VoseRuin

See also: VoseDepletion, Vose Ruin window

VoseRuin(ClaimInterval,ClaimSize,InitialReserve,PolicyPrice,PolicySalesRate,Horizon,DividendThreshold, Discountrate)

 

 

 

The Ruin Calculation models scenarios for the cash flow that comes with an insurance policy: the available funds are decreased by payment events of random size that occur randomly in time, and increased by selling policies of fixed size.

A time horizon is set, and Ruin Calculation models whether or not we have a Ruin (i.e. funds dropping below zero within the time horizon).

An optional dividend threshold can be set. When the fund exceeds this threshold, a dividend is paid out to reduce the fund back to the threshold value.

A discount rate which is applied to the dividend cashflow to calculate the Net Present Value (NPV) of the fund in this scenario (i.e. the total value of the dividend stream within the time horizon).

  • ClaimInterval - the distribution of time between each impact. Must be a distribution object.

  • Claimsize - the distribution of the size of each impact. Must be a non-negative distribution object.

  • Initial reserve - the funds available at time zero. This should be a value greater than zero.

  • PolicyPrice - the income generated by selling an individual policy. This should be a value greater than zero.

  • PolicySalesRate - the time between each income.

  • Horizon - the time horizon against which to compare whether a ruin event occurs or not.

  • DividendTreshold - (optional) the level of funds above which they are used for dividend.

  • DiscountRate - (optional) the discount rate (per time unit) to be applied to the dividend cashflows. This must be a value greater than or equal to zero.

As this function takes many parameters, we recommend using the Ruin window for performing this calculation to avoid errors.

The generated output is a 5 by 2 array containing the following values for the currently generated scenario:

RuinTime - the time on which the resources are depleted if this happened before the time horizon. Otherwise this function returns -1.

RuinSeverity - the severity of depletion the first time the funds below zero (i.e. how deep the funds drop below zero). Returns 0 if the funds never drop below zero.

RuinMaxSeverity - the deepest below zero the funds drop before the time horizon. Returns 0 if the funds never drop below zero.

RuinFlag - returns 1 if the resources are depleted at some point before the time horizon and 0 if not.

RuinNPV - the Net Present Value (NPV) of the fund in the currently generated scenario (i.e. the total value of the dividend stream within the time horizon taking into account the discount rate). If no dividend threshold is set this returns zero.

The VoseRuinTime, VoseRuinSeverity, RuinMaxSeverity, RuinFlag and RuinNPV functions return each of these outputs separately.

 

ModelRisk

Monte Carlo simulation in Excel. Learn more

Tamara

Adding risk and uncertainty to your project schedule. Learn more

Navigation

FREE MONTE CARLO SIMULATION SOFTWARE

For Microsoft Excel

Download your free copy of ModelRisk Basic today. Professional quality risk modeling software and no catches

Download ModelRisk Basic now

FREE PROJECT RISK SOFTWARE

For Primavera & Microsoft Project

Download your free copy of Tamara Basic today. Professional quality project risk software and no catches.

Download Tamara Basic now
-->