Package: vamc 0.2.1
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>.
Authors:
vamc_0.2.1.tar.gz
vamc_0.2.1.zip(r-4.5)vamc_0.2.1.zip(r-4.4)vamc_0.2.1.zip(r-4.3)
vamc_0.2.1.tgz(r-4.5-any)vamc_0.2.1.tgz(r-4.4-any)vamc_0.2.1.tgz(r-4.3-any)
vamc_0.2.1.tar.gz(r-4.5-noble)vamc_0.2.1.tar.gz(r-4.4-noble)
vamc_0.2.1.tgz(r-4.4-emscripten)vamc_0.2.1.tgz(r-4.3-emscripten)
vamc.pdf |vamc.html✨
vamc/json (API)
NEWS
| # Install 'vamc' in R: |
| install.packages('vamc', repos = c('https://my-jiang.r-universe.dev', 'https://cloud.r-project.org')) |
- VAPort - A Randomly Generated Pool of Variable Annuities
- cForwardCurve - Constant Forward Curve
- fundMap - Fund Map for 10 Funds
- histDates - Historical Scenario Dates
- histIdxScen - Historical Index Scenario for 5 Indices over 175 Months
- indexNames - Index Names
- indexScen - 5 Indices for 10 Scenarios over 360 Months
- mCov - Covariance Matrix for 5 Indices
- mortTable - Mortality Rate for Male and Female from Ages 5 to 115
- swapRate - Swap Rates across 30 Years
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 5 years agofrom:0769de7b1c. Checks:9 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Mar 08 2025 |
| R-4.5-win | OK | Mar 08 2025 |
| R-4.5-mac | OK | Mar 08 2025 |
| R-4.5-linux | OK | Mar 08 2025 |
| R-4.4-win | OK | Mar 08 2025 |
| R-4.4-mac | OK | Mar 08 2025 |
| R-4.4-linux | OK | Mar 08 2025 |
| R-4.3-win | OK | Mar 08 2025 |
| R-4.3-mac | OK | Mar 08 2025 |
Exports:ageOnePolicyagePortfoliobuildCurvecalcMortFactorsgenFundScengenIndexScengenPortInceptionvaluateOnePolicyvaluatePortfolio
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Age One Policy | ageOnePolicy |
| Age a Portfolio | agePortfolio |
| Build Curve | buildCurve |
| Calculate Mortality Factors | calcMortFactors |
| Constant Forward Curve | cForwardCurve |
| Fund Map for 10 Funds | fundMap |
| Generate Fund Scenerio | genFundScen |
| Generate Index Scenerio | genIndexScen |
| Generate Portfolio at Inception | genPortInception |
| Historical Scenario Dates | histDates |
| Historical Index Scenario for 5 Indices over 175 Months | histIdxScen |
| Index Names | indexNames |
| 5 Indices for 10 Scenarios over 360 Months | indexScen |
| Covariance Matrix for 5 Indices | mCov |
| Mortality Rate for Male and Female from Ages 5 to 115 | mortTable |
| Swap Rates across 30 Years | swapRate |
| Valuate One Policy | valuateOnePolicy |
| Valuate a Portfolio | valuatePortfolio |
| vamc: A package for pricing a pool of variable annuities. | vamc |
| A Randomly Generated Pool of Variable Annuities | VAPort |
