Skip to contents

Gain or loss in a two-cause multiple-decrement model

gain_loss_md.Rd

Computes one-year gain or loss under simultaneous within-year decrement probabilities or an ordered case in which Cause 2 occurs at year-end. Numeric arguments may be scalar or compatible vectors.

Usage

gain_loss_md(
  Vt,
  G,
  r,
  e,
  i,
  b1,
  b2,
  s1 = 0,
  s2 = 0,
  q1,
  q2,
  Vt1,
  year_end_cause2 = FALSE,
  q1prime = NULL,
  q2prime = NULL
)

Arguments

Vt

Gross reserve at the beginning of the year.

G

Gross premium.

r

Percent-of-premium expense rate.

e

Fixed beginning-of-year expense.

i

Earned effective annual interest rate.

b1

Cause 1 benefit.

b2

Cause 2 benefit.

s1

Cause 1 settlement expense.

s2

Cause 2 settlement expense.

q1

Cause 1 decrement probability.

q2

Cause 2 decrement probability.

Vt1

Gross reserve at the end of the year.

year_end_cause2

Whether Cause 2 occurs only at year-end.

q1prime

Single-decrement Cause 1 probability for the ordered case.

q2prime

Single-decrement Cause 2 probability for the ordered case.

Value

A numeric vector of gains or losses.

Examples

gain_loss_md(
  Vt = 115, G = 16, r = 0, e = 3, i = 0.06,
  b1 = 1000, b2 = 110, q1 = 0.01, q2 = 0.10, Vt1 = 128.83
)
#> [1] 0.0213