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) .


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install.packages("vamc")

0.1.0 by Ben Feng, 5 months ago


Browse source code at https://github.com/cran/vamc


Authors: Hengxin Li [aut, cph] , Ben Feng [aut, cph, cre] , GuoJun Gan [ctb]


Documentation:   PDF Manual  


GPL-2 license


Imports stats, utils, Rdpack

Suggests knitr, rmarkdown, testthat


See at CRAN