lx=Ix,name="SOA2008"))
#evaluate and life-long annuity for an aged 65
axn(soa08Act, x=65)
Description
Function to evaluate multiple decrement insurances
Usage
Axn.mdt(object, x, n, i, decrement)
Arguments
object an mdt or actuarialtable object
x policyholder’s age
n contract duration
i interest rate
decrement decrement category
Value
The scalar representing APV of the insurance
Warning
The function is experimental and very basic. Testing is still needed. Use at own risk!
Examples
#creates a temporary mdt
myTable<-data.frame(x=41:43,lx=c(800,776,752),d1=rep(8,3),d2=rep(16,3))
myMdt<-new("mdt",table=myTable,name="ciao")
Axn.mdt(myMdt, x=41,n=2,i=.05,decrement="d2")
14 axyn
Description
These functions evaluates life insurances and annuities on two heads.
Usage
axyn(tablex, tabley, x, y, n, i, m, k = 1, status = "joint", type = "EV",
payment="advance")
Axyn(tablex, x, tabley, y, n, i, m, k = 1, status = "joint", type = "EV")
Arguments
tablex Life X lifetable object.
tabley Life Y lifetable object.
x Age of life X.
y Age of life Y.
n Insured duration. Infinity if missing.
i Interest rate. Default value is those implied in actuarialtable.
m Deferring period. Default value is zero.
k Fractional payments or periods where insurance is payable.
status Either "joint" or "last" survival status.
type "EV" (expected value) or "ST" (stochastic)
payment Payment type: "advance" default is the annuity due, otherwise annuity immedi-
ate.
Details
Actuarial mathematics book formulas has been implemented.
Value
A numeric value returning APV of chosen insurance form.
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Note
Deprecated functions. Use Axyzn and axyzn instead.
Axyzn 15
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
pxyt
Examples
## Not run:
data(soa08Act)
#last survival status annuity
axyn(tablex=soa08Act, tabley=soa08Act, x=65, y=70,
n=5, status = "last",type = "EV")
#first survival status annuity
Axyn(tablex=soa08Act, tabley=soa08Act, x=65, y=70,
status = "last",type = "EV")
## End(Not run)
Description
Function to evalate the multiple lives insurances and annuities
Usage
Axyzn(tablesList, x, n, i, m, k = 1, status = "joint", type = "EV",
power=1)
axyzn(tablesList, x, n, i, m, k = 1, status = "joint", type = "EV",
power=1, payment="advance")
Arguments
tablesList A list whose elements are either lifetable or actuarialtable class objects.
x A vector of the same size of tableList that contains the initial ages.
n Lenght of the insurance.
i Interest rate
m Deferring period.
k Fractional payment frequency.
16 Axyzn
Details
In theory, these functions apply the same concept of life insurances on one head on multiple heads.
Value
Note
These functions are the more general version of axyn and Axyn.
Author(s)
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
See Also
axyn,Axyn.
Examples
data(soaLt)
soa08Act=with(soaLt, new("actuarialtable",interest=0.06,
x=x,lx=Ix,name="SOA2008"))
#evaluate and life-long annuity for an aged 65
listOfTables=list(soa08Act, soa08Act)
#Check actuarial equality
axyzn(listOfTables,x=c(60,70),status="last")
axn(listOfTables[[1]],60)+axn(listOfTables[[2]],70)-
axyzn(listOfTables,x=c(60,70),status="joint")
DAxn 17
Description
This function evaluates the n-year term decreasing life insurance. Both actuarial value and stochas-
tic random sample can be returned.
Usage
DAxn(actuarialtable, x, n,
i=actuarialtable@interest,m = 0,k=1,
type = "EV", power=1)
Arguments
actuarialtable An actuarial table object.
x Age of the insured.
n Length of the insurance period.
i Interest rate, when present it overrides the interest rate of the actuarial table
object.
m Deferring period, even fractional, assumed 1 whether missing.
k Number of fractional payments per period. Assumed to be 1 whether missing.
type Default value is "EV", where APV is returned. "ST" returns a sample from the
underlying present value of benefits distribution.
power The power of the APV. Default is 1 (mean)
Details
Formulas of Bowes book have been implemented.
Value
A numeric value representing the expected value or the simulated value.
Warning
The function is provided as is, without any guarantee regarding the accuracy of calculation. We
disclaim any liability for eventual losses arising from direct or indirect use of this software.
Note
Neither fractional payments nor stochastic calculations have been implemented yet.
18 decreasingAnnuity
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
Axn,IAxn
Examples
#using SOA illustrative life tables
data(soaLt)
soa08Act=with(soaLt, new("actuarialtable",interest=0.06,
x=x,lx=Ix,name="SOA2008"))
#evaluate the value of a 10 years decreasing term life insurance for an aged 25
DAxn(actuarialtable=soa08Act, x=25, n=10)
Description
This function return present values for decreasing annuities - certain.
Usage
decreasingAnnuity(i, n,type="immediate")
Arguments
i A numeric value representing the interest rate.
n The number of periods.
type A character value, specifying the annuity type. Either "immediate" or "due".
Default value is "immediate".
Details
A decreasing annuity has the following flows of payments: n, n-1, n-2, . . . , 1, 0.
Value
A numeric value reporting the present value of the decreasing cash flows.
demoCanada 19
Warning
The function is provided as is, without any guarantee regarding the accuracy of calculation. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Note
This function calls presentValue function internally.
Author(s)
Giorgio A. Spedicato
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
See Also
annuity,increasingAnnuity,DAxn
Examples
#the present value of 10, 9, 8,....,0 payable at the end of the period
#for 10 years is
decreasingAnnuity(i=0.03, n=10)
#assuming a 3% interest rate
Description
UP94 life tables underlying mortality rates
Usage
data(demoCanada)
Format
A data frame with 120 observations on the following 7 variables.
x age
up94M UP 94, males
up94F UP 94, females
up942015M UP 94 projected to 2015, males
20 demoChina
Details
Mortality rates are provided.
Source
Courtesy of Andrew Botros
References
Courtesy of Andrew Botros
Examples
data(demoCanada)
head(demoCanada)
#create the up94M life table
up94MLt<-probs2lifetable(probs=demoCanada$up94M,radix=100000,"qx",name="UP94")
#create the up94M actuarial table table
up94MAct<-new("actuarialtable", lx=up94MLt@lx, x=up94MLt@x,interest=0.02)
Description
Seven yearly mortality rates for each age
Usage
data(demoChina)
Format
A data frame with 106 observations on the following 8 variables.
age Attained age
CL1 CL1 rates
CL2 CL2 rates
CL3 CL3 rates
CL4 CL4 rates
CL5 CL5 rates
CL6 CL6 rates
CL90-93 CL 90-93 rates
demoFrance 21
Details
See the source link for details.
Source
Society of Actuaries
References
www.mort.soa.org
Examples
data(demoChina)
tableChinaCL1<-probs2lifetable(probs=demoChina$CL1,radix=1000,type="qx",name="CHINA CL1")
Description
Illustrative life tables from French population.
Usage
data(demoFrance)
Format
A data frame with 113 observations on the following 5 variables.
age Attained age
TH00_02 Male 2000 life table
TF00_02 Female 2000 life table
TD88_90 1988 1990 life table
TV88_90 1988 1990 life table
Details
These tables are real French population life tables. They regard 88 - 90 and 00 - 02 experience.
Source
Actuaris - Winter Associes
Examples
data(demoFrance)
head(demoFrance)
22 demoIta
Description
Dataset containing mortality rates for German population, male and females.
Usage
data(demoGermany)
Format
A data frame with 113 observations on the following 5 variables.
x Attained age
qxMale Male mortality rate
qxFemale Female mortality rate
Details
Sterbetafel DAV 1994
Source
Private communicatiom
Examples
data(demoGermany)
head(demoGermany)
Description
This dataset reports five pairs of Italian population life tables. These table can be used to create life
table objects and actuarial tables object.
Usage
data(demoIta)
demoIta 23
Format
Details
These table contains the vectors of survival at the beginning of life years and are the building block
of both lifetable and actuarialtable classes.
Source
These tables comes from Italian national statistical bureau (ISTAT) for SI series, government Min-
istry of Economics (Ragioneria Generale dello Stato) for RG48 or from Insurers’ industrial asso-
ciation IPS55. RG48 represents the projected survival table for the 1948 born cohort, while IPS55
represents the projected survival table for the 1955 born cohort.
References
Examples
#load and show
data(demoIta)
head(demoIta)
#create sim92 life and actuarial table
lxsim92<-demoIta$SIM92
Description
Two yearly mortality rates for each age
Usage
data(demoJapan)
Format
A data frame with 110 observations on the following 3 variables.
age Attained age
JP8587M Male life table
JP8587F Female life table
Details
See the references link for details.
Source
Society of Actuaries mortality web site
References
www.mort.soa.org
Examples
## Not run: data(demoJapan)
head(demoJapan)
## End(Not run)
demoUk 25
Description
AM and AF one year mortality rate. Series of 1992
Usage
data(demoUk)
Format
A data frame with 74 observations on the following 3 variables.
Age age
AM92 one year mortality rate for males
AF92 one year mortality rate for females
Details
This data set shows the one year survival rates for males and females of the 1992 series. It has been
taken from the Institute of Actuaries. The series cannot be directly used to create a life table since
neither rates are not provided for ages below 16 nor for ages over 90. Various approach can be used
to complete the series.
Source
Institute of Actuaries
References
http://www.actuaries.org.uk/research-and-resources/documents/am92-permanent-assurances-males
Examples
## Not run:
#shows the table
data(demoUk)
#create an actuarial table using a Brass - Logit approach
data(soa08Act)
x=seq(0, 110,1)
qx=numeric(length(x))
for(i in 1:111) qx[i]=qxt(soa08Act, x=i, t=1)
temp=data.frame(Age=x, qx=qx)
db=merge(temp, demoUk)
db$lnAm92=with(db, log(AM92))
db$lnAf92=with(db, log(AF92))
db$logqx=with(db, log(qx))
26 demoUsa
## End(Not run)
Description
This data set contains period life tables for years 1990, 2000 and 2007. Both males and females life
tables are reported.
Usage
data(demoUsa)
Format
A data frame with 114 observations on the following 7 variables.
age age vector
USSS2007M 2007 male life table
USSS2007F 2007 female life table
USSS2000M 2000 male life table
USSS2000F 2000 female life table
USSS1990M 1990 male life table
USSS1990F 1990 female life table
de_angelis_di_falco 27
Details
Source
See http://www.ssa.gov/oact/NOTES/as120/LifeTables_Body.html
References
Examples
data(demoUsa)
head(demoUsa)
Description
A list of data.frames containing transition probabilities by age (row) and year of projections Transi-
tions are split by males and females, and show probabilities of survival, death and transitions from
Healty to Disabled
Usage
de_angelis_di_falco
Format
a list containing elevent items (data.frames), and an mdt data object (HealthyMaleTable2013)
Source
PAOLO DE ANGELIS, LUIGI DI FALCO (a cura di). Assicurazioni sulla salute: caratteristiche,
modelli attuariali e basi tecniche
28 duration
Description
These functions evaluate the duration or the convexity of a series of cash flows
Usage
convexity(cashFlows, timeIds, i, k = 1)
Arguments
cashFlows A vector representing the cash flows amounts.
timeIds Cash flows times
i APR interest, i.e. nominal interest rate compounded m-thly.
k Compounding frequency for the nominal interest rate i.
macaulay Is the macaulay duration (default value) or the effective duration to be evaluated?
