A Comprehensive Monte Carlo Valuation of Variable Annuities6 years ago
Package Info | Yield Curve Generation | Generate index scenarios and fund scenarios | Default covariance matrix | Default index names | Risk-neutral path simulation for 5 indices | Risk-neutral path simulation for 10 funds | Generate a synthetic portfolio of variable annuities | Monte Carlo Valuation | Closing Remarks | Valuation of one variable annuity | Aging of one variable annuity
