Package: valuer
Type: Package
Title: Pricing of Variable Annuities
Version: 1.1.1
Authors@R: person("Ivan", "Zoccolan", email = "ivan.zoccolan@gmail.com", role = c("aut", "cre"))
Author: Ivan Zoccolan [aut, cre]
Maintainer: Ivan Zoccolan <ivan.zoccolan@gmail.com>
Description: 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>.
License: GPL-3
LazyData: TRUE
RoxygenNote: 5.0.1
Depends: R (>= 3.2.5), orthopolynom (>= 1.0-5)
Imports: R6 (>= 2.1.2), RcppEigen (>= 0.3.2.8.1), timeDate (>=
        3012.100), yuima (>= 1.1.6), ggplot2
Suggests: testthat, knitr, rmarkdown, doParallel (>= 1.0.10), foreach
        (>= 1.4.3)
LinkingTo: Rcpp
VignetteBuilder: knitr
URL: http://github.com/IvanZoccolan/valuer
BugReports: http://github.com/IvanZoccolan/valuer/issues
NeedsCompilation: yes
Packaged: 2017-01-03 10:07:25 UTC; vagrant
Repository: CRAN
Date/Publication: 2017-01-03 16:32:47
