vamc

A Monte Carlo Valuation Framework for Variable Annuities

Implementation of a Monte Carlo simulation engine for valuing synthetic portfolios of variable annuities, which reflect realistic features of common annuity contracts in practice. It aims to facilitate the development and dissemination of research related to the efficient valuation of a portfolio of large variable annuities. The main valuation methodology was proposed by Gan (2017) <doi:10.1515/demo-2017-0021>.

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Description file content

Package
vamc
Type
Package
Title
A Monte Carlo Valuation Framework for Variable Annuities
Version
0.1.0
Description
Implementation of a Monte Carlo simulation engine for valuing synthetic portfolios of variable annuities, which reflect realistic features of common annuity contracts in practice. It aims to facilitate the development and dissemination of research related to the efficient valuation of a portfolio of large variable annuities. The main valuation methodology was proposed by Gan (2017) .
Depends
R (>= 3.3.0)
License
GPL-2
LazyData
true
Suggests
knitr, rmarkdown, testthat
VignetteBuilder
knitr
RoxygenNote
6.1.0
Imports
stats (>= 3.3.0), utils (>= 3.3.0), Rdpack (>= 0.4)
RdMacros
Rdpack
NeedsCompilation
no
Packaged
2018-10-01 16:23:19 UTC; thecoolestman
Author
Hengxin Li [aut, cph], Ben Feng [aut, cph, cre], GuoJun Gan [ctb]
Maintainer
Ben Feng
Repository
CRAN
Date/Publication
2018-10-08 18:30:03 UTC

install.packages('vamc')

0.1.0

2 months ago

Ben Feng

GPL-2

Depends on

R (>= 3.3.0)

Imports

stats (>= 3.3.0), utils (>= 3.3.0), Rdpack (>= 0.4)

Suggests

knitr, rmarkdown, testthat

Discussions