fundMap

A dataset containing a default mapping from five indices to ten different
funds.

datasets

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>.

Ben Feng

vamc

A Monte Carlo Valuation Framework for Variable Annuities

Hengxin Li

GuoJun Gan

fundMap function

A matrix with 10 rows and 5 columns:<dl class="dl-horizontal">
 <dt>index name</dt><dd>name for each index</dd>
 <dt>fund number</dt><dd>proportion of fund allocated to a particular index</dd>
 ...
</dl>

Format

Fund map for 10 funds — fundMap

A matrix with 10 rows and 5 columns:<dl class='dl-horizontal'>
 <dt>index name</dt><dd>name for each index</dd>
 <dt>fund number</dt><dd>proportion of fund allocated to a particular index</dd>
 ...
</dl>

fundMap: Fund map for 10 funds

Description

Usage

Arguments

Format