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

By Mary R. Hardy. 2003

299 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/fe036100e59c4ba088edbb65791e492975343c76

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Citations in the corpus

Guaranteed Annuity Options (2003, methodology): “Hardy (2003) provides evidence that regime switching model does a good job of fitting the empirical distribution of monthly stock returns. Andersen Benzoni and Lund(2002) demonstrate that both stochastic volatility and jump components are present in the S&P daily index returns.”
Pricing Annuity Guarantees Under a Regime-Switching Model (2009, background): “Discussions on guarantees embedded in insurance products and modeling and pricing issues can also be found in Hardy (2003).”
Robustly Hedging Variable Annuities with Guarantees under Jump and Volatility Risks (2007, unknown): “The Canadian Insurance Association on Segregated Funds (SFTF) recommends that model calibration be adjusted to give a sufficiently accurate fit in the left tail of the distribution [17].”
Optimal Reinsurance Arrangements Under Tail Risk Measures (2009, unknown): “From a theoretical perspective, CTE is better than VaR (see Artzner et al., 1999; Inui and Kijima, 2005), and it has been implemented to regulate some insurance products (with financial guarantees) in Canada (Hardy, 2003).”
Analytical Calculation of Risk Measures for Variable Annuity Guaranteed Benefits (2012, methodology): “To facilitate the comparison with the stochastic models in Hardy [16], we follow their notation for cash flow variables with slight modifications.”
Financial valuation of guaranteed minimum withdrawal benefits (2006, background): “For a selected bibliography and recent books on the topic, we refer the interested reader to Hardy (2003) .”
Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015, background): “The outer loop uses real world scenarios, which are generated by the regime switching lognormal model (Hardy, 2001, 2003; Hardy et al., 2006; Cheung and Yang, 2005; Lin et al., 2009; Augustyniak and Boudreault, 2012; Hartman and Groendyke, 2013).”