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Merged
nnikolopoulos merged 43 commits into from
Jun 22, 2023
Merged

Introduce Locked In CDR and Partner Rating for Technical Margin #323

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a3d72ca
First commit
Jun 2, 2023
5f155fa
Implement GetLockedNonPerformanceRiskRate
Jun 2, 2023
4fa460c
Improve and fix tests
Jun 5, 2023
4db136c
Sketch ImportStorage Getter and add new CDR amount type
Jun 6, 2023
7c163f3
Implement GetAmountTypeDescendants in ImportStorage
Jun 7, 2023
f98fe08
Add EstimateType to the Identity of ValidAmountType scope
Jun 7, 2023
230a545
Add TM EstimateType and adjust TechnicalMargin scope
Jun 7, 2023
c2426aa
CDR Applicabilities should also apply for new CDR AmountType
Jun 7, 2023
1f3f713
Add TM EstimateType in Dimensions.csv
Jun 8, 2023
5b483c7
Feedback
Jun 8, 2023
6c9de7b
Properly populate the locked-in dictionaries
Jun 9, 2023
0043b9a
Adjust the ParameterReportsQueries for locked-in Partner Rating and C…
Jun 9, 2023
190c6e7
Feedback
Jun 12, 2023
935bdff
Slicing in ParameterReports
Jun 12, 2023
2dff60b
Fix tests
Jun 12, 2023
5e3b4de
All tests green
Jun 13, 2023
274e888
ParameterReports adjustments
Jun 13, 2023
2b0d1b6
Undo ParameterReports changes
Jun 15, 2023
17604e7
Cleanup
Jun 15, 2023
58aeb10
Feedback: Refactor GetNonPerformanceRiskRate
Jun 16, 2023
75401fc
Feedback
Jun 16, 2023
63ee205
Revert EstimateType TM related changes
Jun 16, 2023
00fd71a
Adjust Dimensions.csv
Jun 16, 2023
11f3d89
Feedback
Jun 16, 2023
1a36c1d
Filter out CDRI from Locked and Current BestEstimate in ReportScopes
Jun 16, 2023
548ae4c
Exclude CDR from BeAmountTypes in TechnicalMargin scope
Jun 19, 2023
7500a2c
Adapt BM for IfrsVariableTest
Jun 19, 2023
b68efa5
Adapt BM for ReportVariableTest
Jun 19, 2023
8115cdf
Fix PracticalCase-CompareReinsuranceTest
Jun 19, 2023
b83b4f1
Fix diffs in ReportVariable BMs
Jun 20, 2023
93deebe
Revert changes in ReportVariableBenchmarks_2020_12_CH__Contractual
Jun 20, 2023
a0dc889
Feedback in BM_CH_2020_12_MTUP10pct_BE
Jun 20, 2023
5225b19
Feedback in README
Jun 20, 2023
9b8f6a2
Undo change in BM_CH_2020_12_MTUP10pct_BE
Jun 20, 2023
becaf4b
No need to compute and store CDRI for LIC
Jun 20, 2023
f76823d
Adjust ParameterReports
Jun 20, 2023
87a7a8e
Redo BMs for IfrsVariablesTest
Jun 20, 2023
8a486f7
Cleanup
Jun 20, 2023
ed4ad21
Remove EstimateType TM from Consts
Jun 20, 2023
b487dd0
Feedback
Jun 21, 2023
b4cf555
Navigation MD in ImportScopeCalculation notebooks
Jun 21, 2023
0d84228
Optimize GetNonPerformanceRiskRate
Jun 21, 2023
9a3d959
Feedback
Jun 21, 2023
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1 change: 1 addition & 0 deletions ifrs17-template/Files/Dimensions.csv
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@ CL,Claims,,20,EndOfPeriod,,,,,,,
NIC,Non Investment Component,CL,30,EndOfPeriod,,,,,,,
ICO,Investment Component,CL,40,EndOfPeriod,,,,,,,
CDR,Credit Default Risk,CL,50,EndOfPeriod,,,,,,,
CDRI,Initial Credit Default Risk,CDR,60,EndOfPeriod,,,,,,,
