financials_BZ2016bis: BZ2016bis financial processes

In valuer: Pricing of Variable Annuities

Description

List of parameters to initialize a va_sde_engine3 object to simulate the log price and volatility processes which follow the stochastic differential equations specified in BMOP2011 - See References. The interest rate is constant with default value 0.03.

Usage

financials_BZ2016bis

Format

A list with elements:

[[1]]

List of parameters for simulate

[[2]]

List of parameters for setModel

[[3]]

Vector with indices indicating the log price in solve.variable setModel

References

1. [BMOP2011] Bacinello A.R., Millossovich P., Olivieri A. e Pitacco E. "Variable annuities: a unifying valuation approach." In: Insurance: Mathematics and Economics 49 (2011), pp. 285-297.

Examples

#Sets the interest rate to 2%
financials_BZ2016bis[[1]]$r <- 0.02

valuer documentation built on May 2, 2019, 3:43 p.m.