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DmytroBigun / Kanban-Board

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US Proxy Model #15

Closed DmytroBigun closed 3 years ago

DmytroBigun commented 4 years ago

Compare results from SIR model and GPR tool.

For selected lines of business compare 100k results based on :

Timeline: Feb/Mar

Responsible: L&H + support from DFA

DmytroBigun commented 4 years ago

Working directory: O:\CapMod_GRM_LA\Documents\Automation IM L&H\For Fabian

First Steps - questions to Fabian: 1) What is the right quarter to apply these seeds (Q2 or Q4)? 2) What are those files from Fabian (O:\CapMod_GRM_LA\Documents\Automation IM L&H\For Fabian)? 3) Which discounting is used (stochastic or deterministic)? 4) On what LoBs concentrate the analysis?

DmytroBigun commented 4 years ago

change function fAppendYC to append_SpotRates and add path I:_restricted Area\DFA\Programme\01_ECM-Tools\trunk\Matlab\08_General

DmytroBigun commented 4 years ago

First Steps - Answers 1) What is the right quarter to apply these seeds (Q2 or Q4) -> Q2 (Q1 2019) 2) What are those files from Fabian (O:\CapMod_GRM_LA\Documents\Automation IM L&H\For Fabian) - discussed with Henrique 3) Which discounting is used (stochastic or deterministic) -> deterministic (some used stochastic shock) 4) On what LoBs concentrate the analysis -> start with MS

DmytroBigun commented 4 years ago

The most recent folder: I:_restricted Area\DFA\Daten-und-Kalibrierung\2020_Q1\Scenarios\_Production\04_UW Risk L&H\04b_scenario selection gen_xxx

DmytroBigun commented 4 years ago

bid working folder: I:_restricted Area\DFA\Programme\Matlab\02_Developments_and_Tests\Proxy-Model Life CFs\05_Test_Calculations\bid

DmytroBigun commented 4 years ago

Selection is done based on 2019_Q3 scenarios (for eco - exclVA) and 2019_R2 data, link to the details: _I:_restricted Area\DFA\Programme\Matlab\02_Developments_and_Tests\Proxy-Model Life CFs\05_Test_Calculations\bid\01 selection\setup_scen_select_300bid.xlsx

DmytroBigun commented 4 years ago

Fitting process:

DmytroBigun commented 4 years ago

O:\CapMod_HLRUS\ACTRDB_Upload\From Henrique to Fabian\Old\Output SIR PV

DmytroBigun commented 4 years ago

Minutes https://grip.hannover-re.com/room/r0000494/_layouts/15/WopiFrame.aspx?sourcedoc={E2D93F03-7222-4DC2-8F29-F52D99413982}&file=Protokoll_2020-01-28.docx&action=default&DefaultItemOpen=1

DmytroBigun commented 4 years ago

The BUs ran the seeds using the 2019 Q1 Rates The 2019 Q3 is the scenario you interpolate with

DmytroBigun commented 4 years ago

Non-eco scenarios are based on HLR_US base scenarios from 2019 Q1, mapped by STM and adjusted for mort_trend (MOT is adjusted for year 1 and year 2): % apply cap to base scenarios: column 9 of base scenarios % contains mortality t=2 A/Es, these multiplied with (cap-1) % gives the reduction for mortality trend in t=1 and t>1 cap = (mort_trend_cap(i)-1)*(base_scenarios(:,9)-1); temp = zeros(size(base_scenarios)); temp(:,[3,9]) = [cap,cap]; base_scenarios_capped = base_scenarios + temp;

I:_restricted Area\DFA\Daten-und-Kalibrierung\2019_Q1\Scenarios_Production\04_UW Risk L&H\02_scenario generation CFM non-eco\output_V0

DmytroBigun commented 4 years ago

Files need to have this kind of name for GPR input: LOB_CCY_BT_2ENT.csv

DmytroBigun commented 4 years ago

New Folder for eco and non-eco scenarios O:\CapMod_HLRUS\CFM_Scenarios\2020_1\Output_V0\100k

DmytroBigun commented 4 years ago

For BAT FS, M Life, Strucutred co, the net CF is derived on PVFP basis for all other PVCF w/o deposit

DmytroBigun commented 4 years ago

New files: 'O:\CapMod_GRM_LA\CFM_output\2020_2\CurveFittingTest_US\From Henrique to Fabian'

DmytroBigun commented 3 years ago

Hi Dima,

I have drafted a file on the o-drive comparing the various proxi modelling results of the US business (figures are in USD – discounted at deterministic 2020 Q2 rates with vola adjustment). So far we have:

It would be great if you could add the numbers from your analysis, once they are available (apply new curve fitting to the US BU seeds)

O:\CapMod_GRM_LA\CFM_output\2020_2\Analyse\US\ReconciliationFitting.xlsx

Thanks, Fabian

DmytroBigun commented 3 years ago

Yield, Equity, Inflation files: "I:_restricted Area\DFA\Daten-und-Kalibrierung\2019_Q4\Scenarios_Production\04_UW Risk L&H\01_ESG output\02_EndDec2019"