histIdxScen

A dataset containing a matrix, number of indices (5) by
number of time steps (175), of observed historical returns
for each index in each of time step in the past.

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

histIdxScen function

A data frame with dimensions 175 rows and 10 columns:<dl class="dl-horizontal">
 <dt>FIXED</dt><dd>historical return for index "FIXED" in one month</dd>
 <dt>INT</dt><dd>historical return for index "INT" in one month</dd>
 <dt>MONEY</dt><dd>historical return for index "MONEY" in one month</dd>
 <dt>SMALL</dt><dd>historical return for index "SMALL" in one month</dd>
 <dt>US</dt><dd>historical return for index "US" in one month</dd>
 ...
</dl>

Format

These historical index scenarios were assessed on 2008-09-12

Remark

Historical index scenario for 5 indices over 175 months — histIdxScen

A data frame with dimensions 175 rows and 10 columns:<dl class='dl-horizontal'>
 <dt>FIXED</dt><dd>historical return for index "FIXED" in one month</dd>
 <dt>INT</dt><dd>historical return for index "INT" in one month</dd>
 <dt>MONEY</dt><dd>historical return for index "MONEY" in one month</dd>
 <dt>SMALL</dt><dd>historical return for index "SMALL" in one month</dd>
 <dt>US</dt><dd>historical return for index "US" in one month</dd>
 ...
</dl>

histIdxScen: Historical index scenario for 5 indices over 175 months

Description

Usage

Arguments

Format

Remark