Implementation of a Monte Carlo simulation engine for valuing synthetic portfolios of variable annuities, which reflect realistic features of common annuity contracts in practice. It aims to facilitate the development and dissemination of research related to the efficient valuation of a portfolio of large variable annuities. The main valuation methodology was proposed by Gan (2017) <doi:10.1515/demo-2017-0021>.
| Version: | 0.1.0 |
| Depends: | R (≥ 3.3.0) |
| Imports: | stats (≥ 3.3.0), utils (≥ 3.3.0), Rdpack (≥ 0.4) |
| Suggests: | knitr, rmarkdown, testthat |
| Published: | 2018-10-08 |
| Author: | Hengxin Li [aut, cph], Ben Feng [aut, cph, cre], GuoJun Gan [ctb] |
| Maintainer: | Ben Feng <ben.feng at uwaterloo.ca> |
| License: | GPL-2 |
| NeedsCompilation: | no |
| CRAN checks: | vamc results |
| Reference manual: | vamc.pdf |
| Vignettes: |
A Comprehensive Monte Carlo Valuation of Variable Annuities |
| Package source: | vamc_0.1.0.tar.gz |
| Windows binaries: | r-devel: vamc_0.1.0.zip, r-release: vamc_0.1.0.zip, r-oldrel: vamc_0.1.0.zip |
| OS X binaries: | r-release: vamc_0.1.0.tgz, r-oldrel: vamc_0.1.0.tgz |
Please use the canonical form https://CRAN.R-project.org/package=vamc to link to this page.