Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 陈伟森教授 (金融学系) |
| 黄镇山教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1080/10920277.2005.10596227 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/7Scopus source URL
其它资讯
摘要Stochastic modeling of investment returns is an important topic for actuaries who deal with variable annuity and segregated fund investment guarantees. The traditional lognormal stock return model is simple, but it is generally less appealing for longer-term problems. In recent years, the use of regime-switching lognormal (RSLN) processes for modeling maturity guarantees has been gaining popularity. In this paper we introduce the class of mixture Gaussian time series processes for modeling long-term stock market returns. It offers an alternative class of models to actuaries who may be experimenting with the RSLN process. We use monthly data from the Toronto Stock Exchange 300 and the Standard and Poor's 500 indices to illustrate the mixture time series modeling procedures, and we compare the fits of the mixture models to the lognormal and RSLN models. Finally, we give a numerical example comparing risk measures for a simple segregated fund contract under different stochastic return models.
着者Wong A.C.S., Chan W.-S.
期刊名称North American Actuarial Journal
出版年份2005
月份10
日期1
卷号9
期次4
出版社Society of Actuaries
出版地United States
页次83 - 94
国际标準期刊号1092-02http://aims.cuhk.edu.hk/converis/portal/Publication/7http://aims.cuhk.edu.hk/converis/portal/Publication/7
语言英式英语
