An implementation of 'ggplot2'-methods to present the composition of Solvency II Solvency Capital Requirement (SCR) as a series of concentric circle-parts. Solvency II (Solvency 2) is European insurance legislation, coming in force by the delegated acts of October 10, 2014. < https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=OJ%3AL%3A2015%3A012%3ATOC>. Additional files, defining the structure of the Standard Formula (SF) method of the SCR-calculation are provided. The structure files can be adopted for localization or for insurance companies who use Internal Models (IM). Options are available for combining smaller components, horizontal and vertical scaling, rotation, and plotting only some circle-parts. With outlines and connectors several SCR-compositions can be compared, for example in ORSA-scenarios (Own Risk and Solvency Assessment).
The goal of ggsolvencyii is to provide ‘ggplot2’-geom’s to show the composition of the Solvency (II) Capital Requirement (SCR) from (diversified) risks and subrisks, whether for standard formula (SF) or (partial) intern models (IM/PIM).
You can install ggsolvencyii from Cran (stable release)
or (develoment version) from Github:
This README is a short version of the vignette ‘ggsolvencyii’ at https://github.com/vanzanden/ggsolvencyii/tree/master/ which shows more code. the annotated code of the first example is shown in vignette ‘showcase’.
ggsolvencyii builds on ggplot-functionality and provides three geom’s:
These three geom’s were used to produce the following plot which for example could be used for an ORSA (Own Risk and Solvency Assessment) report.
#>  "scaling is based on inputvalue (maxscrvalue) of 25.7433642812936" #>  "scaling is based on a max (level= 1) value of 25.7433642812936" #>  "scaling is based on a max (level= 1) value of 25.7433642812936" #>  "scaling is based on a max (level= 1) value of 25.7433642812936"
The total surface (to the centerpoint of each circle) of the outer segments show the size of undiversified risks. Diversification is made visible by the difference between the risk segment and the next segment nearer to the center of the plot. The red (out)lines are displayed for comparison with the previous SCR buildup.
An life insurer reports its solvency ratio following Standard Formula rules, with English names for all risks. It has a set of risks, diversification effects, and accumulations to the SCR for the current situation (‘id’=1) and two two-year ORSA scenarios.The SCR composition of the current situation (id = 1) is shown below
sii_z_ex1_data a tidyverse transformation is of the data.
ggplot() +geom_sii_risksurface(data = sii_z_ex1_data[sii_z_ex1_data$id == 1, ],mapping = aes(x = time, y = ratio, id = id, value = value,description = description,fill = description, color = description) ) +theme_bw() +scale_fill_manual(name = "Risks",values = sii_x_fillcolors_sf16_eng) +scale_color_manual(name = "Risks",values = sii_x_edgecolors_sf16_eng)
#>  "scaling is based on a max (level= 1) value of 23"
Geom_sii_risksurface uses one default table for this plot
sii_structure_sf16_eng. It defines each risks by indicating from which
combined ‘child’-risks and diversification (suffix ‘d’) it is made up.
Passing another structure table makes this geom usable for localisation
or for internal models.
To prevent cluttering of the legend it is possible to group the smallest
items of a level by providing a levelmax-table in such a way that the
indicated maximum items in that level is not exceded. the example is on
sii_z_ex2_data, with only one SCR result.
#>  "scaling is based on a max (level= 1) value of 30"
rotationdescription Rotates the plot in such a way that the indicated
item (can be on either level, i.e. works also on ‘life’ or
‘operational’) is plotted on just on the righthandside of ‘12
o’clock’. `rotationdegrees’ provides an added rotation. The example
rotates ‘m_equity’ to 12 ’o clock, and then 45 degrees counter
The option ‘squared’ makes a square plot, with the surface of all segments still in proportion.
#>  "scaling is based on a max (level= 1) value of 30" #>  "for id = 1 the description dependent rotation is : 325.945945945946 degrees"
additional parameters, some in the form of tables, can be used for determing what parts of the calculated circle-segments to plot (‘plotdetails’), scaling (‘maxscrvalue’, ‘scalingx’, ‘scalingy’), or for easy comparison between two instances of a SCR buildup (aesthetic ‘comparewithid’).
initial release, see how much interest this package attracts before further development and documentation.