Details
T t∗CF 1+ i −t∗k T
t( k) 1 y −k∗t−2
P P
The Macaulay duration is defined as P , while t∗ t + k ∗ CFt 1 + k
t t
Value
A numeric value representing either the duration or the convexity of the cash flow series
Note
Vectorial interest rate are not handled yet.
Author(s)
Giorgio A. Spedicato
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
See Also
annuity
effective2Convertible 29
Examples
#evaluate the duration of a coupon payment
cf=c(10,10,10,10,10,110)
t=c(1,2,3,4,5,6)
duration(cf, t, i=0.03)
#and the convexity
convexity(cf, t, i=0.03)
Description
This function provides convenience functions to switch from effective to convertible rate.
Usage
Arguments
i The rate to be converted.
k The original / target compounting frequency.
type Either "interest" (default) or "nominal".
Details
effective2Convertible and convertible2Effective wrap the other two functions.
Value
A numeric value.
Warning
The function is provided at is without any guarantee of results.
Note
Convertible rates are synonims of nominal rates
30 Exn
Author(s)
Giorgio A. Spedicato
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
See Also
real2Nominal
Examples
#a nominal rate of 0.12 equates an APR of
nominal2Real(i=0.12, k = 12, "interest")
Description
Given an actuarial table, this function evaluate the pure endowment.
Usage
Exn(actuarialtable, x, n, i=actuarialtable@interest, type = "EV", power=1)
Arguments
actuarialtable An actuarial table object.
x Age of the insured.
n Length of the pure endowment.
i Interest rate (overrides the interest rate of the actuarial table object)
type A string, eithed "EV" (default value), "ST" (stocastic realization) or "VR" if the
value of the variance is needed.
power The power of the APV. Default is 1 (mean)
Details
As done in all package, interest rate is assumed fixed.
Value
The value of the pure endowmnet.
exn 31
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
axn
Examples
Description
This method calculates the expected life span between ages x and x+n.
Usage
exn(object, x, n,type="curtate")
Arguments
object A lifetable object.
x Age from which the life span should be calculated.
n Time until which the expected life should be calculated. Assumed omega - x
whether missing.
type Either complete or curtate
32 getDecrements
Value
A numeric value representing the expected life span.
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Author(s)
Giorgio A. Spedicato.
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
lifetable
Examples
Description
This function list the character decrements of the mdf class
Usage
getDecrements(object)
Arguments
object A mdt class object
getLifecontingencyPv 33
Details
A character vector is returned
Value
A character vector listing the decrements defined in the class
Note
To be updated
Author(s)
Giorgio Spedicato
References
Marcel Finan A Reading of the Theory of Life Contingency Models: A Preparation for Exam
MLC/3L
See Also
getOmega
Examples
#create a new table
tableDecr=data.frame(d1=c(150,160,160),d2=c(50,75,85))
newMdt<-new("mdt",name="testMDT",table=tableDecr)
getDecrements(newMdt)
getLifecontingencyPv Functions to obtain the present value of a life contingency given the
time to death
Description
It returns the present value of a life contingency, specified by its APV symbol, known the time to
death ob the sibjects
Usage
getLifecontingencyPv(deathsTimeX, lifecontingency, object, x, t, i = object@interest,
m = 0, k = 1, payment = "advance")
getLifecontingencyPvXyz(deathsTimeXyz, lifecontingency, tablesList, x, t, i, m = 0,
k = 1, status = "joint", payment = "advance")
34 getLifecontingencyPv
Arguments
deathsTimeX Time to death
lifecontingency
lifecontingency symbol
object life table(s)
x age(s) of the policyholder(s)
t term of the contract
i interest rate
m deferrement
k fractional payments
payment either "advance" or "deferred"
deathsTimeXyz matrix of death times from birth
tablesList list of table of the same size of num column of deathTimeXyz.
status "joint" or "last" survivor.
Details
This function is a wrapper to the many internal functions that give the PV known the age of death.
Value
A vector or matrix of size number of rows of deathTimeXyz / deathTimeXy
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Note
Multiple life function needs to be tested
Author(s)
Spedicato Giorgio
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
rLifeContingenciesXyz, rLifeContingencies
getOmega 35
Examples
#simulate the PV values for some life contingencies given some death times
data(soa08Act)
testgetLifecontingencyPvXyzAxyz<-getLifecontingencyPvXyz(deathsTimeXyz=
matrix(c(50,50,51,43,44,22,12,56,20,24,53,12),
ncol=2),
lifecontingency = "Axyz",tablesList = list(soa08Act, soa08Act), i = 0.03, t=30,x=c(40,50),
m=0, k=1,status="last")
testgetLifecontingencyPvAxn<-getLifecontingencyPv(deathsTimeX = seq(0, 110, by=1),
lifecontingency = "Axn", object=soa08Act,
x=40,t=20, m=0, k=1)
Description
This function returns the ω value of a life table object, that is, the last attainable age within a life
table.