CE,Claim Expenses,CL,200,EndOfPeriod,,,,,,,
ALE,Allocated Loss Adjustment Expenses,CE,210,EndOfPeriod,,,,,,,
ULE,Unallocated Loss Adjustment Expenses,CE,220,EndOfPeriod,,,,,,,
Expand Down
72 changes: 68 additions & 4 deletions ifrs17-template/Report/ParameterReports.ipynb
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Original file line number Diff line number Diff line change
Expand Up @@ -156,7 +156,7 @@
{
"cell_type": "code",
"source": [
"var partnerRatings = await Workspace.GetPartnerRatingsReportParametersAsync(args);"
"var currentPartnerRatings = await Workspace.GetCurrentPartnerRatingsReportParametersAsync(args);"
],
"metadata": {},
"execution_count": 0,
Expand All @@ -165,7 +165,25 @@
{
"cell_type": "code",
"source": [
"var partnerDefaultRates = await Workspace.GetCreditDefaultRatesReportParametersAsync(args);"
"var lockedPartnerRatings = await Workspace.GetLockedInPartnerRatingsReportParametersAsync(args);"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var currentPartnerDefaultRates = await Workspace.GetCurrentCreditDefaultRatesReportParametersAsync(args);"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var lockedPartnerDefaultRates = await Workspace.GetLockedInCreditDefaultRatesReportParametersAsync(args);"
],
"metadata": {},
"execution_count": 0,
Expand Down Expand Up @@ -314,7 +332,7 @@
{
"cell_type": "code",
"source": [
"await Report.ForObjects(partnerRatings)",
"await Report.ForObjects(currentPartnerRatings)",
"\n .WithQuerySource(Workspace)",
"\n .GroupRowsBy(x => x.Partner)",
"\n .GroupColumnsBy(x => x.Period)",
Expand All @@ -325,6 +343,29 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"Locked in [partner ratings](https://portal.systemorph.cloud/project/ifrs17/env/v1.3.0/DataModel/DataStructure#partner-rating)."
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"await Report.ForObjects(lockedPartnerRatings)",
"\n .WithQuerySource(Workspace)",
"\n .GroupRowsBy(x => x.Partner)",
"\n .GroupColumnsBy(x => x.PartnerRatingType).GroupColumnsBy(x => \"Initial Year: \" + x.InitialYear.ToString())",
"\n .ToTable()",
"\n .ExecuteAsync()"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
Expand All @@ -338,7 +379,7 @@
{
"cell_type": "code",
"source": [
"await Report.ForObjects(partnerDefaultRates)",
"await Report.ForObjects(currentPartnerDefaultRates)",
"\n .WithQuerySource(Workspace)",
"\n .GroupRowsBy(x => x.CreditRiskRating)",
"\n .GroupColumnsBy(x => x.Period)",
Expand All @@ -348,6 +389,29 @@
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"Locked in [partner default rates](https://portal.systemorph.cloud/project/ifrs17/env/v1.3.0/DataModel/DataStructure#credit-default-rate)."
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"await Report.ForObjects(lockedPartnerDefaultRates)",
"\n .WithQuerySource(Workspace)",
"\n .GroupRowsBy(x => x.CreditRiskRating)",
"\n .GroupColumnsBy(x => x.CreditDefaultRatesType).GroupColumnsBy(x => \"Initial Year: \" + x.InitialYear)",
"\n .ToTable()",
"\n .ExecuteAsync()"
],
"metadata": {},
"execution_count": 0,
