yr_fractions

A <code><a rd-options="" href="/link/timeDate?package=valuer&version=1.1.2" data-mini-rdoc="valuer::timeDate">timeDate</a></code> sequence

times

Normalizes a timeDate sequence into year fractions

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

yr_fractions function

A <code><a rd-options='' href='timeDate'>timeDate</a></code> sequence

yr_fractions: Normalizes a timeDate sequence into year fractions

Description

Usage

Arguments