Validation of long-term equity return models for equity-linked guarantees

DOI10.1080/10920277.2006.10597412MaRDI QIDQ5018735zbMATH OpenOpenAlexFDO

Authors R. Keith Freeland, Matthew C. Till, Mary R. Hardy

Publication date 22 December 2021

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2006.10597412

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 2230347 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Regime-Switching Model of Long-Term Stock Returns
• A Test for Normality of Observations and Regression Residuals
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Mixture Gaussian time series modeling of long-term market returns
• Model specification tests. A simultaneous approach
• Pricing and hedging long-term options
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities

Cited in

(13)

• Signature-based validation of real-world economic scenarios
• Non-parametric estimation of conditional tail expectation for long-horizon returns
• Evaluating quantile reserve for equity-linked insurance in a stochastic volatility model long vs. short memory
• A conditional equity risk model for regulatory assessment
• Valuation of large variable annuity portfolios under nested simulation: a functional data approach
• On multi-period statistical risk management methods and equity-linked life insurance
• Regime-switching pure jump processes and applications in the valuation of mortality-linked products
• Regime-switching shot-noise processes and longevity bond pricing
• A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
• Bilateral counterparty risk valuation on a CDS with a common shock model
• The pricing of credit default swaps under a Markov-modulated Merton's structural model
• Temporal aggregation of equity return time-series models
• Multivariate models of equity returns for investment guarantees valuation

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