Skip to content

catbond: Remove unused old_parent_iterate #113

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
rht wants to merge 2 commits into
base: master
Choose a base branch
from
Open

catbond: Remove unused old_parent_iterate #113

Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
4d78665
catbond: Remove unused old_parent_iterate
rht Dec 5, 2018
c35fb51
catbond: Remove unused method parent_init
rht Dec 9, 2018
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
182 changes: 1 addition & 181 deletions catbond.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -24,58 +24,6 @@ def init(self, simulation, per_period_premium, owner, interest_rate = 0): # do
#self.simulation_no_risk_categories = self.simulation.simulation_parameters["no_categories"]

# TODO: change start and InsuranceSimulation so that it iterates CatBonds
#old parent class init, cat bond class should be much smaller
def parent_init(self, simulation_parameters, agent_parameters):
#def init(self, simulation_parameters, agent_parameters):
self.simulation = simulation_parameters['simulation']
self.simulation_parameters = simulation_parameters
self.contract_runtime_dist = scipy.stats.randint(simulation_parameters["mean_contract_runtime"] - \
simulation_parameters["contract_runtime_halfspread"], simulation_parameters["mean_contract_runtime"] \
+ simulation_parameters["contract_runtime_halfspread"] + 1)
self.default_contract_payment_period = simulation_parameters["default_contract_payment_period"]
self.id = agent_parameters['id']
self.cash = agent_parameters['initial_cash']
self.premium = agent_parameters["norm_premium"]
self.profit_target = agent_parameters['profit_target']
self.acceptance_threshold = agent_parameters['initial_acceptance_threshold'] # 0.5
self.acceptance_threshold_friction = agent_parameters['acceptance_threshold_friction'] # 0.9 #1.0 to switch off
self.interest_rate = agent_parameters["interest_rate"]
self.reinsurance_limit = agent_parameters["reinsurance_limit"]
self.simulation_no_risk_categories = simulation_parameters["no_categories"]
self.simulation_reinsurance_type = simulation_parameters["simulation_reinsurance_type"]

rm_config = agent_parameters['riskmodel_config']
self.riskmodel = RiskModel(damage_distribution=rm_config["damage_distribution"], \
expire_immediately=rm_config["expire_immediately"], \
cat_separation_distribution=rm_config["cat_separation_distribution"], \
norm_premium=rm_config["norm_premium"], \
category_number=rm_config["no_categories"], \
init_average_exposure=rm_config["risk_value_mean"], \
init_average_risk_factor=rm_config["risk_factor_mean"], \
init_profit_estimate=rm_config["norm_profit_markup"], \
margin_of_safety=rm_config["margin_of_safety"], \
var_tail_prob=rm_config["var_tail_prob"], \
inaccuracy=rm_config["inaccuracy_by_categ"])

self.category_reinsurance = [None for i in range(self.simulation_no_risk_categories)]
if self.simulation_reinsurance_type == 'non-proportional':
self.np_reinsurance_deductible_fraction = simulation_parameters["default_non-proportional_reinsurance_deductible"]
self.np_reinsurance_excess_fraction = simulation_parameters["default_non-proportional_reinsurance_excess"]
self.np_reinsurance_premium_share = simulation_parameters["default_non-proportional_reinsurance_premium_share"]
self.obligations = []
self.underwritten_contracts = []
#self.reinsurance_contracts = []
self.operational = True
self.is_insurer = True
self.is_reinsurer = False

"""set up risk value estimate variables"""
self.var_counter = 0 # sum over risk model inaccuracies for all contracts
self.var_counter_per_risk = 0 # average risk model inaccuracy across contracts
self.var_sum = 0 # sum over initial VaR for all contracts
self.counter_category = np.zeros(self.simulation_no_risk_categories) # var_counter disaggregated by category
self.var_category = np.zeros(self.simulation_no_risk_categories) # var_sum disaggregated by category

def iterate(self, time):
"""obtain investments yield"""
self.obtain_yield(time)
Expand Down Expand Up @@ -104,135 +52,7 @@ def iterate(self, time):
self.pay_dividends(time)

