モデル3 - 養老保険・終身保険・定期保険¶
複数商品を管理し、またEV(エンベデッドヴァリュー)の計算ができる本格的なモデルです。
チュートリアル3 で説明しています。
このファイルでは、養老保険・終身保険・定期保険のモデルを記述しています。
養老保険¶
calculation Endow(Base) {
// Ｐ基礎基数
module CT_P{
double CIR = Asm.get_double("CIR_P")
double[] qx =
if (sex == "M"){ Asm.get_double("qx_m_SLT1996", x) }
else { Asm.get_double("qx_f_SLT1996", x) }
}
// Ｖ基礎基数
module CT_V{
double CIR = Asm.get_double("CIR_V")
double[] qx =
if (sex == "M"){ Asm.get_double("qx_m_SLT1996_V", x) }
else { Asm.get_double("qx_f_SLT1996_V", x) }
}
// レート計算
module Rate{
// 予定事業費
double gamma = 0.0
double alpha = 0.015
double beta = 0.1
double zill_alpha = alpha
// 保険料
double grossP = baseP * 12.0
double baseP =
( benefit_P(0) + alpha + CT_P.annuity_xn(x, n) * gamma )
/ ( (1.0 - beta) * CT_P.annuity_xn_12(x, m) * 12.0 )
// 純保険料
double netP_P = (benefit_P(0) + CT_P.annuity_xn(x, n) * gamma) / CT_P.annuity_xn(x, m)
double netP_V = (benefit_V(0) + CT_V.annuity_xn(x, n) * gamma) / CT_V.annuity_xn(x, m)
// 経過ｔ年での給付現価
double[] benefit_P = if (t > n) { 0.0 }
elseif (CT_P.Dx(x + t) <= 0.0) { 0.0 }
else { (CT_P.Mx(x + t) - CT_P.Mx(x + n) + CT_P.Dx(x + n)) / CT_P.Dx(x + t) }
double[] benefit_V = if (t > n) { 0.0 }
elseif (CT_V.Dx(x + t) <= 0.0) { 0.0 }
else { (CT_V.Mx(x + t) - CT_V.Mx(x + n) + CT_V.Dx(x + n)) / CT_V.Dx(x + t) }
// NetV, 解約返戻金、全チルV
double[] netV_P =
if (t == 0 || t > n) { 0.0 }
elseif (CT_P.Dx(x + t) <= 0.0) { 0.0 }
else { Utl.max( benefit_P(t)
+ CT_P.annuity_xn(x + t, n - t) * gamma
- CT_P.annuity_xn(x + t, m - t) * netP_P
, 0.0 )
}
double[] netV_V =
if (t == 0 || t > n) { 0.0 }
elseif (CT_V.Dx(x + t) <= 0.0) { 0.0 }
else { Utl.max( benefit_V(t)
+ CT_V.annuity_xn(x + t, n - t) * gamma
- CT_V.annuity_xn(x + t, m - t) * netP_V
, 0.0 )
}
double[] CV =
if (t < 10) { Utl.max( netV_P(t) - zill_alpha * (10.0 - t) / 10.0, 0.0) }
else { netV_P(t) }
double[] azilV_V =
if (t < m)
{ netV_V(t)
- zill_alpha * CT_V.annuity_xn(x + t, m - t) / CT_V.annuity_xn(x, m)
}
else { netV_V(t) }
}
// キャッシュフロー
module CashFlow{
// 前提（死亡率・解約率・選択効果）- 動的解約あり
double[] qx_crude =
if (t == 0) { 0.0 }
elseif (sex == "M") { Asm.get_double("qx_m_SLT1996", x + t - 1) }
else { Asm.get_double("qx_f_SLT1996", x + t - 1) }
double[] qwx_crude = Asm.get_double("qwx_crude_Endow", t)
double[] dynamic_lapse = if(investment_yield(t) > 0.03) { 2.0 }
else { 1.0 }
double[] qwx_base = if (t == 0 || t > n) { 0.0 }
else { Utl.clip(qwx_crude(t) * (1.0 + lapse_shock_ex) * dynamic_lapse(t), 0.0, 1.0) }
double[] selection_factor = Asm.get_double("selection_factor_death", t)
// コミッション
double comm_ratio_first = Asm.get_double("comm_ratio_first")
double comm_ratio_recur = Asm.get_double("comm_ratio_recur")
double comm_ratio_year = Asm.get_double("comm_ratio_year")
// 給付の定義
double[] death_benefit_perS =
if (t == 0 || t > n) { 0.0 }
else { 1.0 }
double[] surrender_benefit_perS =
if (t == 0 || t > n) { 0.0 }
else { Rate.CV(t) }
double[] endow_benefit_perS =
if (t == n) { 1.0 }
else { 0.0 }
// ユニットコスト
double expense_acq_perN = Asm.get_double("expense_acq_perN")
double expense_acq_perS = Asm.get_double("expense_acq_perS")
double expense_acq_perP = Asm.get_double("expense_acq_perP")
double expense_maint_paying_perS = Asm.get_double("expense_maint_paying_perS")
double expense_maint_paying_perN = Asm.get_double("expense_maint_paying_perN")
