EVALUATING QUANTILE RESERVE FOR EQUITY-LINKED INSURANCE IN A STOCHASTIC VOLATILITY MODEL: LONG VS. SHORT MEMORY

NCU Institutional Repository > 管理學院 > 財務金融學系 > 期刊論文 > Item 987654321/51687

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/51687

题名:	EVALUATING QUANTILE RESERVE FOR EQUITY-LINKED INSURANCE IN A STOCHASTIC VOLATILITY MODEL: LONG VS. SHORT MEMORY
作者:	Ho,HC;Yang,SS;Liu,FI
贡献者:	財務金融學系
关键词:	INTEREST-RATE GUARANTEES;DEPENDENT DATA;CONDITIONAL HETEROSKEDASTICITY;RETURN GUARANTEES;RISK MEASURES;PRICING RATE;VALUATION;BOOTSTRAP;VARIANCE;PRICES
日期:	2010
上传时间:	2012-03-27 19:02:49 (UTC+8)
出版者:	國立中央大學
摘要:	This paper evaluates the long-term risk for equity-linked insurance products. We consider a specific type of equity-linked insurance product with guaranteed minimum maturity benefits (GMMBs), and assume that the underlying equity follows the stochastic volatility model which allows the return's latent volatility component to be short- or long-memory. The explicit form of the quantile reserve or the Value at Risk and its confidence intervals are derived for both the long-memory and short-memory stochastic volatility models. To illustrate the effect of long-memory volatility, we use the S&P 500 index as an example of linked equity. Simulation studies are performed to examine the accuracy of the quantile reserve and to demonstrate the consequence of low coverage probability if model misspecification takes place. The empirical results show that the confidence interval of quantile reserve could be severely underestimated if the long-memory effect in equity volatility is ignored.
關聯:	ASTIN BULLETIN
显示于类别:	[財務金融學系] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	605	检视/开启

在NCUIR中所有的数据项都受到原著作权保护.

社群 sharing