Usage
getOmega(object)
Arguments
object A life table object.
Value
A numeric value representing the ω value of a life table object
Warning
The function is provided as is, without any guarantee regarding the accuracy of calculation. We
disclaim any liability for eventual losses arising from direct or indirect use of this software.
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
actuarialtable
36 IAxn
Examples
#assumes SOA example life table to be load
data(soaLt)
soa08=with(soaLt, new("lifetable",
x=x,lx=Ix,name="SOA2008"))
#the last attainable age under SOA life table is
getOmega(soa08)
Description
This function evaluates the APV of an increasing life insurance. The amount payable at the end of
year of death are: 1, 2, . . . , n − 1, n. N can be set as ω − x − 1.
Usage
IAxn(actuarialtable, x, n,i=actuarialtable@interest, m = 0, k=1, type = "EV", power=1)
Arguments
actuarialtable The actuarial table used to perform life - contingencies calculations.
x The age of the insured.
n The term of life insurance. If missing n is set as n = ω − x − m − 1.
i Interest rate (overrides the interest rate of the actuarialtable object).
m The deferring period. If missing, m is set as 0.
k Number of fractional payments per period. Assumed to be 1 whether missing.
type Default value is "EV", where APV is returned. "ST" returns a sample from the
underlying present value of benefits distribution.
power The power of the APV. Default is 1 (mean).
Details
The stochastic value feature has not been implemented yet.
Value
A numeric value.
Warning
The function is provided as is, without any guarantee regarding the accuracy of calculation. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Iaxn 37
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
DAxn
Examples
Description
This function evaluates increasing annuities
Usage
Iaxn(actuarialtable, x, n, i, m = 0, type = "EV", power=1)
Arguments
actuarialtable An actuarialtable object.
x The age of the insured head.
n The duration of the insurance
i The interest rate that overrides the one in the actuarialtable object.
m The deferring period.
type Yet only "EV" is implemented.
power The power of the APV. Default is 1 (mean)
38 increasingAnnuity
Details
This actuarial mathematics is generally exoteric. I have seen no valid example of it.
Value
The APV of the insurance
Warning
The function is provided as is, without any guarantee regarding the accuracy of calculation. We
disclaim any liability for eventual losses arising from direct or indirect use of this software.
Note
The function is provided as is, without any guarantee regarding the accuracy of calculation. We
disclaim any liability for eventual losses arising from direct or indirect use of this software.
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
axn,IAxn
Examples
#using SOA illustrative life tables
data(soaLt)
soa08Act=with(soaLt, new("actuarialtable",interest=0.06,
x=x,lx=Ix,name="SOA2008"))
#evaluate the value of a lifetime increasing annuity for a subject aged 80
Iaxn(actuarialtable=soa08Act, x=80, n=10)
Description
This function evaluates non - stochastic increasing annuities.
Usage
increasingAnnuity(i, n, type = "immediate")
increasingAnnuity 39
Arguments
Details
Value
Warning
The function is provided as is, without any guarantee regarding the accuracy of calculation. We
disclaim any liability for eventual losses arising from direct or indirect use of this software.
Note
Author(s)
Giorgio A. Spedicato
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
See Also
decreasingAnnuity,IAxn
Examples
#the present value of 1,2,...,n-1, n sequence of payments,
#payable at the end of the period
#for 10 periods is
increasingAnnuity(i=0.03, n=10)
#assuming a 3% interest rate
40 intensity2Interest
Description
Usage
intensity2Interest(intensity)
interest2Intensity(i)
Arguments
Details
Value
A numeric value.
Note
Author(s)
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
See Also
real2Nominal, nominal2Real
interest2Discount 41
Examples
#an interest rate equal to 0.02 corresponds to a force of interest of of
interest2Intensity(i=0.02)
#a force of interest of 0.02 corresponds to an APR of
intensity2Interest(intensity=0.02)
Description
These functions switch from interest to discount rates and vice - versa
Usage
interest2Discount(i)
discount2Interest(d)
Arguments
i Interest rate
d Discount rate
Details
The following formula (and its inverse) rules the relationships:
i
=d
1+i
Value
A numeric value
Author(s)
Giorgio Alfredo Spedicato
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
See Also
intensity2Interest,nominal2Real
42 Isn
Examples
discount2Interest(d=0.04)
Description
This function evaluates non - stochastic increasing annuities future values.
Usage
Isn(i, n, type = "immediate")
Arguments
i Interest rate.
n Terms.
type Either "due" for annuity due or "immediate" for annuity immediate.
Details
n
It calls increasingAnnuity after having capitalized by (1 + i)
Value
A numeric value
Warning
The function is provided as is, without any guarantee regarding the accuracy of calculation. We
disclaim any liability for eventual losses arising from direct or indirect use of this software.
Note
This function calls internally increasingAnnuity function.
Author(s)
Giorgio A. Spedicato
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
lifetable-class 43
See Also
accumulatedValue
Examples
Isn(n=10,i=0.03)
Description
lifetable objects allow to define and use life tables with the aim to evaluate survival probabilities
and mortality rates easily. Such values represent the building blocks used to estimate life insurances
actuarial mathematics.