double expense_maint_paid_perS = Asm.get_double("expense_maint_paid_perS")
double expense_maint_paid_perN = Asm.get_double("expense_maint_paid_perN")
double expense_maint_perP = Asm.get_double("expense_maint_perP")
}
}
終身保険¶
calculation WL(Base) {
// Ｐ基礎基数
module CT_P{
double CIR = Asm.get_double("CIR_P")
double[] qx =
if (sex == "M"){ Asm.get_double("qx_m_SLT1996", x) }
else { Asm.get_double("qx_f_SLT1996", x) }
}
// Ｖ基礎基数
module CT_V{
double CIR = Asm.get_double("CIR_V")
double[] qx =
if (sex == "M"){ Asm.get_double("qx_m_SLT1996_V", x) }
else { Asm.get_double("qx_f_SLT1996_V", x) }
}
// レート計算
module Rate{
// 予定事業費
double gamma = 0.0
double alpha = 0.015
double beta = 0.1
double zill_alpha = alpha
// 保険料
double grossP = baseP * 12.0
double baseP =
( benefit_P(0) + alpha + CT_P.annuity_xn(x, n) * gamma )
/ ( (1.0 - beta) * CT_P.annuity_xn_12(x, m) * 12.0 )
// 純保険料
double netP_P = (benefit_P(0) + CT_P.annuity_xn(x, n) * gamma) / CT_P.annuity_xn(x, m)
double netP_V = (benefit_V(0) + CT_V.annuity_xn(x, n) * gamma) / CT_V.annuity_xn(x, m)
// 経過ｔ年での給付現価
double[] benefit_P = if (t > n) { 0.0 }
elseif (CT_P.Dx(x + t) <= 0.0) { 0.0 }
else { (CT_P.Mx(x + t) - CT_P.Mx(x + n)) / CT_P.Dx(x + t) }
double[] benefit_V = if (t > n) { 0.0 }
elseif (CT_V.Dx(x + t) <= 0.0) { 0.0 }
else { (CT_V.Mx(x + t) - CT_V.Mx(x + n)) / CT_V.Dx(x + t) }
// NetV, 解約返戻金、全チルV
double[] netV_P =
if (t == 0 || t > n) { 0.0 }
elseif (CT_P.Dx(x + t) <= 0.0) { 0.0 }
else { Utl.max( benefit_P(t)
+ CT_P.annuity_xn(x + t, n - t) * gamma
- CT_P.annuity_xn(x + t, m - t) * netP_P
, 0.0)
}
double[] netV_V =
if (t == 0 || t > n) { 0.0 }
elseif (CT_V.Dx(x + t) <= 0.0) { 0.0 }
else { Utl.max( benefit_V(t)
+ CT_V.annuity_xn(x + t, n - t) * gamma
- CT_V.annuity_xn(x + t, m - t) * netP_V
, 0.0)
}
double[] CV =
if (t < 10) { Utl.max( netV_P(t) - zill_alpha * (10.0 - t) / 10.0, 0.0) }
else { netV_P(t) }
double[] azilV_V =
if (t < m)
{ netV_V(t)
- zill_alpha * CT_V.annuity_xn(x + t, m - t) / CT_V.annuity_xn(x, m)
}
else { netV_V(t) }
}
// キャッシュフロー
module CashFlow{
// 前提（死亡率・解約率・選択効果）- 動的解約あり
double[] qx_crude =
if (t == 0) { 0.0 }
elseif (sex == "M") { Asm.get_double("qx_m_SLT1996", x + t - 1) }
else { Asm.get_double("qx_f_SLT1996", x + t - 1) }
double[] qwx_crude = Asm.get_double("qwx_crude_WL", t)
double[] dynamic_lapse = if(investment_yield(t) > 0.03) { 2.0 }
else { 1.0 }
double[] qwx_base = if (t == 0 || t > n) { 0.0 }
else { Utl.clip(qwx_crude(t) * (1.0 + lapse_shock_ex) * dynamic_lapse(t), 0.0, 1.0) }
double[] selection_factor = Asm.get_double("selection_factor_death", t)
// コミッション
double comm_ratio_first = Asm.get_double("comm_ratio_first")
double comm_ratio_recur = Asm.get_double("comm_ratio_recur")
double comm_ratio_year = Asm.get_double("comm_ratio_year")
// 給付の定義
double[] death_benefit_perS =
if (t == 0 || t > n) { 0.0 }
else { 1.0 }
double[] surrender_benefit_perS =
if (t == 0 || t > n) { 0.0 }
else { Rate.CV(t) }
double[] endow_benefit_perS = 0.0
// ユニットコスト
double expense_acq_perN = Asm.get_double("expense_acq_perN")
double expense_acq_perS = Asm.get_double("expense_acq_perS")
double expense_acq_perP = Asm.get_double("expense_acq_perP")
double expense_maint_paying_perS = Asm.get_double("expense_maint_paying_perS")
double expense_maint_paying_perN = Asm.get_double("expense_maint_paying_perN")
