mc_gatherer

Class which defines a gatherer for the Monte Carlo simulated
values. It has methods to return the Monte Carlo estimate and Monte Carlo
Standard Error of the estimate as well as a convergence table.

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

mc_gatherer 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></dt><dd>Constructor method</dd>
 <dt><code>dump_result</code></dt><dd>Saves the argument <code>result</code> which is
 a numeric scalar</dd>
 <dt><code>get_results</code></dt><dd>Returns the Monte Carlo estimate and the
 (estimated) Monte Carlo Standard Error of the estimate</dd>
 <dt><code>convergence_table</code></dt><dd>Returns the convergence table</dd>
 <dt><code>plot</code></dt><dd>Plots a Monte Carlo convergence graph at 95% level</dd>
</dl>

Methods

Monte Carlo gatherer — mc_gatherer

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

mc_gatherer: Monte Carlo gatherer

Description

Usage

Arguments

Value

Format

Methods