valuer (1.1.1)

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Pricing of Variable Annuities.

http://github.com/IvanZoccolan/valuer
http://cran.r-project.org/web/packages/valuer

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) . It also implements the state-dependent fee structure discussed in Bernard et al. (2014) .

Maintainer: Ivan Zoccolan
Author(s): Ivan Zoccolan [aut, cre]

License: GPL-3

Uses: ggplot2, orthopolynom, R6, RcppEigen, timeDate, yuima, foreach, testthat, doParallel, knitr, rmarkdown

Released 6 months ago.


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