Slots
x: Object of class "numeric", representing the sequence 0,1,. . . , ω
lx: Object of class "numeric", representing the number of lives at the beginning of age x. It is a
non increasing sequence. The last element of vector x is supposed to be > 0.
name: Object of class "character", reporting the name of the table
Methods
coerce signature(from = "lifetable", to = "data.frame"): method to create a data -
frame from a lifetable object
coerce signature(from = "lifetable", to = "markovchainList"): coerce method from
lifetable to markovchainList
coerce signature(from = "lifetable", to = "numeric"): brings to numeric
coerce signature(from = "data.frame", to = "lifetable"): brings to life table
getOmega signature(object = "lifetable"): returns the maximum attainable life age
plot signature(x = "lifetable", y = "ANY"): plot method
head signature(x = "lifetable"): head method
print signature(x = "lifetable"): method to print the survival probability implied in the table
show signature(object = "lifetable"): identical to plot method
summary signature(object = "lifetable"): it returns summary information about the object
44 Lxt
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Note
t may be missing in pxt, qxt, ext. It assumes value equal to 1 in such case.
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
actuarialtable
Examples
showClass("lifetable")
data(soa08)
summary(soa08)
#the last attainable age under SOA life table is
getOmega(soa08)
#head and tail
data(soaLt)
tail(soaLt)
head(soaLt)
Description
Usage
Arguments
object A lifetable object.
x Age.
t Length of the period.
fxt separation factor, default value is 0.5 (half year).
Details
The separation factor is the average number of years not lived between exact ages x and x+t for
those who die between exact ages x and +t
Value
An integer value
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Note
This function is used in life tables analysis
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
Tx, lifetable
Examples
#assumes SOA example life table to be load
data(soaLt)
soa08Act=with(soaLt, new("actuarialtable",interest=0.06,
x=x,lx=Ix,name="SOA2008"))
Lxt(soa08Act, 67,10)
46 mdt-class
Description
A class to store multiple decrement tables
Slots
name: The name of the table
table: A data frame containing at least the number of decrements
Methods
getDecrements signature(object = "mdt"): return the name of decrements
getOmega signature(object = "mdt"): maximum attainable age
initialize signature(.Object = "mdt"): method to initialize the class
print signature(x = "mdt"): tabulate absolute decrement rates
show signature(object = "mdt"): show rates of decrement
coerce signature(from = "mdt", to = "markovchainList"): coercing to markovchainList
objects
coerce signature(from = "mdt", to = "data.frame"): coercing to markovchainList objects
summary signature(object = "mdt"): it returns summary information about the object
Note
Currently only decrements storage of the class is defined.
Author(s)
Giorgio Spedicato
References
Marcel Finan A Reading of the Theory of Life Contingency Models: A Preparation for Exam
MLC/3L
See Also
lifetable
multiple life probabilities 47
Examples
#shows the class definition
showClass("mdt")
#create a new table
tableDecr=data.frame(d1=c(150,160,160),d2=c(50,75,85))
newMdt<-new("mdt",name="testMDT",table=tableDecr)
Description
These functions evaluate multiple life survival probabilities, either for joint or last life status. Arbi-
trary life probabilities can be generated as well as random samples of lifes.
Usage
exyzt(tablesList, x, t = Inf, status = "joint", type = "Kx", ...)
pxyzt(tablesList, x, t, status = "joint", fractional=rep("linear",
length(tablesList)), ...)
qxyzt(tablesList, x, t, status = "joint",
fractional=rep("linear",length(tablesList)), ...)
rLifexyz(n, tablesList, x, k = 1, type = "Tx")
Arguments
tablesList A list whose elements are either lifetable or actuarialtable class objects.
x A vector of the same size of tableList that contains the initial ages.
t The duration.
n The size of sampled life duration matrix.
status Either "joint" (for the joint-life status model) or "last".
type "Tx" for continuous, "Kx" for curtate.
fractional Fractional lives assumption.
... Options to be passed to pxt.
k Fractional frequency option.
Details
These functions extends pxyt family to an arbitrary number of life contingencies.
Value
An estimate of survival / death probability or expected lifetime, or a matrix of ages.
48 mx2qx
Note
The procedure is experimental.
Author(s)
Giorgio Alfredo, Spedicato
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
See Also
pxt,exn
Examples
#assessment of curtate expectation of future lifetime of the joint-life status
#generate a sample of lifes
data(soaLt)
soa08Act=with(soaLt, new("actuarialtable",interest=0.06,x=x,lx=Ix,name="SOA2008"))
tables=list(males=soa08Act, females=soa08Act)
xVec=c(60,65)
test=rLifexyz(n=50000, tablesList = tables,x=xVec,type="Kx")
#check first survival status
t.test(x=apply(test,1,"min"),mu=exyzt(tablesList=tables, x=xVec,status="joint"))
#check last survival status
t.test(x=apply(test,1,"max"),mu=exyzt(tablesList=tables, x=xVec,status="last"))
Description
Function to convert mortality rates to probabilities of death
Usage
mx2qx(mx, ax = 0.5)
Arguments
mx mortality rates vector
ax the average number of years lived between ages x and x +1 by individuals who
die in that interval
mxt 49
Details
Function to convert mortality rates to probabilities of death
Value
A vector of death probabilities
See Also
mxt, qxt, qx2mx
Examples
Description
This function returns the central mortality rate demographic function.
Usage
mxt(object, x, t)
Arguments
object A lifetable object
x Age when the calculation starts.
t Age when the calculation ends, default=1.
Details
dx,t
The central mortality rate is defined as mx,t = lx,t
Value
A numeric value representing the central mortality rate between age x and x+t.
Note
This function is used in demographic analysis.
