README.md
In my-jiang/vamc: A Monte Carlo Valuation Framework for Variable Annuities
vamc: A Comprehensive Monte Carlo Valuation of Variable Annuities
The R package "vamc" was first developed in December 2018. The current version 0.2.1 fixed numerous bugs and typos; as well as added some new functions. The package is public on CRAN, please check here.
Package Information
This package uses Monte Carlo simulation to estimate the fair market value of a large portfolio of synthetic variable annuities. The portfolio of variable annuities under consideration is generated based on realistic features of common types of guarantee riders in North America. The Monte Carlo simulation engine generates sample paths of asset prices based on Black-Scholes model.
my-jiang/vamc documentation built on May 19, 2020, 12:07 a.m.
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vamc: A Comprehensive Monte Carlo Valuation of Variable Annuities
The R package "vamc" was first developed in December 2018. The current version 0.2.1 fixed numerous bugs and typos; as well as added some new functions. The package is public on CRAN, please check here.
Package Information
This package uses Monte Carlo simulation to estimate the fair market value of a large portfolio of synthetic variable annuities. The portfolio of variable annuities under consideration is generated based on realistic features of common types of guarantee riders in North America. The Monte Carlo simulation engine generates sample paths of asset prices based on Black-Scholes model.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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