payoff_GMWB

Class providing the periodic payment of a GMWB contract.
It is stated as a given percentage of the premium.

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

payoff_GMWB 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>Initialize method.
 The arguments are a non negative scalar with the premium and a
 scalar between 0 and 1 with the percentage.</dd>
 <dt><code>set_premium</code></dt><dd>Stores the premium in a
 private field. The argument is a non negative scalar</dd>
 <dt><code>get_premium</code></dt><dd>Returns the premium
 as non negative scalar</dd>
 <dt><code>set_beta</code></dt><dd>Sets the percentage. The argument is
 a scalar between 0 and 1</dd>
 <dt><code>get_beta</code></dt><dd>Gets the percentage</dd>
 <dt><code>get_payoff</code></dt><dd>Gets the payoff</dd>
</dl>

Methods

GMWB payoff class — payoff_GMWB

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

payoff_GMWB: GMWB payoff class

Description

Usage

Arguments

Value

Format

Methods

Examples