Investment Guarantees: Modeling and Risk Management for Equity-Linked Life InsuranceISBN: 978-0-471-39290-3
Hardcover
304 pages
March 2003
 This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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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.
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Read an Excerpt
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