financials_BMOP2011

List of parameters to initialize a va_sde_engine object to
simulate the interest rate, volatility and log price processes
according to the stochastic differential equations specified
in BMOP2011 - See References.

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

financials_BMOP2011 function

A list with elements:<dl class="dl-horizontal">
<dt>[[1]]</dt><dd>List of parameters for <code><a rd-options="yuima" href="/link/simulate?package=valuer&version=1.1.2&to=yuima" data-mini-rdoc="yuima::simulate">simulate</a></code></dd>
<dt>[[2]]</dt><dd>List of parameters for <code><a rd-options="" href="/link/setModel?package=valuer&version=1.1.2" data-mini-rdoc="valuer::setModel">setModel</a></code></dd>
<dt>[[3]]</dt><dd>Vector with indices indicating the interest rate and log price
in solve.variable <code><a rd-options="" href="/link/setModel?package=valuer&version=1.1.2" data-mini-rdoc="valuer::setModel">setModel</a></code></dd>
</dl>

Format

BMOP2011 financial processes — financials_BMOP2011

A list with elements:<dl class='dl-horizontal'>
<dt>[[1]]</dt><dd>List of parameters for <code><a rd-options='yuima' href='simulate'>simulate</a></code></dd>
<dt>[[2]]</dt><dd>List of parameters for <code><a rd-options='' href='setModel'>setModel</a></code></dd>
<dt>[[3]]</dt><dd>Vector with indices indicating the interest rate and log price
in solve.variable <code><a rd-options='' href='setModel'>setModel</a></code></dd>
</dl>

financials_BMOP2011: BMOP2011 financial processes

Description

Usage

Arguments

Format

References