"outputs": []
}
]
}
9 changes: 9 additions & 0 deletions ifrs17-template/Test/Data/IfrsVariableBenchmarks/BM_CH_2020_12_MTUP10pct_BE.csv
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Original file line number Diff line number Diff line change
Expand Up @@ -28,20 +28,29 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,EOP,DTR1.1,C,BE,C,0.01057
,CDR,BOP,DTR1.1,C,BE,N,0.04415
,CDR,CF,DTR1.1,C,BE,N,-0.03368
,CDRI,EOP,DTR1.1,C,BE,C,0.01057
,CDRI,BOP,DTR1.1,C,BE,N,0.04415
,CDRI,CF,DTR1.1,C,BE,N,-0.03368
,NIC,EOP,DTR1.1,C,BE,C,-164.82155
,NIC,BOP,DTR1.1,C,BE,N,-329.31412
,NIC,CF,DTR1.1,C,BE,N,165
,NIC,IA,DTR1.1,C,BE,N,-0.50743
,CDR,EOP,DTR1.1,L,BE,C,0.01057
,CDR,BOP,DTR1.1,L,BE,N,0.04415
,CDR,CF,DTR1.1,L,BE,N,-0.03368
,CDRI,EOP,DTR1.1,L,BE,C,0.01057
,CDRI,BOP,DTR1.1,L,BE,N,0.04415
,CDRI,CF,DTR1.1,L,BE,N,-0.03368
,NIC,EOP,DTR1.1,L,BE,C,-164.82155
,NIC,BOP,DTR1.1,L,BE,N,-329.31412
,NIC,CF,DTR1.1,L,BE,N,165
,NIC,IA,DTR1.1,L,BE,N,-0.50743
,CDR,EOP,DTR1.1,N,BE,C,0.01059
,CDR,BOP,DTR1.1,N,BE,N,0.04427
,CDR,CF,DTR1.1,N,BE,N,-0.03368
,CDRI,EOP,DTR1.1,N,BE,C,0.01059
,CDRI,BOP,DTR1.1,N,BE,N,0.04427
,CDRI,CF,DTR1.1,N,BE,N,-0.03368
,NIC,EOP,DTR1.1,N,BE,C,-165
,NIC,BOP,DTR1.1,N,BE,N,-330
,NIC,CF,DTR1.1,N,BE,N,165
Expand Down
44 changes: 44 additions & 0 deletions ifrs17-template/Test/Data/IfrsVariableBenchmarks/BM_CH_2020_12__BE.csv
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Original file line number Diff line number Diff line change
Expand Up @@ -199,6 +199,10 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,BOP,DTR1.1,C,BE,N,0.04013
,CDR,CF,DTR1.1,C,BE,N,-0.03062
,CDR,IA,DTR1.1,C,BE,N,0.0001
,CDRI,EOP,DTR1.1,C,BE,C,0.00961
,CDRI,BOP,DTR1.1,C,BE,N,0.04013
,CDRI,CF,DTR1.1,C,BE,N,-0.03062
,CDRI,IA,DTR1.1,C,BE,N,0.0001
,NIC,EOP,DTR1.1,C,BE,C,-149.83777
,NIC,BOP,DTR1.1,C,BE,N,-299.37647
,NIC,CF,DTR1.1,C,BE,N,150
Expand All @@ -211,6 +215,10 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,BOP,DTR1.1,L,BE,N,0.04013
,CDR,CF,DTR1.1,L,BE,N,-0.03062
,CDR,IA,DTR1.1,L,BE,N,0.0001
,CDRI,EOP,DTR1.1,L,BE,C,0.00961
,CDRI,BOP,DTR1.1,L,BE,N,0.04013
,CDRI,CF,DTR1.1,L,BE,N,-0.03062
,CDRI,IA,DTR1.1,L,BE,N,0.0001
,NIC,EOP,DTR1.1,L,BE,C,-149.83777
,NIC,BOP,DTR1.1,L,BE,N,-299.37647
,NIC,CF,DTR1.1,L,BE,N,150
Expand All @@ -222,6 +230,9 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,EOP,DTR1.1,N,BE,C,0.00962
,CDR,BOP,DTR1.1,N,BE,N,0.04024
,CDR,CF,DTR1.1,N,BE,N,-0.03062
,CDRI,EOP,DTR1.1,N,BE,C,0.00962
,CDRI,BOP,DTR1.1,N,BE,N,0.04024
,CDRI,CF,DTR1.1,N,BE,N,-0.03062
,NIC,EOP,DTR1.1,N,BE,C,-150
,NIC,BOP,DTR1.1,N,BE,N,-300
,NIC,CF,DTR1.1,N,BE,N,150
Expand Down Expand Up @@ -254,6 +265,10 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,BOP,DTR1.3,C,BE,N,0.04013
,CDR,CF,DTR1.3,C,BE,N,-0.03062
,CDR,IA,DTR1.3,C,BE,N,0.0001
,CDRI,EOP,DTR1.3,C,BE,C,0.00961
,CDRI,BOP,DTR1.3,C,BE,N,0.04013
,CDRI,CF,DTR1.3,C,BE,N,-0.03062
,CDRI,IA,DTR1.3,C,BE,N,0.0001
,NIC,EOP,DTR1.3,C,BE,C,-149.83777
,NIC,BOP,DTR1.3,C,BE,N,-299.37647
,NIC,CF,DTR1.3,C,BE,N,150
