Description: With the credit interest rate floor of a cash balance plan—a simple type of option identified by the Project Oversight Group—as a model, this research uses three valuation and risk analysis approaches to explore the existing techniques to value embedded options on an economic basis.

Description: This is the R programs used to develop the examples for the research report “Extreme Events for Insurers: Correlation, Models, and Mitigation by Kailan Shang and Marc Vincelli