| dc.contributor | 金融系 | |
| dc.creator (作者) | 楊曉文 | |
| dc.creator (作者) | Yang, Sharon S. | |
| dc.date (日期) | 2010 | |
| dc.date.accessioned | 21-Jul-2020 15:26:49 (UTC+8) | - |
| dc.date.available | 21-Jul-2020 15:26:49 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-Jul-2020 15:26:49 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/130737 | - |
| dc.description.abstract (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. | |
| dc.format.extent | 287 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | ASTIN Bulletin, 40:2 ,669-698 | |
| dc.title (題名) | Evaluating Quantile Reserve for Equity-Linked Insurance under a Stochastic Volatility Model: Long-Memory vs. Short-Memory | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.2143/AST.40.2.2061133 | |
| dc.doi.uri (DOI) | https://doi.org/10.2143/AST.40.2.2061133 | |
