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>.

Version: 1.1.2
Depends: R (≥ 3.2.5), orthopolynom (≥ 1.0-5)
Imports: R6 (≥ 2.1.2), RcppEigen (≥ 0.3.2.8.1), timeDate (≥ 3012.100), yuima (≥ 1.1.6), ggplot2, Rcpp
LinkingTo: Rcpp
Suggests: testthat, knitr, rmarkdown, doParallel (≥ 1.0.10), foreach (≥ 1.4.3), limSolve
Published: 2018-02-07
Author: Ivan Zoccolan [aut, cre]
Maintainer: Ivan Zoccolan <ivan.zoccolan at gmail.com>
BugReports: http://github.com/IvanZoccolan/valuer/issues
License: GPL-3
URL: http://github.com/IvanZoccolan/valuer
NeedsCompilation: yes
Materials: README
CRAN checks: valuer results

Downloads:

Reference manual: valuer.pdf
Vignettes: Introduction to valuer
Package source: valuer_1.1.2.tar.gz
Windows binaries: r-devel: valuer_1.1.2.zip, r-release: valuer_1.1.2.zip, r-oldrel: valuer_1.1.2.zip
OS X binaries: r-release: valuer_1.1.2.tgz, r-oldrel: not available
Old sources: valuer archive

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