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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>.

Functions in vamc

Name Description
mCov covariance matrix for 5 indices
mortTable Mortality rate for male and female from ages 5 to 115
ageOnePolicy Age a VA policy specified in inPolicy from currentDate (specified in inPolicy) to targetDate. The againg scenario is given in fundScen. The time step length is specified in dT. Here we input a rather irrelevant parameter df to "hack" for a more flexible user-defined projection function.
histDates Historical scenario dates
histIdxScen Historical index scenario for 5 indices over 175 months
vamc vamc: A package for pricing a pool of variable annuities.
valuatePortfolio Valuate a portfolio VA policies specified in each curPolicy of inPortfolio based on the simulated fund scenarios fundScen. The time step length is specified in dT and the discount rate for each period is specified in df.
indexNames Index names
indexScen 5 indices for 10 scenarios over 360 months
swapRate Swap rates across 30 years
valuateOnePolicy Valuate a VA policy specified in inPolicy based on the simulated fund scenarios fundScen. The time step length is specified in dT and the discount rate for each period is specified in df.
calcMortFactors Calculates the mortality factors (t - 1)px q(x + t - 1) and tpx required to valuate the inPolicy. Extract gender, age (birth date & current date), valuation date (current date), and maturity date from inPolicy, mortality rates from mortTable.
cForwardCurve Constant forward curve
genFundScen Calculate numScen-by-numIndex-by-numStep fund scenarios based on given index scenarios indexScen and fund map fundMap that maps indices to funds.
VAPort A randomly generated pool of variable annuities
genIndexScen Simulate a 3D array, numScen by numIndex by numStep, of Black-Scholes return factors for numIndex indices in each of numStep time steps and each of numScen scenarios. Covariances among indices are specified in covMatrix. Stepsize is given is dT and interpolated discount factors are given in vDF. Random seed is optional for reproducibility.
buildCurve Bootstrap discount factors from a yield curve.
genPortInception Generate a portfolio of VA contracts at inception based on given attribute ranges and investment fund information.
fundMap Fund map for 10 funds
agePortfolio Age a portfolio of VA policies specified in each inPolicy of inPortfolio from currentDate (specified in inPolicy) to targetDate. The againg scenario is given in fundScen. The time step length is specified in dT. Here we input a rather irrelevant parameter df to "hack" for a more flexible user-defined projection function.
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Vignettes of vamc

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Details

Type Package
License GPL-2
LazyData true
VignetteBuilder knitr
RoxygenNote 6.1.0
RdMacros Rdpack
NeedsCompilation no
Packaged 2018-10-01 16:23:19 UTC; thecoolestman
Repository CRAN
Date/Publication 2018-10-08 18:30:03 UTC

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