vamc v0.1.0

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by Ben Feng View Source

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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my-vignette.Rmd
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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

suggests	knitr , rmarkdown , testthat
depends	R (>= 3.3.0)
imports	Rdpack (>= 0.4) , stats (>= 3.3.0) , utils (>= 3.3.0)
Contributors	Hengxin Li, GuoJun Gan