discounted_claims_cashflows.py

npx = jnp.concatenate([jnp.ones((1, q.shape[1])), jnp.cumprod(1 - q, axis=0)[:-1]])
face = jnp.array([1000 * x for x in [100, 500, 250]])
discount_factor = 1/(1.02)
# discount factors for payments by policyholder starting at t = 0
discounts = discount_factor ** jnp.arange(timesteps)[:, jnp.newaxis]
# discounts factors for payments from insurer starting at t = 1 (payouts are at end of year of death)
discounts_lagged = discounts * discount_factor
discounted_claims_cashflows = discounts_lagged * npx * q * face
# Expected present value of claims per policyholder at each point in time
print(discounted_claims_cashflows)
# [[ 14.705884  93.13726  181.37256 ]
#  [ 15.376392 168.17256  230.5098  ]
#  [ 19.782635 235.45338  317.49338 ]
#  [ 22.16076  272.25107  375.31992 ]
#  [ 24.43615  307.44678  441.73465 ]]