mCov

A dataset containing the covariance matrix among the returns of five indices.

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

mCov function

A matrix with 5 rows and 5 columns:<dl class="dl-horizontal">
 <dt>index number</dt><dd>number for each index</dd>
 ...
</dl>

Format

covariance matrix for 5 indices — mCov

A matrix with 5 rows and 5 columns:<dl class='dl-horizontal'>
 <dt>index number</dt><dd>number for each index</dd>
 ...
</dl>

mCov: covariance matrix for 5 indices

Description

Usage

Arguments

Format