Temporal aggregation of equity return time-series models
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)

胡家浩教授 (统计学系)

张绍洪教授 (统计学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.matcom.2008.01.010

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL

其它资讯

摘要With large volatility observed in stock markets around the world over the last few years, many actuaries are now being urged to employ stochastic models to measure the solvency risk generated from insurance products with equity-linked guarantees. There are a large number of potential stochastic models for equity returns. Insurance regulators, both in Europe and North America, normally do not restrict the use of any stochastic model that reasonably fits the historical baseline data. However, in the U.S. and Canada, the final model must be calibrated to some specified distribution percentiles. The emphasis of the calibration process remains on the tails of the equity return distribution over different holding periods. In this paper, we examine the effect of temporal aggregation on classes of stochastic equity return models that are commonly used in actuarial practice. The advantages of choosing a closed (under temporal aggregation) class of processes for modelling asset returns and equity-linked guarantees are discussed. Actuarial applications of temporal aggregation using S&P5http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0 data are given. (C) 2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/08 IMACS. Published by Elsevier B.V. All rights reserved.

着者Chan WS, Cheung SH, Zhang LX, Wu KH
会议名称International Congress on Modelling and Simulation (MODSIMhttp://aims.cuhk.edu.hk/converis/portal/Publication/05)
会议开始日12.12.2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/05
会议完结日15.12.2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/05
会议地点Melbourne
期刊名称Mathematics and Computers in Simulation
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/08
月份7
日期1
卷号78
期次2-3
出版社Elsevier
页次172 - 18http://aims.cuhk.edu.hk/converis/portal/Publication/0
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0378-4754
电子国际标準期刊号1872-7166
语言英式英语

关键词calibration points; equity-linked guarantees; GARCH model; log-stable distribution; S&P 5http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0 total returns
Web of Science 学科类别Computer Science; Computer Science, Interdisciplinary Applications; COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS; Computer Science, Software Engineering; COMPUTER SCIENCE, SOFTWARE ENGINEERING; Mathematics; Mathematics, Applied; MATHEMATICS, APPLIED