valuer: Pricing of Variable Annuities

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 (≥, 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>
License: GPL-3
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:, r-release:, r-oldrel:
OS X Mavericks binaries: r-release: valuer_1.1.0.tgz, r-oldrel: valuer_1.1.0.tgz


Please use the canonical form to link to this page.