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

DOI10.1080/10920277.2006.10597412zbMATH Open1480.91213OpenAlexW2015586974MaRDI QIDQ5018735FDOQ5018735

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• A Test for Normality of Observations and Regression Residuals
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Title not available (Why is that?)
• THE GARCH OPTION PRICING MODEL
• Title not available (Why is that?)
• A Regime-Switching Model of Long-Term Stock Returns
• Model specification tests. A simultaneous approach
• Pricing and hedging long-term options
• Mixture Gaussian time series modeling of long-term market returns

Cited In (13)

• 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
• Signature-based validation of real-world economic scenarios

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