double expense_maint_paid_perS = Asm.get_double("expense_maint_paid_perS")
double expense_maint_paid_perN = Asm.get_double("expense_maint_paid_perN")
double expense_maint_perP = Asm.get_double("expense_maint_perP")
}
}
定期保険¶
calculation Term(Base) {
// Ｐ基礎基数
module CT_P{
double CIR = Asm.get_double("CIR_P")
double[] qx =
if (sex == "M"){ Asm.get_double("qx_m_SLT1996", x) }
else { Asm.get_double("qx_f_SLT1996", x) }
}
// Ｖ基礎基数
module CT_V{
double CIR = Asm.get_double("CIR_V")
double[] qx =
if (sex == "M"){ Asm.get_double("qx_m_SLT1996_V", x) }
else { Asm.get_double("qx_f_SLT1996_V", x) }
}
// レート計算
module Rate{
// 予定事業費
double gamma = 0.0
double alpha = 0.015
double beta = 0.1
double zill_alpha = alpha
// 保険料
double grossP = baseP * 12.0
double baseP =
( benefit_P(0) + alpha + CT_P.annuity_xn(x, n) * gamma )
/ ( (1.0 - beta) * CT_P.annuity_xn_12(x, m) * 12.0 )
// 純保険料
double netP_P = (benefit_P(0) + CT_P.annuity_xn(x, n) * gamma) / CT_P.annuity_xn(x, m)
double netP_V = (benefit_V(0) + CT_V.annuity_xn(x, n) * gamma) / CT_V.annuity_xn(x, m)
// 経過ｔ年での給付現価
double[] benefit_P = if (t > n) { 0.0 }
elseif (CT_P.Dx(x + t) <= 0.0) { 0.0 }
else { (CT_P.Mx(x + t) - CT_P.Mx(x + n)) / CT_P.Dx(x + t) }
double[] benefit_V = if (t > n) { 0.0 }
elseif (CT_V.Dx(x + t) <= 0.0) { 0.0 }
else { (CT_V.Mx(x + t) - CT_V.Mx(x + n)) / CT_V.Dx(x + t) }
// NetV, 解約返戻金、全チルV
double[] netV_P =
if (t == 0 || t > n) { 0.0 }
elseif (CT_P.Dx(x + t) <= 0.0) { 0.0 }
else { Utl.max( benefit_P(t)
+ CT_P.annuity_xn(x + t, n - t) * gamma
- CT_P.annuity_xn(x + t, m - t) * netP_P
, 0.0 )
}
double[] netV_V =
if (t == 0 || t > n) { 0.0 }
elseif (CT_V.Dx(x + t) <= 0.0) { 0.0 }
else { Utl.max( benefit_V(t)
+ CT_V.annuity_xn(x + t, n - t) * gamma
- CT_V.annuity_xn(x + t, m - t) * netP_V
, 0.0 )
}
double[] CV =
if (t < 10) { Utl.max( netV_P(t) - zill_alpha * (10.0 - t) / 10.0, 0.0) }
else { netV_P(t) }
double[] azilV_V =
if (t < m)
{ netV_V(t)
- zill_alpha * CT_V.annuity_xn(x + t, m - t) / CT_V.annuity_xn(x, m)
}
else { netV_V(t) }
}
// キャッシュフロー
module CashFlow{
// 前提（死亡率・解約率・選択効果）
double[] qx_crude =
if (t == 0) { 0.0 }
elseif (sex == "M") { Asm.get_double("qx_m_SLT1996", x + t - 1) }
else { Asm.get_double("qx_f_SLT1996", x + t - 1) }
double[] qwx_crude = Asm.get_double("qwx_crude_Term", t)
double[] selection_factor = Asm.get_double("selection_factor_death", t)
// コミッション
double comm_ratio_first = Asm.get_double("comm_ratio_first")
double comm_ratio_recur = Asm.get_double("comm_ratio_recur")
double comm_ratio_year = Asm.get_double("comm_ratio_year")
// 給付の定義
double[] death_benefit_perS =
if (t == 0 || t > n) { 0.0 }
else { 1.0 }
double[] surrender_benefit_perS =
if (t == 0 || t > n) { 0.0 }
else { Rate.CV(t) }
double[] endow_benefit_perS = 0.0
// ユニットコスト
double expense_acq_perN = Asm.get_double("expense_acq_perN")
double expense_acq_perS = Asm.get_double("expense_acq_perS")
double expense_acq_perP = Asm.get_double("expense_acq_perP")
double expense_maint_paying_perS = Asm.get_double("expense_maint_paying_perS")
double expense_maint_paying_perN = Asm.get_double("expense_maint_paying_perN")
double expense_maint_paid_perS = Asm.get_double("expense_maint_paid_perS")
double expense_maint_paid_perN = Asm.get_double("expense_maint_paid_perN")
double expense_maint_perP = Asm.get_double("expense_maint_perP")
}
}