Investment guarantees : modeling and risk management for equity-linked life insurance

Abstract

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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