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) .


Reference manual

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0.2.1 by Mingyi Jiang, a year ago

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

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

Documentation:   PDF Manual  

GPL-2 license

Imports stats, utils, Rdpack

Suggests knitr, rmarkdown, testthat

See at CRAN