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vamc (version 0.2.1)

A Monte Carlo Valuation Framework for Variable Annuities

Description

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) .

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Version

Install

install.packages('vamc')

Monthly Downloads

134

Version

0.2.1

License

GPL-2

Maintainer

Mingyi Jiang

Last Published

February 28th, 2020

Functions in vamc (0.2.1)

indexNames

Index Names
mortTable

Mortality Rate for Male and Female from Ages 5 to 115
histDates

Historical Scenario Dates
valuateOnePolicy

Valuate One Policy
genFundScen

Generate Fund Scenerio
valuatePortfolio

Valuate a Portfolio
vamc

vamc: A package for pricing a pool of variable annuities.
mCov

Covariance Matrix for 5 Indices
indexScen

5 Indices for 10 Scenarios over 360 Months
swapRate

Swap Rates across 30 Years
histIdxScen

Historical Index Scenario for 5 Indices over 175 Months
genPortInception

Generate Portfolio at Inception
buildCurve

Build Curve
fundMap

Fund Map for 10 Funds
calcMortFactors

Calculate Mortality Factors
genIndexScen

Generate Index Scenerio
agePortfolio

Age a Portfolio
ageOnePolicy

Age One Policy
cForwardCurve

Constant Forward Curve
VAPort

A Randomly Generated Pool of Variable Annuities