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) <doi:10.1016/j.insmatheco.2011.05.003>. It also implements the state-dependent fee structure discussed in Bernard et al. (2014) <doi:10.1017/asb.2014.13> as well as a function which prices the contract by resolving the partial differential equation described in MacKay et al. (2017) <doi:10.1111/jori.12094>.
| Version: | 1.1.2 |
| 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, Rcpp |
| LinkingTo: | Rcpp |
| Suggests: | testthat, knitr, rmarkdown, doParallel (≥ 1.0.10), foreach (≥ 1.4.3), limSolve |
| Published: | 2018-02-07 |
| 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_1.1.2.tar.gz |
| Windows binaries: | r-devel: valuer_1.1.2.zip, r-release: valuer_1.1.2.zip, r-oldrel: valuer_1.1.2.zip |
| OS X binaries: | r-release: valuer_1.1.2.tgz, r-oldrel: valuer_1.1.2.tgz |
| Old sources: | valuer archive |
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