CRAN

valuer 1.1.2

Pricing of Variable Annuities

Released Feb 7, 2018 by Ivan Zoccolan

This package cannot yet be used with Renjin it depends on other packages which are not available: yuima 1.8.1

Dependencies

yuima 1.8.1 ggplot2 3.0.0 RcppEigen 0.3.3.4.0 R6 2.2.2 Rcpp timeDate 3043.102 orthopolynom 1.0-5

Pricing of variable annuity life insurance contracts by means of Monte Carlo methods. Monte Carlo is used to price the contract in case the policyholder cannot surrender while Least Squares Monte Carlo is used if the insured can surrender. This package implements the pricing framework and algorithm described in Bacinello et al. (2011) . It also implements the state-dependent fee structure discussed in Bernard et al. (2014) as well as a function which prices the contract by resolving the partial differential equation described in MacKay et al. (2017) .

Source

R
C++

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