By Mary Hardy
ISBN-10: 0471392901
ISBN-13: 9780471392903
Funding promises rigorously pulls jointly all the newest versions and techniques which are invaluable in coping with the danger linked to equity-linked assurance. packed with expert insights and confirmed concepts, this e-book is a priceless one-stop reference that may let you larger comprehend the idea and perform in the back of modeling and chance administration for equity-linked existence coverage.
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Extra info for Investment Guarantees. Modeling and Risk Management for Equity-Linked Life Insurance
Sample text
In Hamilton and Susmel (1994), several regime-switching models are analyzed, varying the number of regimes and the form of the model within regimes. The models within each regime are assumed to follow ARCH and GARCH processes, with the residuals, t , having normal or Student’s t distribution. The simpler form using LN models within regimes was used by Bollen (1998), who constructed a lattice for valuing American options. Harris (1999) has developed a vector AR regime-switching model for actuarial use, fitted to quarterly Australian data.
Wilkie (1995) looks at 100-year projections, and suggests that it is ideally suited for applications requiring projections more than 10 years ahead. The model is designed to be applied to annual data. Without changing the AR structure of the individual series, it cannot be easily adapted to more frequent data. , Chan 1998) add complexity. The annual frequency means that the model is not ideal for assessing hedging strategies, where it is important that stocks are bought and sold at intervals much shorter than the one-year time unit of the Wilkie model.
K. market, and subsequently fitted to data from other markets, including both the United States and Canada. The model is described in more detail below. It has been applied to segregated fund liabilities by a number of Canadian companies. A problem with the direct application of the Wilkie model is that it is designed and fitted as an annual model. For some contracts, the monthly nature of the cash flows means that an annual model may be an unsatisfactory approximation. This is important where there are reset opportunities for the policyholder to increase the guarantee mid-policy year.