#self.estimated_var() # cannot compute VaR for catbond as catbond does not have a riskmodel

#old parent class iterate, cat bond class should be much smaller
def parent_iterate(self, time): # TODO: split function so that only the sequence of events remains here and everything else is in separate methods
"""obtain investments yield"""
self.obtain_yield(time)

"""realize due payments"""
self.effect_payments(time)
if isleconfig.verbose:
print(time, ":", self.id, len(self.underwritten_contracts), self.cash, self.operational)

self.make_reinsurance_claims(time)

"""mature contracts"""
if isleconfig.verbose:
print("Number of underwritten contracts ", len(self.underwritten_contracts))
maturing = [contract for contract in self.underwritten_contracts if contract.expiration <= time]
for contract in maturing:
self.underwritten_contracts.remove(contract)
contract.mature(time)
contracts_dissolved = len(maturing)

"""effect payments from contracts"""
[contract.check_payment_due(time) for contract in self.underwritten_contracts]

if self.operational:

"""request risks to be considered for underwriting in the next period and collect those for this period"""
new_risks = []
if self.is_insurer:
new_risks += self.simulation.solicit_insurance_requests(self.id, self.cash)
if self.is_reinsurer:
new_risks += self.simulation.solicit_reinsurance_requests(self.id, self.cash)
contracts_offered = len(new_risks)
try:
assert contracts_offered > 2 * contracts_dissolved
except:
print("Something wrong; agent {0:d} receives too few new contracts {1:d} <= {2:d}".format(self.id, contracts_offered, 2*contracts_dissolved), file=sys.stderr)
#print(self.id, " has ", len(self.underwritten_contracts), " & receives ", contracts_offered, " & lost ", contracts_dissolved)

new_nonproportional_risks = [risk for risk in new_risks if risk.get("insurancetype")=='excess-of-loss' and risk["owner"] is not self]
new_risks = [risk for risk in new_risks if risk.get("insurancetype") in ['proportional', None] and risk["owner"] is not self]

underwritten_risks = [{"value": contract.value, "category": contract.category, \
"risk_factor": contract.risk_factor, "deductible": contract.deductible, \
"excess": contract.excess, "insurancetype": contract.insurancetype, \
"runtime": contract.runtime} for contract in self.underwritten_contracts if contract.reinsurance_share != 1.0]

"""deal with non-proportional risks first as they must evaluate each request separatly, then with proportional ones"""
for risk in new_nonproportional_risks:
accept, var_this_risk = self.riskmodel.evaluate(underwritten_risks, self.cash, risk) # TODO: change riskmodel.evaluate() to accept new risk to be evaluated and to account for existing non-proportional risks correctly -> DONE.
if accept:
per_value_reinsurance_premium = self.np_reinsurance_premium_share * risk["periodized_total_premium"] * risk["runtime"] / risk["value"] #TODO: rename this to per_value_premium in insurancecontract.py to avoid confusion
contract = ReinsuranceContract(self, risk, time, per_value_reinsurance_premium, risk["runtime"], \
self.default_contract_payment_period, \
expire_immediately=self.simulation_parameters["expire_immediately"], \
initial_VaR=var_this_risk, \
insurancetype=risk["insurancetype"]) # TODO: implement excess of loss for reinsurance contracts
self.underwritten_contracts.append(contract)
#pass # TODO: write this nonproportional risk acceptance decision section based on commented code in the lines above this -> DONE.

