政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130737

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題名:	Evaluating Quantile Reserve for Equity-Linked Insurance under a Stochastic Volatility Model: Long-Memory vs. Short-Memory
作者:	楊曉文 Yang, Sharon S.
貢獻者:	金融系
日期:	2010
上傳時間:	2020-07-21 15:26:49 (UTC+8)
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.
關聯:	ASTIN Bulletin, 40:2 ,669-698
資料類型:	article
DOI 連結:	https://doi.org/10.2143/AST.40.2.2061133
DOI:	10.2143/AST.40.2.2061133
顯示於類別:	[金融學系] 期刊論文

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