valuer (1.1.2)

0 users

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) . It also implements the state-dependent fee structure discussed in Bernard et al. (2014) as well as a function which prices the contract by resolving the partial differential equation described in MacKay et al. (2017) .

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

License: GPL-3

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

Released over 1 year ago.

2 previous versions



  (0 votes)


  (0 votes)

Log in to vote.


No one has written a review of valuer yet. Want to be the first? Write one now.

Related packages:(20 best matches, based on common tags.)

Search for valuer on google, google scholar, r-help, r-devel.

Visit valuer on R Graphical Manual.