Description Usage Arguments Details Value References Examples

View source: R/GMAB_GMDB_PDE_solver.R

`va_pde_pricer`

returns the price of a VA with GMAB and GMDB
guarantees. The underlying fund is a GBM and the intensity of mortality
is deterministic. The fee has a state-dependent structure.

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`F0` |
numeric scalar with the initial value of the underlying fund |

`r` |
numeric scalar with the constant interest rate |

`sigma` |
numeric scalar with the constant volatility |

`x` |
numeric integer with the age of the insured |

`delta` |
numeric scalar with the roll-up rate of the GMAB and GMDB |

`fee` |
numeric scalar with the state-dependent base fee |

`beta` |
numeric scalar with the state-dependent barrier
It should be greater than |

`T` |
numeric integer with the maturity of the contract |

`dt` |
numeric scalar with the discretization step of the time dimension |

`dF` |
numeric scalar with the discretization step for the fund dimension |

`lambda` |
function with the intensity of mortality.
Default is |

`K` |
function with the surrender penalty. |

`Fmax` |
numeric scalar with the maximum fund value |

This function resolves the PDE in [MK2017] by means of the finite difference implicit method. It requires the package limSolve to be installed.

numeric scalar with the VA price

[MK2017] A. MacKay, M. Augustyniak, C. Bernard, and M.R. Hardy. Risk management of policyholder behavior in equity-linked life insurance. The Journal of Risk and Insurance, 84(2):661-690, 2017. DOI: 10.1111/jori.12094

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