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>.
| Version: |
0.2.1 |
| Depends: |
R (≥ 3.3.0) |
| Imports: |
stats (≥ 3.3.0), utils (≥ 3.3.0), Rdpack (≥ 0.4) |
| Suggests: |
knitr, rmarkdown, testthat |
| Published: |
2020-02-28 |
| DOI: |
10.32614/CRAN.package.vamc |
| Author: |
Hengxin Li [aut, cph],
Ben Feng [aut, cph],
Mingyi Jiang [aut, cph, cre],
GuoJun Gan [ctb] |
| Maintainer: |
Mingyi Jiang <m64jiang at uwaterloo.ca> |
| License: |
GPL-2 |
| NeedsCompilation: |
no |
| Materials: |
NEWS |
| CRAN checks: |
vamc results |
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