Investment guarantees: modeling and risk management for equity-linked life insurance
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2003
|
| Series: | Wiley finance series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references (p. 275-278) and index |
| Physical Description: | XV, 286 S. Ill., graph. Darst. |
| ISBN: | 0471392901 |
Staff View
MARC
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Record in the Search Index
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|---|---|
| adam_text | Contents
Introduction xi
CHAPTER 1
Investment Guarantees 1
Introduction 1
Major Benefit Types 4
Contract Types 5
Equity Linked Insurance and Options 7
Provision for Equity Linked Liabilities 11
Pricing and Capital Requirements 14
CHAPTER 2
Modeling Long Term Stock Returns 15
Introduction LS
Deterministic or Stochastic? L5
Economical Theory or Statistical Method? 17
The Data 18
The Lognormal Model 24
Autoregressive Models 27
ARCH(l) 28
Regime Switching Lognormal Model (RSLN) 30
The Empirical Model 36
The Stable Distribution Family 37
General Stochastic Volatility Models 38
The Wilkie Model 39
Vector Autoregression 45
CHAPTER 3
Maximum Likelihood Estimation for Stock Return Models 47
Introduction 47
Properties of Maximum Likelihood Estimators 49
Some Limitations of Maximum Likelihood Estimation 52
vii
Vjjj CONTENTS
Using MLE for TSE and S P Data 53
Likelihood Based Model Selection 60
Moment Matching 63
CHAPTER 4
The Left Tail Calibration Method 65
Introduction 65
Quantile Matching 66
The Canadian Calibration Table 67
Quantiles for Accumulation Factors: The Empirical Evidence 68
The Lognormal Model 70
Analytic Calibration of Other Models 72
Calibration by Simulation 75
CHAPTER 5
Markov Chain Monte Carlo (MCMC) Estimation 77
Bayesian Statistics 77
Markov Chain Monte Carlo—An Introduction 79
The Metropolis Hastings Algorithm (MHA) 81
MCMC for the RSLN Model 85
Simulating the Predictive Distribution 90
CHAPTER 6
Modeling the Guarantee Liability 95
Introduction 95
The Stochastic Processes 96
Simulating the Stock Return Process 97
Notation 98
Guaranteed Minimum Maturity Benefit 100
Guaranteed Minimum Death Benefit 101
Example 101
Guaranteed Minimum Accumulation Benefit 102
GMAB Example 104
Stochastic Simulation of Liability Cash Flows 108
The Voluntary Reset 112
CHAPTER 7
A Review of Option Pricing Theory 115
Introduction 115
The Guarantee Liability as a Derivative Security 116
Contents ix
Replication and No Arbitrage Pricing 116
The Black Scholes Merton Assumptions 123
The Black Scholes Merton Results 124
The European Put Option 126
The European Call Option 128
Put Call Parity 128
Dividends 129
Exotic Options 130
CHAPTER 8
Dynamic Hedging for Separate Account Guarantees 133
Introduction 133
Black Scholes Formulae for Segregated Fund Guarantees 134
Pricing by Deduction from the Separate Account 142
The Unhedged Liability 143
Examples 151
CHAPTER 9
Risk Measures 157
Introduction 157
The Quantile Risk Measure 159
The Conditional Tail Expectation Risk Measure 163
Quantile and CTE Measures Compared 167
Risk Measures for GMAB Liability 169
Risk Measures for VA Death Benefits 173
CHAPTER 10
Emerging Cost Analysis 177
Decisions 177
Capital Requirements: Actuarial Risk Management 180
Capital Requirements: Dynamic Hedging Risk Management 184
Emerging Costs with Solvency Capital 188
Example: Emerging Costs for 20 Year GMAB 189
CHAPTER 11
Forecast Uncertainty 195
Sources of Uncertainty 195
Random Sampling Error 196
Variance Reduction 201
Parameter Uncertainty 213
Model Uncertainty 219
x CONTENTS
CHAPTER 12
Guaranteed Annuity Options 221
Introduction 221
Interest Rate and Annuity Modeling 224
Actuarial Modeling 228
Dynamic Hedging 230
Static Replication 235
CHAPTER 13
Equity Indexed Annuities 237
Introduction 237
Contract Design 239
Valuing the Embedded Options 243
PTP Option Valuation 244
Compound Annual Ratchet Valuation 247
The Simple Annual Ratchet Option Valuation 257
The High Water Mark Option Valuation 258
Dynamic Hedging for the PTP Option 260
Conclusions and Further Reading 263
APPENDIX A
Mortality and Survival Probabilities 265
APPENDIX 6
The GMAB Option Price 271
APPENDIX C
Actuarial Notation 273
REFERENCES 275
INDEX 281
|
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| id | DE-604.BV019614899 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:01:22Z |
| institution | BVB |
| isbn | 0471392901 |
| language | English |
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| physical | XV, 286 S. Ill., graph. Darst. |
| publishDate | 2003 |
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| publisher | Wiley |
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| spelling | Hardy, Mary Verfasser aut Investment guarantees modeling and risk management for equity-linked life insurance Mary Hardy Hoboken, NJ Wiley 2003 XV, 286 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Includes bibliographical references (p. 275-278) and index Assurance-vie - Modèles mathématiques Gestion du risque - Modèles mathématiques Levensverzekering gtt Risk management gtt Wiskundige modellen gtt Mathematisches Modell Life insurance Mathematical models Risk management Mathematical models HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012944425&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hardy, Mary Investment guarantees modeling and risk management for equity-linked life insurance Assurance-vie - Modèles mathématiques Gestion du risque - Modèles mathématiques Levensverzekering gtt Risk management gtt Wiskundige modellen gtt Mathematisches Modell Life insurance Mathematical models Risk management Mathematical models |
| title | Investment guarantees modeling and risk management for equity-linked life insurance |
| title_auth | Investment guarantees modeling and risk management for equity-linked life insurance |
| title_exact_search | Investment guarantees modeling and risk management for equity-linked life insurance |
| title_full | Investment guarantees modeling and risk management for equity-linked life insurance Mary Hardy |
| title_fullStr | Investment guarantees modeling and risk management for equity-linked life insurance Mary Hardy |
| title_full_unstemmed | Investment guarantees modeling and risk management for equity-linked life insurance Mary Hardy |
| title_short | Investment guarantees |
| title_sort | investment guarantees modeling and risk management for equity linked life insurance |
| title_sub | modeling and risk management for equity-linked life insurance |
| topic | Assurance-vie - Modèles mathématiques Gestion du risque - Modèles mathématiques Levensverzekering gtt Risk management gtt Wiskundige modellen gtt Mathematisches Modell Life insurance Mathematical models Risk management Mathematical models |
| topic_facet | Assurance-vie - Modèles mathématiques Gestion du risque - Modèles mathématiques Levensverzekering Risk management Wiskundige modellen Mathematisches Modell Life insurance Mathematical models Risk management Mathematical models |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012944425&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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