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 statedependent 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>.
Package details 


Author  Ivan Zoccolan [aut, cre] 
Maintainer  Ivan Zoccolan <[email protected]> 
License  GPL3 
Version  1.1.2 
URL  http://github.com/IvanZoccolan/valuer 
Package repository  View on GitHub 
Installation 
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