Expand All @@ -266,6 +281,10 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,BOP,DTR1.3,L,BE,N,0.04013
,CDR,CF,DTR1.3,L,BE,N,-0.03062
,CDR,IA,DTR1.3,L,BE,N,0.0001
,CDRI,EOP,DTR1.3,L,BE,C,0.00961
,CDRI,BOP,DTR1.3,L,BE,N,0.04013
,CDRI,CF,DTR1.3,L,BE,N,-0.03062
,CDRI,IA,DTR1.3,L,BE,N,0.0001
,NIC,EOP,DTR1.3,L,BE,C,-149.83777
,NIC,BOP,DTR1.3,L,BE,N,-299.37647
,NIC,CF,DTR1.3,L,BE,N,150
Expand All @@ -277,6 +296,9 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,EOP,DTR1.3,N,BE,C,0.00962
,CDR,BOP,DTR1.3,N,BE,N,0.04024
,CDR,CF,DTR1.3,N,BE,N,-0.03062
,CDRI,EOP,DTR1.3,N,BE,C,0.00962
,CDRI,BOP,DTR1.3,N,BE,N,0.04024
,CDRI,CF,DTR1.3,N,BE,N,-0.03062
,NIC,EOP,DTR1.3,N,BE,C,-150
,NIC,BOP,DTR1.3,N,BE,N,-300
,NIC,CF,DTR1.3,N,BE,N,150
Expand All @@ -287,6 +309,10 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,BOP,DTR1.4,C,BE,N,0.04013
,CDR,CF,DTR1.4,C,BE,N,-0.03062
,CDR,IA,DTR1.4,C,BE,N,0.0001
,CDRI,EOP,DTR1.4,C,BE,C,0.00961
,CDRI,BOP,DTR1.4,C,BE,N,0.04013
,CDRI,CF,DTR1.4,C,BE,N,-0.03062
,CDRI,IA,DTR1.4,C,BE,N,0.0001
,NIC,EOP,DTR1.4,C,BE,C,-149.83777
,NIC,BOP,DTR1.4,C,BE,N,-299.37647
,NIC,CF,DTR1.4,C,BE,N,150
Expand All @@ -299,6 +325,10 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,BOP,DTR1.4,L,BE,N,0.04013
,CDR,CF,DTR1.4,L,BE,N,-0.03062
,CDR,IA,DTR1.4,L,BE,N,0.0001
,CDRI,EOP,DTR1.4,L,BE,C,0.00961
,CDRI,BOP,DTR1.4,L,BE,N,0.04013
,CDRI,CF,DTR1.4,L,BE,N,-0.03062
,CDRI,IA,DTR1.4,L,BE,N,0.0001
,NIC,EOP,DTR1.4,L,BE,C,-149.83777
,NIC,BOP,DTR1.4,L,BE,N,-299.37647
,NIC,CF,DTR1.4,L,BE,N,150
Expand All @@ -310,6 +340,9 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,EOP,DTR1.4,N,BE,C,0.00962
,CDR,BOP,DTR1.4,N,BE,N,0.04024
,CDR,CF,DTR1.4,N,BE,N,-0.03062
,CDRI,EOP,DTR1.4,N,BE,C,0.00962
,CDRI,BOP,DTR1.4,N,BE,N,0.04024
,CDRI,CF,DTR1.4,N,BE,N,-0.03062
,NIC,EOP,DTR1.4,N,BE,C,-150
,NIC,BOP,DTR1.4,N,BE,N,-300
,NIC,CF,DTR1.4,N,BE,N,150
Expand All @@ -320,6 +353,10 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,BOP,DTR2.1,C,BE,N,0.04013
,CDR,CF,DTR2.1,C,BE,N,-0.03062
,CDR,IA,DTR2.1,C,BE,N,0.0001
,CDRI,EOP,DTR2.1,C,BE,C,0.00961
,CDRI,BOP,DTR2.1,C,BE,N,0.04013
,CDRI,CF,DTR2.1,C,BE,N,-0.03062
,CDRI,IA,DTR2.1,C,BE,N,0.0001
,NIC,EOP,DTR2.1,C,BE,C,-149.83777
,NIC,BOP,DTR2.1,C,BE,N,-299.37647
,NIC,CF,DTR2.1,C,BE,N,150
Expand All @@ -332,6 +369,10 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,BOP,DTR2.1,L,BE,N,0.04013
,CDR,CF,DTR2.1,L,BE,N,-0.03062
,CDR,IA,DTR2.1,L,BE,N,0.0001
,CDRI,EOP,DTR2.1,L,BE,C,0.00961
,CDRI,BOP,DTR2.1,L,BE,N,0.04013
,CDRI,CF,DTR2.1,L,BE,N,-0.03062
,CDRI,IA,DTR2.1,L,BE,N,0.0001
,NIC,EOP,DTR2.1,L,BE,C,-149.83777
,NIC,BOP,DTR2.1,L,BE,N,-299.37647
,NIC,CF,DTR2.1,L,BE,N,150
Expand All @@ -343,6 +384,9 @@ AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Valu
,CDR,EOP,DTR2.1,N,BE,C,0.00962
,CDR,BOP,DTR2.1,N,BE,N,0.04024
,CDR,CF,DTR2.1,N,BE,N,-0.03062
,CDRI,EOP,DTR2.1,N,BE,C,0.00962
,CDRI,BOP,DTR2.1,N,BE,N,0.04024
,CDRI,CF,DTR2.1,N,BE,N,-0.03062
,NIC,EOP,DTR2.1,N,BE,C,-150
,NIC,BOP,DTR2.1,N,BE,N,-300
,NIC,CF,DTR2.1,N,BE,N,150
Expand Down
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