IvanZoccolan/valuer: Pricing of Variable Annuities

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>.

Getting started

Package details

AuthorIvan Zoccolan [aut, cre]
MaintainerIvan Zoccolan <[email protected]>
URL http://github.com/IvanZoccolan/valuer
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
IvanZoccolan/valuer documentation built on May 7, 2019, 6:45 a.m.