50 presentValue
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
lifetable, Lxt
Examples
#assumes SOA example life table to be load
data(soaLt)
soa08Act=with(soaLt, new("actuarialtable",interest=0.06,
x=x,lx=Ix,name="SOA2008"))
#compare mx and qx
mxt(soa08Act, 60,10)
qxt(soa08Act, 60,10)
Description
This function evaluates the present values of a series of cash flows, given occurrence time. Proba-
bilities of occurrence can also be taken into account.
Usage
presentValue(cashFlows, timeIds, interestRates, probabilities,power=1)
Arguments
cashFlows Vector of cashFlow, must be coherent with timeIds
timeIds Vector of points of time where cashFlows are due.
interestRates A numeric value or a time-size vector of interest rate used to discount cahs flow.
probabilities Optional vector of probabilities.
power Power to square discount and cash flows. Default is set to 1
Details
probabilities is optional, a sequence of 1 length of timeIds is assumed. Interest rate shall be a
fixed number or a vector of the same size of timeIds. power parameters is generally useless beside
life contingencies insurances evaluations.
probs2lifetable 51
Value
A numeric value representing the present value of cashFlows vector, or the actuarial present value
if probabilities are provided.
Warning
The function is provided as is, without any guarantee regarding the accuracy of calculation. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Note
This simple function is the kernel working core of the package. Actuarial and financial mathematics
ground on it.
Author(s)
Giorgio A. Spedicato
References
Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publica-
tions.
See Also
annuity, axn
Examples
#simple example
cf=c(10,10,10) #$10 of payments one per year for three years
t=c(1,2,3) #years
p=c(1,1,1) #assume payments certainty
#assume 3% of interest rate
presentValue(cashFlows=cf, timeIds=t, interestRates=0.03, probabilities=p)
Description
This function returns a newly created lifetable object given either survival or death (one year) prob-
abilities)
Usage
probs2lifetable(probs, radix = 10000, type = "px", name = "ungiven")
52 probs2lifetable
Arguments
probs A real valued vector representing either one year survival or death probabilities.
The last value in the vector must be either 1 or 0, depending if it represents death
or survival probabilities respectively.
radix The radix of the life table.
type Character value either "px" or "qx" indicating how probabilities must be inter-
preted.
name The character value to be put in the corresponding slot of returned object.
Details
The ω value is the length of the probs vector.
Value
A lifetable object.
Warning
The function is provided as is, without any guarantee regarding the accuracy of calculation. We
disclaim any liability for eventual losses arising from direct or indirect use of this software.
Note
This function allows to use mortality projection given by other softwares with the lifecontingencies
package.
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
actuarialtable
Examples
fakeSurvivalProbs=seq(0.9,0,by=-0.1)
newTable=probs2lifetable(fakeSurvivalProbs,type="px",name="fake")
head(newTable)
tail(newTable)
pxt 53
Description
These functions evaluate raw survival and death probabilities between age x and x+t
Usage
dxt(object, x, t, decrement)
pxt(object, x, t, fractional = "linear", decrement)
qxt(object, x, t, fractional = "linear", decrement)
Arguments
object A lifetable object.
x Age of life x.
t Period until which the age shall be evaluated. Default value is 1.
fractional Assumptions for fractional age. One of "linear", "hyperbolic", "constant force".
decrement The reason of decrement (only for mdt class objects). Can be either an ordinal
number or the name of decrement
Details
Fractional assumptions are: -linear: linear interpolation between consecutive ages. -constant force
of mortality: constant force of mortality. -hyperbolic: Balducci assumptions. See references for
details.
Value
A numeric value representing requested probability.
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Note
Function dxt accepts also fractional value of t. Linear interpolation is used in such case. These
functions are called by many other functions.
Author(s)
Giorgio A. Spedicato
54 pxyt
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
exn, lifetable
Examples
#dxt example
data(soa08Act)
dxt(object=soa08Act, x=90, t=2)
#qxt example
qxt(object=soa08Act, x=90, t=2)
#pxt example
pxt(object=soa08Act, x=90, t=2, "constant force" )
#add another example for MDT
Description
These functions evaluate survival and death probabilities for two heads.
Usage
Arguments
objectx lifetable for life X.
objecty lifetable for life Y.
x Age of life X.
y Age of life Y.
t Time until survival has to be evaluated.
status Either "joint" or "last".
Value
A numeric value representing joint survival probability.
qx2mx 55
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Also it is being Deprecated and asap removed from the package.
Note
These functions are used to evaluate two or more life contingencies.
Author(s)
Giorgio A. Spedicato, Kevin J. Owens.
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
exyt
Examples
## Not run:
data(soa08Act)
pxyt(soa08Act, soa08Act, 65, 70,10)
pxyt(soa08Act, soa08Act, 65, 70,10, "last")
## End(Not run)
Description
Function to convert death probabilities to mortality rates
Usage
qx2mx(qx, ax = 0.5)
Arguments
qx death probabilities
ax the average number of years lived between ages x and x +1 by individuals who
die in that interval
56 qxt.prime.fromMdt
Details
Function to convert death probabilities to mortality rates
Value
A vector of mortality rates
See Also
mxt, qxt, mx2qx
Examples
data(soa08Act)
soa08qx<-as(soa08Act,"numeric")
soa08mx<-qx2mx(qx=soa08qx)
soa08qx2<-mx2qx(soa08mx)
Description
Return Associated single decrement from absolute rate of decrement
Usage
qxt.prime.fromMdt(object, x, t = 1, decrement)
qxt.fromQxprime(qx.prime, other.qx.prime, t = 1)
Arguments
object a mdj object
x age
t period (default 1)
decrement type (necessary)
qx.prime single ASDT decrement of which corresponding decrement is desired
other.qx.prime ASDT decrements other than qx.prime
Value
a single value (AST)
Functions
• qxt.fromQxprime: Obtain decrement from single decrements
rLife 57
Examples
#Creating the valdez mdf
valdezDf<-data.frame(
x=c(50:54),
lx=c(4832555,4821937,4810206,4797185,4782737),
hearth=c(5168, 5363, 5618, 5929, 6277),
accidents=c(1157, 1206, 1443, 1679,2152),
other=c(4293,5162,5960,6840,7631))
valdezMdt<-new("mdt",name="ValdezExample",table=valdezDf)
qxt.prime.fromMdt(object=valdezMdt,x=53,decrement="other")
Description
This function returns random samples from the time until death (future lifetime) of a subject aged
x. Either the continuous or the curtate time until death can be returned.
