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) . It also implements the state-dependent fee structure discussed in Bernard et al. (2014) .

Documentation

Manual: valuer.pdf
Vignette: Introduction to valuer

Maintainer: Ivan Zoccolan <ivan.zoccolan at gmail.com>

Author(s): Ivan Zoccolan*

Install package and any missing dependencies by running this line in your R console:

install.packages("valuer")

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
Suggests testthat, knitr, rmarkdown, doParallel(>=1.0.10), foreach(>=1.4.3)
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Package valuer
Materials
URL http://github.com/IvanZoccolan/valuer
Task Views
Version 1.1.1
Published 2017-01-03
License GPL-3
BugReports http://github.com/IvanZoccolan/valuer/issues
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks valuer check results
Package source valuer_1.1.1.tar.gz