Get Investment Guarantees. Modeling and Risk Management for PDF

By Mary Hardy

ISBN-10: 0471392901

ISBN-13: 9780471392903

Funding promises rigorously pulls jointly the entire most up-to-date types and techniques which are worthy in dealing with the chance linked to equity-linked assurance. choked with expert insights and confirmed thoughts, this e-book is a useful one-stop reference that would let you greater comprehend the idea and perform in the back of modeling and threat administration for equity-linked existence coverage.

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Extra info for Investment Guarantees. Modeling and Risk Management for Equity-Linked Life Insurance

Example text

The values in parentheses are approximate 95 percent confidence intervals for the estimators. 77. 1 shows that the two series are very similar indeed, with both indices experiencing periods of high volatility in the mid-1970s, around October 1987, and in the late 1990s. The main difference is an extra period of uncertainty in the Canadian index in the early 1980s. Selecting the Appropriate Data Series for Calibration There is some evidence, for example in French et al. (1987) and in Pagan and Schwert (1990), of a shift in the stock return distribution at the end of the great depression, in the middle 1930s.

In the models that follow, various ways of introducing stochastic volatility are proposed. Autoregressive Models 27 AUTOREGRESSIVE MODELS The autoregressive models described here are discrete processes where the deviation of the process from the long-term mean influences the distribution of subsequent values of the process. In all cases, we work with the log-return variable, Yt = log SSt‫ם‬t 1 . If we assume a long-term mean for Yt of ␮ , then the deviations from the mean used to define the distribution of Yt are the values of Ys – ␮ for some s Յ t – 1.

The EIA policyholder withdraws with their premium accumulated at some fixed rate, without the call-option payment. American options may be relevant where equity participation and minimum accumulation guarantees are both offered on early surrender. Asian options are relevant for some EIA contracts where the equity participation can be based on an average of the underlying stock price rather than on the final value. There is a substantial and rich body of theory on the pricing and financial management of options.

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Investment Guarantees. Modeling and Risk Management for Equity-Linked Life Insurance by Mary Hardy


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