Usage
rLife(n, object, x = 0, k=1, type = "Tx")
Arguments
n Number of variates to generate.
object An object of class lifetable.
x The attained age of subject x. Default value is 0.
k Number of periods within the year when it is possible death to happen. Default
value is 1.
type Either "Tx" for continuous future lifetime or "Kx" for curtate future lifetime
Details
Following relation holds for the future life time: Tx = Kx + 0.5.
Value
A numeric vector of n elements.
58 rLifeContingencies
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Note
This function will probably will improved in the future.
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
lifetable, exn
Examples
##get 20000 random future lifetimes for the Soa life table at birth
data(soa08Act)
lifes=rLife(n=20000,object=soa08Act, x=0, type="Tx")
##check if the expected life at birth derived from the life table
##is statistically equal to the expected value of the sample
#
t.test(x=lifes, mu=exn(soa08Act, x=0, type="continuous"))
Description
This function returns a n-size sample from the underlying present value of benefits stochastic vari-
able defined by a specific life contingencies insurance form.
Usage
rLifeContingencies(n, lifecontingency, object, x, t,
i = object@interest, m=0, k = 1 , parallel=FALSE, payment="advance")
rLifeContingencies 59
Arguments
n Size of sample
lifecontingency
A character string, either "Exn" or "Axn" or "axn" or "IAxn" or "DAxn".
object An actuarialtable object.
x Policyholder’s age at issue time.
t The lenght of the insurance. Must be specified according to the present value of
benefits definition.
i The interest rate, whose default value is the actuarialtable interest rate slot
value.
m Deferring period, default value is zero.
k Fractional payment, default value is 1.
parallel Uses the parallel computation facility.
payment Payment type: "advance" default is the annuity due, otherwise annuity due.
Details
This function is a wrapper for internal function that returns the present value of insured benefits.
Value
A numeric vector.
Warning
Before using this function, the unbiaseness of the sample drawn from the distribution shall be
verified. The function is still in testing ad for some classes of life contingencies biased. The function
is provided as is, without any warranty regarding the accuracy of calculations. The author disclaims
any liability for eventual losses arising from direct or indirect use of this software. Currently k>1
computation are not supported yet.
Note
This function is a wrapper for many internal functions. It is called by all actuarial mathematics
functions when value "ST" is provided to type parameter.
Author(s)
Giorgio Alfredo Spedicato.
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
60 rLifeContingenciesXyz
See Also
Exn, Axn, axn,IAxn,DAxn.
Examples
#assumes SOA example life table to be load
data(soaLt)
soa08Act=with(soaLt, new("actuarialtable",interest=0.06,
x=x,lx=Ix,name="SOA2008"))
out<-rLifeContingencies(n=1000, lifecontingency="Axn",object=soa08Act,
x=40,t=getOmega(soa08Act)-40, i=soa08Act@interest,m=0)
APV=Axn(soa08Act,x=40)
#check if out distribution is unbiased
t.test(x=out, mu=APV)$p.value>0.05
Description
This function returns samples from multiple heads life contingent insurances.
Usage
rLifeContingenciesXyz(n, lifecontingency, tablesList, x, t, i, m = 0,
k = 1, status = "joint", parallel = FALSE,payment = "advance")
Arguments
n Sample size
lifecontingency
Either "Axyz" or "axyz"
tablesList List of tables
x Ages vector
t Term
i Interest rate
m Deferral period
k Frequency of payments
status Either "joint" (default) or "last"
parallel Use parallel computation
payment Payment type: "advance" default is the annuity due, otherwise annuity immedi-
ate.
rLifeContingenciesXyz 61
Details
This function should return samples from multiple life contingent insurances.
Value
A matrix of variates
Warning
The function is experimental and it its early stages. Samples are biased.
Note
A matrix is returned.
Author(s)
Giorgio Alfredo Spedicato, Kevin J. Owens.
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
rLifeContingencies,Axyzn,axyzn
Examples
data(soa08Act)
n=10000
lifecontingency="Axyz"
tablesList=list(soa08Act,soa08Act)
x=c(60,60)
i=0.06
m=0
status="joint"
t=30
k=1
#
APV=Axyzn(tablesList=tablesList,x=x,n=t,m=m,k=k,status=status,type="EV")
samples<-rLifeContingenciesXyz(n=n,lifecontingency = lifecontingency,
tablesList = tablesList,x=x,t=t,m=m,k=k,status=status,
parallel=FALSE)
APV
mean(samples)
62 rmdt
Description
Simulate from a multiple decrement table
Usage
rmdt(n = 1, object, x = 0, t = 1, t0 = "alive", include.t0 = TRUE)
Arguments
n Number of simulations.
object The mdt object to simulate from.
x the period to simulate from.
t the period until to simulate.
t0 initial status (default is "alive").
include.t0 should initial status to be included (default is TRUE)?
