| vamc {vamc} | R Documentation |
vamc: A package for pricing a pool of variable annuities.
Description
The vamc package provides a Monte Carlo engine for valuating a pool of variable annuities. The key steps are: YieldCurveGeneration, ScenarioGeneration, PolicyGenerationl, and MonteCarloValuation.
YieldCurveGeneration functions
YieldCurveGeneration generates a forward curve from swap rates. The forward curve is obtained by solving for swap rates that equates values of floating and fixed notes.
ScenarioGeneration functions
ScenarioGeneration generates a random fund scenario under Black-Scholes. After simulating random index scenarios, a fundMap is used to allocate returns of indices to each fund according to proportion of investment.
PolicyGenerationl functions
PolicyGenerationl randomly generates a pool of variable annuities for user-input birthday range, issue-date range, maturity range, account value range, female percentage, fund management fee, fund base fee, product types, rider fee of each type, roll-up-rate for roll-up featured guarantees, withdrawal rate for GMWB, and number of policies to be generated for each type.
MonteCarloValuation functions
MonteCarloValuation discounts cash flow from living and death benefits, as well as risk charges for each policy in the portfolio.
References
Gan G, Valdez EA (2017). “Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets.” Dependence Modeling, 5, 354–374. doi: 10.1515/demo-2017-0021.