vamc

A Monte Carlo Valuation Framework for Variable Annuities

CRAN Package

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.

  • Version0.2.1
  • R version≥ 3.3.0
  • LicenseGPL-2
  • Needs compilation?No
  • Last release02/28/2020

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  • Imports1 package
  • Suggests3 packages