vamc: A Monte Carlo Valuation Framework for Variable Annuities

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>.

Version:	0.2.1
Depends:	R (≥ 3.3.0)
Imports:	stats (≥ 3.3.0), utils (≥ 3.3.0), Rdpack (≥ 0.4)
Suggests:	knitr, rmarkdown, testthat
Published:	2020-02-28
DOI:	10.32614/CRAN.package.vamc
Author:	Hengxin Li [aut, cph], Ben Feng [aut, cph], Mingyi Jiang [aut, cph, cre], GuoJun Gan [ctb]
Maintainer:	Mingyi Jiang <m64jiang at uwaterloo.ca>
License:	GPL-2
NeedsCompilation:	no
Materials:	NEWS
CRAN checks:	vamc results

Documentation:

Reference manual:	vamc.pdf
Vignettes:	A Comprehensive Monte Carlo Valuation of Variable Annuities

Downloads:

Package source:	vamc_0.2.1.tar.gz
Windows binaries:	r-devel: vamc_0.2.1.zip, r-release: vamc_0.2.1.zip, r-oldrel: vamc_0.2.1.zip
macOS binaries:	r-release (arm64): vamc_0.2.1.tgz, r-oldrel (arm64): vamc_0.2.1.tgz, r-release (x86_64): vamc_0.2.1.tgz, r-oldrel (x86_64): vamc_0.2.1.tgz
Old sources:	vamc archive

Linking:

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