data_gatherer

Class which defines a simple data gatherer to hold estimates
calculated in a loop.

datasets

Pricing of variable annuity life insurance
contracts by means of Monte Carlo methods. Monte Carlo is used to price
the contract in case the policyholder cannot surrender while
Least Squares Monte Carlo is used if the insured can surrender.
This package implements the pricing framework and algorithm described in
Bacinello et al. (2011) <doi:10.1016/j.insmatheco.2011.05.003>.
It also implements the state-dependent fee structure
discussed in Bernard et al. (2014) <doi:10.1017/asb.2014.13> as well as
a function which prices the contract by resolving the partial differential equation
described in MacKay et al. (2017) <doi:10.1111/jori.12094>.

Ivan Zoccolan

valuer

Pricing of Variable Annuities

data_gatherer function

<code><a rd-options="" href="/link/R6Class?package=valuer&version=1.1.2" data-mini-rdoc="valuer::R6Class">R6Class</a></code> object.

Format

<dl class="dl-horizontal">
 <dt><code>new</code></dt><dd>Constructor method</dd>
 <dt><code>dump_result</code></dt><dd>Saves the argument <code>result</code> which is
 a numeric scalar</dd>
 <dt><code>get_results</code></dt><dd>Returns a numeric vector with the point
 estimates.</dd>
</dl>

Methods

Simple data gatherer — data_gatherer

<code><a rd-options='' href='R6Class'>R6Class</a></code> object.

data_gatherer: Simple data gatherer

Description

Usage

Arguments

Value

Format

Methods