indexScen

A dataset containing a 3D array, number of scenarios (10) by
number of indices (5) by number of time steps (360), of Black-Scholes return
factors for each index in each of time step and each of scenario.

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

indexScen function

A 3D array with dimensions 10x360x5:<dl class="dl-horizontal">
 <dt>scenario</dt><dd>scenario number</dd>
 <dt>month</dt><dd>month since valuation date</dd>
 <dt>index number</dt><dd>monthly return for a particular index in one scenario
 one month</dd>
 ...
</dl>

Format

5 indices for 10 scenarios over 360 months — indexScen

A 3D array with dimensions 10x360x5:<dl class='dl-horizontal'>
 <dt>scenario</dt><dd>scenario number</dd>
 <dt>month</dt><dd>month since valuation date</dd>
 <dt>index number</dt><dd>monthly return for a particular index in one scenario
 one month</dd>
 ...
</dl>

indexScen: 5 indices for 10 scenarios over 360 months

Description

Usage

Arguments

Format