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. A state-dependent fee structure with a single barrier is implemented.
| Version: | 1.1.0 |
| Depends: | R (≥ 3.2.5), orthopolynom (≥ 1.0-5) |
| Imports: | R6 (≥ 2.1.2), RcppEigen (≥ 0.3.2.8.1), timeDate (≥ 3012.100), yuima (≥ 1.1.6), ggplot2 |
| LinkingTo: | Rcpp |
| Suggests: | testthat, knitr, rmarkdown, doParallel (≥ 1.0.10), foreach (≥ 1.4.3) |
| Published: | 2016-12-12 |
| Author: | Ivan Zoccolan [aut, cre] |
| Maintainer: | Ivan Zoccolan <ivan.zoccolan at gmail.com> |
| BugReports: | http://github.com/IvanZoccolan/valuer/issues |
| License: | GPL-3 |
| URL: | http://github.com/IvanZoccolan/valuer |
| NeedsCompilation: | yes |
| Materials: | README |
| CRAN checks: | valuer results |
| Reference manual: | valuer.pdf |
| Vignettes: |
Introduction to valuer |
| Package source: | valuer_1.1.0.tar.gz |
| Windows binaries: | r-devel: valuer_1.1.0.zip, r-release: valuer_1.1.0.zip, r-oldrel: valuer_1.1.0.zip |
| OS X Mavericks binaries: | r-release: valuer_1.1.0.tgz, r-oldrel: valuer_1.1.0.tgz |
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