"""make underwriting decisions, category-wise"""
# TODO: Enable reinsurance shares other tan 0.0 and 1.0
expected_profit, acceptable_by_category, var_per_risk_per_categ = self.riskmodel.evaluate(underwritten_risks, self.cash)

#if expected_profit * 1./self.cash < self.profit_target:
# self.acceptance_threshold = ((self.acceptance_threshold - .4) * 5. * self.acceptance_threshold_friction) / 5. + .4
#else:
# self.acceptance_threshold = (1 - self.acceptance_threshold_friction * (1 - (self.acceptance_threshold - .4) * 5.)) / 5. + .4

growth_limit = max(50, 2 * len(self.underwritten_contracts) + contracts_dissolved)
if sum(acceptable_by_category) > growth_limit:
acceptable_by_category = np.asarray(acceptable_by_category)
acceptable_by_category = acceptable_by_category * growth_limit / sum(acceptable_by_category)
acceptable_by_category = np.int64(np.round(acceptable_by_category))

not_accepted_risks = []
for categ_id in range(len(acceptable_by_category)):
categ_risks = [risk for risk in new_risks if risk["category"] == categ_id]
new_risks = [risk for risk in new_risks if risk["category"] != categ_id]
categ_risks = sorted(categ_risks, key = lambda risk: risk["risk_factor"])
i = 0
if isleconfig.verbose:
print("InsuranceFirm underwrote: ", len(self.underwritten_contracts), " will accept: ", acceptable_by_category[categ_id], " out of ", len(categ_risks), "acceptance threshold: ", self.acceptance_threshold)
while (acceptable_by_category[categ_id] > 0 and len(categ_risks) > i): #\
#and categ_risks[i]["risk_factor"] < self.acceptance_threshold):
if categ_risks[i].get("contract") is not None: #categ_risks[i]["reinsurance"]:
if categ_risks[i]["contract"].expiration > time: # required to rule out contracts that have exploded in the meantime
#print("ACCEPTING", categ_risks[i]["contract"].expiration, categ_risks[i]["expiration"], categ_risks[i]["identifier"], categ_risks[i].get("contract").terminating)
contract = ReinsuranceContract(self, categ_risks[i], time, \
self.simulation.get_market_premium(), categ_risks[i]["expiration"] - time, \
self.default_contract_payment_period, \
expire_immediately=self.simulation_parameters["expire_immediately"], )
self.underwritten_contracts.append(contract)
#categ_risks[i]["contract"].reincontract = contract
# TODO: move this to insurancecontract (ca. line 14) -> DONE
# TODO: do not write into other object's properties, use setter -> DONE

assert categ_risks[i]["contract"].expiration >= contract.expiration, "Reinsurancecontract lasts longer than insurancecontract: {0:d}>{1:d} (EXPIRATION2: {2:d} Time: {3:d})".format(contract.expiration, categ_risks[i]["contract"].expiration, categ_risks[i]["expiration"], time)
#else:
# pass
else:
contract = InsuranceContract(self, categ_risks[i], time, self.simulation.get_market_premium(), \
self.contract_runtime_dist.rvs(), \
self.default_contract_payment_period, \
expire_immediately=self.simulation_parameters["expire_immediately"], \
initial_VaR = var_per_risk_per_categ[categ_id])
self.underwritten_contracts.append(contract)
acceptable_by_category[categ_id] -= 1 # TODO: allow different values per risk (i.e. sum over value (and reinsurance_share) or exposure instead of counting)
i += 1

not_accepted_risks += categ_risks[i:]
not_accepted_risks = [risk for risk in not_accepted_risks if risk.get("contract") is None]

# seek reinsurance
if self.is_insurer:
# TODO: Why should only insurers be able to get reinsurance (not reinsurers)? (Technically, it should work)
self.ask_reinsurance(time)

# return unacceptables
#print(self.id, " now has ", len(self.underwritten_contracts), " & returns ", len(not_accepted_risks))
self.simulation.return_risks(not_accepted_risks)

#not implemented
#"""adjust liquidity, borrow or invest"""
#pass

self.estimated_var()


def set_owner(self, owner):
self.owner = owner
if isleconfig.verbose:
Expand Down