Investment guarantees : modeling and risk management for equity-linked life insurance
Investment guarantees : modeling and risk management for equity-linked life insurance
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发表时间：
2003-02
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通讯作者：
M. Hardy
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作者：
M. Hardy
导论.投资担保。长期股票回报模型。股票收益模型的极大似然估计。左尾校准方法。马尔可夫链蒙特卡罗（MCMC）估计。担保责任的模式。期权定价理论回顾。独立账户担保的动态套期保值。风险措施。新兴成本分析。预测不确定性。保证年金选择。股票指数年金。附录A：死亡率和生存概率。附录B：GMAB期权价格。附录C：精算符号。附录D：参考文献。指数.
Introduction. Investment Guarantees. Modeling Long-Term Stock Return. Maximum Likelihood Estimation for Stock Return Models. The Left-Tail Calibration Method. Markov Chain Monte Carlo (MCMC) Estimation. Modeling the Guarantee Liability. A Review of Option Pricing Theory. Dynamic Hedging for Separate Account Guarantees. Risk Measures. Emerging Cost Analysis. Forecast Uncertainty. Guaranteed Annuity Options. Equity-Indexed Annuities. Appendix A: Mortality and Survival Probabilities. Appendix B: The GMAB Option Price. Appendix C: Actuarial Notation. Appendix D: References. Index.