payoff_guarantee

Class providing an interface for guarantee payoff objects.
This class shouldn't be instantiated but used as base class
for more specialized implementations such as a roll-up or
ratchet payoff classes.

datasets

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) <doi:10.1016/j.insmatheco.2011.05.003>.
It also implements the state-dependent fee structure
discussed in Bernard et al. (2014) <doi:10.1017/asb.2014.13> as well as
a function which prices the contract by resolving the partial differential equation
described in MacKay et al. (2017) <doi:10.1111/jori.12094>.

Ivan Zoccolan

valuer

Pricing of Variable Annuities

payoff_guarantee function

<code><a rd-options="" href="/link/R6Class?package=valuer&version=1.1.2" data-mini-rdoc="valuer::R6Class">R6Class</a></code> object.

Format

<dl class="dl-horizontal">
 <dt><code>new</code> (<code>public</code>)</dt><dd>Initialize method.
 The argument is a non negative scalar with the premium.</dd>
 <dt><code>set_premium</code> (<code>public</code>)</dt><dd>Stores the
 premium in a private field. The argument is a non negative scalar</dd>
 <dt><code>get_premium</code> (<code>public</code>)</dt><dd>Returns the premium
 as non negative scalar</dd>
 <dt><code>get_payoff</code> (<code>public</code>)</dt><dd>Gets a zero payoff in this
 base class.The arguments are a <code>numeric</code> vector with
 the amounts and a vector of <code><a rd-options="" href="/link/timeDate?package=valuer&version=1.1.2" data-mini-rdoc="valuer::timeDate">timeDate</a></code>
 objects to calculate the payoff</dd>
</dl>

Methods

Generic guarantee payoff class — payoff_guarantee

<code><a rd-options='' href='R6Class'>R6Class</a></code> object.

payoff_guarantee: Generic guarantee payoff class

Description

Usage

Arguments

Value

Format

Methods