A Regime-Switching Model of Long-Term Stock Returns

By Mary R. Hardy. 2001

521 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3aab8d092aee79559e8a2cd0196e4075398f1ee3

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Citations in the corpus

Analytical Calculation of Risk Measures for Variable Annuity Guaranteed Benefits (2012, background): “However, the work can be easily extended with the combination of both riders.”
Modeling Mortality With Jumps: Applications to Mortality Securitization (2009, unknown): “In order to capture more extreme price movements in the stock returns and stochastic variability in the volatility parameter, Hardy (2001) proposes a regime-switching lognormal process.”
Random recurrence equations and ruin in a Markov-dependent stochastic economic environment (2009, background): “Solutions to such recurrence equations have been developed in Kesten (1973), Grincevicius (1975) and Grey (1994), and particularly Goldie (1991), who introduced an approach based on “implicit” renewal theory, which is widely applicable in the setting of (1.”
Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015, methodology): “• a real world scenario is simulated by a two-regime switching lognormal model (μ1, μ2, σ1, σ2, p12, p21) (Hardy, 2001).”
Mortality Regimes and Pricing (2011, unknown): “…various RS models have been used in the actuarial and insurance literature to capture nonnormality characteristics present in asset prices (Hardy 2001; Yuen and Yang 2010; Modisett and Maboudou-Tchao 2010), asset allocation (Boyle and Liew 2007), options (e.g., Naik 1993; Bollen 1998;…”
Option pricing and Esscher transform under regime switching (2005, background): “When the number of regimes N is two and the market interest rate of the bank account is a constant, the pricing formula for a European put option obtained from our approach is in complete agreement with the formula in Hardy [ 29 ].”
Pricing Annuity Guarantees Under a Regime-Switching Model (2009, methodology): “Hardy (2001), who popularized the use of regime-switching models for pricing and hedging long-term investment guarantee products, successfully fitted the model to the monthly data from the Standard and Poor’s 500 and the Toronto Stock Exchange 300 indices using a discretetime regime-switching…”
An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014, background): “This results in a parsimonious representation that in principle can 212 account for random changes in volatility and interest rates (Hardy, 2001).”
Risk capital decomposition for a multivariate dependent gamma portfolio (2005, background): “S v Ga (γ +K,αmax) , where K is a non negative integer random variable with probabilities pk = Cδk, k ≥ 0, (9)”
On the joint distribution of surplus before and after ruin under a Markovian regime switching model (2006, methodology): “Hardy [9] used monthly data from the Standard and Poor’s 500 and the”
Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (2009, methodology): “We use 60 a regime switching model [8, 21, 28] for the underlying stochastic process.”