Value
A matrix with n columns (the length of simulation) and either t (if initial status is not included) or
t+1 rows.
Details
The functin uses rmarkovchain function from markovchain package to simulate the chain
Author(s)
Giorgio Spedicato
See Also
rLifeContingenciesXyz,rLifeContingencies
Examples
mdtDf<-data.frame(x=c(0,1,2,3),death=c(100,50,30,10),lapse=c(150,20,2,0))
myMdt<-new("mdt",name="example Mdt",table=mdtDf)
ciao<-rmdt(n=5,object = myMdt,x = 0,t = 4,include.t0=FALSE,t0="alive")
soa08 63
Description
This is the table that appears in the classical book Actuarial Mathematics in Appendix 2A and used
throughout the book to illustrate life contingent calculations. The Society of Actuaries has been
using this table when administering US actuarial professional MLC preliminary examinations.
Usage
data(soa08)
Format
Formal class ’lifetable’ [package "lifecontingencies"] with 3 slots ..@ x : int [1:141] 0 1 2 3 4 5 6 7
8 9 ... ..@ lx : num [1:141] 100000 97958 97826 97707 97597 ... ..@ name: chr "SOA Illustrative
Life Table"
Details
This table is a blend of Makeham’s mortality law for ages 13 and above and some ad hoc values for
ages 0 to 12.
The parameters for Makeham’s mortality law are
1000 * mu(x) = 0.7 + 0.05 * 10^(0.04 * x)
where mu(x) is the force of mortality.
The published Illustrative Life Table just shows ages 0 to 110 but in the computing exercises of
chapter 3 the authors explain that the table’s age range is from 0 to 140.
Note
This table is based on US 1990 general population mortality.
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
Examples
data(soa08)
## maybe str(soa08) ; plot(soa08) ...
64 soa08Act
Description
An object of class actuarialtable built from the SOA illustrative life table. Interest rate is 6
Usage
data(soa08Act)
Format
Formal class ’actuarialtable’ [package "lifecontingencies"] with 4 slots ..@ interest: num 0.06 ..@
x : int [1:141] 0 1 2 3 4 5 6 7 8 9 ... ..@ lx : num [1:141] 100000 97958 97826 97707 97597 ... ..@
name : chr "SOA Illustrative Life Table"
Details
This table is a blend of Makeham’s mortality law for ages 13 and above and some ad hoc values for
ages 0 to 12.
The parameters for Makeham’s mortality law are
1000 * mu(x) = 0.7 + 0.05 * 10^(0.04 * x)
where mu(x) is the force of mortality.
The published Illustrative Life Table just shows ages 0 to 110 but in the computing exercises of
chapter 3 the authors explain that the table’s age range is from 0 to 140.
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
Examples
## Not run:
data(soa08Act)
## End(Not run)
SoAISTdata 65
Description
Usage
data(SoAISTdata)
Format
x Attained age
lx Surviving subjects ate the beginning of each age
death Drop outs for death cause
withdrawal Drop outs for withdrawal cause
inability Drop outs for inability cause
retirement Drop outs for retirement cause
Details
Source
Optical recognized characters from below source with some few adjustments
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
Examples
data(SoAISTdata)
head(SoAISTdata)
66 soaLt
Description
This table has been used by the classical book Actuarial Mathematics and by the Society of Actu-
aries for US professional examinations.
Usage
data(soaLt)
Format
x a numeric vector
Ix a numeric vector
Details
Note
SOA has not provided population at risk data for certain spans of age (e.g. 1-5, 6-9, 11-14 and
16-19). Linear interpolation has been used to fill them.
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
Examples
data(soaLt)
head(soaLt)
Tx 67
Description
This function returns the number of years lived after exact age x.
Usage
Tx(object, x)
Arguments
object A lifetable object
x An integer representing the age for which the Tx value shall be returned.
Details
x shall be an integer value.
Value
A numeric value.
Warning
The function is provided as is, without any warranty regarding the accuracy of calculations. The
author disclaims any liability for eventual losses arising from direct or indirect use of this software.
Note
The calculation is performed on all x where lx > 0.
Author(s)
Giorgio A. Spedicato
References
Actuarial Mathematics (Second Edition), 1997, by Bowers, N.L., Gerber, H.U., Hickman, J.C.,
Jones, D.A. and Nesbitt, C.J.
See Also
Lxt
68 Uk life tables
Examples
Description
Uk AM AF life tables
Usage
data(AF92Lt)
Format
The format is: Formal class ’lifetable’ [package ".GlobalEnv"] with 3 slots ..@ x : int [1:111] 0 1 2
3 4 5 6 7 8 9 ... ..@ lx : num [1:111] 100000 99924 99847 99770 99692 ... ..@ name: chr "AF92"
Details
Probabilities for earliest (under 16) and lastest ages (over 92) have been derived using a Brass -
Logit model fit on Society of Actuaries life table.
Source
See Uk life table.
References
http://www.actuaries.org.uk/research-and-resources/documents/am92-permanent-assurances-males
Examples
data(AF92Lt)
exn(AF92Lt)
data(AM92Lt)
exn(AM92Lt)
Index
69
70 INDEX
plot,lifetable,ANY-method
(lifetable-class), 43
presentValue, 50