Financial markets and insurance markets are converging. New forms of investment guarantees are the result, and these guarantees require all financial services firm to become more savvy in modelling and risk management. This volume covers topics related to this subject.
Financial markets and insurance markets are converging. New forms of investment guarantees are the result, and these guarantees require all financial services firm to become more savvy in modelling and risk management. This volume covers topics related to this subject.
MARY HARDY is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo, a Fellow of the Institute of Actuaries, and an Associate of the Society of Actuaries.
Inhaltsangabe
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.
