IntroductionI have recently stopped mainstream actuarial systems contract work, so I have now more time to devote to F#. I should therefore (hopefully!) be able to generate a few more posts.
The next series of posts will be on the Calculation Engine added to FCell 3.0 - see http://fcell.io/Help_3_0/Index.html.This allows us to replicate an Excel model using pure F# code that can then be run in Excel or anywhere else!
The model I will use is a simple projection model of a Term product including projected profits and a calculation of the best estimate liability (BEL).
Spreadsheet ModelThe spreadsheet model is stored on BitBucket at:
The Sheet "Notes" describes the contents:
|Pol||Information for the modelled policy, including entry date, age, term, benefits and premiums.|
|InvRates||Investment returns for each projection year.|
|IllPrem||Illiquidity premium for each projection year.|
|Lapses||Lapse rates by policy duration year.|
|MaleMortImprov||Mortality improvements factors for males by age and calendar year.|
|FemaleMortImprov||Mortality improvements factors for females by age and calendar year.|
|MaleMort||Mortality rates for males by age.|
|FemaleMort||Mortality rates for females by age.|
|Decrements||Projection of decrements.|
|Premiums||Projection of premiums received.|
|Expenses||Projection of expenses incurred.|
|Revenue||Projection of income and outgo.|
|Values||Projection of values including best estimate liability (BEL).|
|Results||NOT USED: To be used for results when extended for multiple policies.|
Blog SeriesThe intention in the series is to build an equivalent model that uses the Calculation Engine. One key advantage of using this technology is that it allows you to create a working model that uses both the Excel facilities and those provided by the Calculation Engine. We can therefore build the model in stages, gradually adding the Calculation Engine functionality, whilst still retaing a fully working model.
We will create both a model that has the Calculation Engine embedded in the Workbook using the FCell F# Editor and also created a version that uses a separate DLL built using Visual Studio.
The plan for the series is: