calc_account

<code>numeric</code> vector with the VA reference fund values

spot

<code>numeric</code> vector with the living benefit cash flow

<code>numeric</code> scalar with the fee

<code>numeric</code> scalar with the state-dependent barrier

barrier

<code>numeric</code> vector with the surrender penalty

penalty

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>.

calc_account: Calculates the account

Description

Usage

Arguments