sstModel (version 1.0.0)

valInfo.liability: Providing Information for Insurance Liability Valuation from a marketRisk

Description

valInfo is a generic S3 method for classes inheriting from item. It returns sufficient information for the creation of the valuation function of the item.

Usage

# S3 method for liability
valInfo(object, market.risk, standalone = NULL, ...)

Arguments

object

S3 object of class liability.

market.risk

S3 object of class marketRisk created using the constructor marketRisk.

standalone

S3 object of class standalone.

...

additional arguments.

Value

A list with the following elements:

• exposure: numeric value of length one. The nominal value of the liability.

• constant: numeric value of length one. The constant centering the log-normal expression.

• risk.factor: a data.frame with columns:

  • name: character value. The names of the base risk factors.

  • id: integer value. The position of the base risk factors in the covariance matrix in marketRisk.

  • scale: numeric value. The scales associated to the base risk factors.

See Also

valInfo, liability, marketRisk, standalone.