This package was removed from CRAN on 2022-01-12. Its history is shown below.

Reason: the request of the maintainer

Details below reflect version 1.1.2, its last release before removal.

valuer

1.1.2

Pricing of Variable Annuities

0packages depend

–downloads / year

–test coverage

–checks pass

Overview

About

Maintained by Ivan Zoccolan3 releasesCRAN page ↗GitHub ↗

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.

Install

R (source archive)pak (dev)openSUSE (OBS)

url <- "https://cran.r-project.org/src/contrib/Archive/valuer/valuer_1.1.2.tar.gz"
pkgFile <- "valuer_1.1.2.tar.gz"
download.file(url, pkgFile)
install.packages(pkgFile, type = "source", repos = NULL)

This package is no longer on CRAN, so install.packages() cannot fetch it by name. This downloads the last archived source (1.1.2) and builds it locally. Install its dependencies first, and note that building from source needs the usual compiler toolchain.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("IvanZoccolan/valuer")

Development version from IvanZoccolan/valuer. Installs pak first if it is not already available.

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-valuer

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

CRAN check results are not tracked yet.

Documentation

Documentation signals are not tracked yet for this package.

Downloads

valuer Releases R versions

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Also on37 autocran

Dependencies

Declared dependencies

14 external dependencies (excludes base and recommended)

Depends (2)

R >= 3.2.5orthopolynom

Imports (6)

R6 RcppEigen timeDate (>= 3012.100)yuima ggplot2 Rcpp

LinkingTo (1)

Rcpp

Suggests (6)

testthat knitr rmarkdown doParallel foreach limSolve

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

–indirect (not tracked)

Nothing depends on this yet.

Code & Tests

People & History

People (1)

Maintainer (1)

Ivan Zoccolan

Author, Maintainer

Authors (1)

Ivan Zoccolan

Author, Maintainer

Package Timeline

3 releases. R releases are shown for context.

R
R 4.2.0 released · 2022-04-22
archivedRemoved from CRAN
2022-01-12
the request of the maintainer
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
R
R 3.6.0 released · 2019-04-26
R
R 3.5.0 released · 2018-04-23
1.1.2
2018-02-07 · diff ↗
R
R 3.4.0 released · 2017-04-21
1.1.1
2017-01-03 · diff ↗
1.1.0
2016-12-12
R
R 3.3.0 released · 2016-05-03

Package metadata

Total releases: 3
License: GPL-3 OSI
Download size: not tracked yet
Installed size: not tracked yet
With dependencies: not tracked yet

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