投資保障のためのモデリングとリスク管理<br>Investment Guarantees : Modeling and Risk Management for Equity-Linked Life Insurance (Wiley Finance)

個数:

投資保障のためのモデリングとリスク管理
Investment Guarantees : Modeling and Risk Management for Equity-Linked Life Insurance (Wiley Finance)

  • 提携先の海外書籍取次会社に在庫がございます。通常3週間で発送いたします。
    重要ご説明事項
    1. 納期遅延や、ご入手不能となる場合が若干ございます。
    2. 複数冊ご注文の場合、分割発送となる場合がございます。
    3. 美品のご指定は承りかねます。
  • 【入荷遅延について】
    世界情勢の影響により、海外からお取り寄せとなる洋書・洋古書の入荷が、表示している標準的な納期よりも遅延する場合がございます。
    おそれいりますが、あらかじめご了承くださいますようお願い申し上げます。
  • ◆画像の表紙や帯等は実物とは異なる場合があります。
  • ◆ウェブストアでの洋書販売価格は、弊社店舗等での販売価格とは異なります。
    また、洋書販売価格は、ご注文確定時点での日本円価格となります。
    ご注文確定後に、同じ洋書の販売価格が変動しても、それは反映されません。
  • 製本 Hardcover:ハードカバー版/ページ数 352 p.
  • 言語 ENG
  • 商品コード 9780471392903
  • DDC分類 368.3200681

基本説明

With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more.
"Wiley Finance"

Full Description

A comprehensive guide to investment guarantees in equity-linked life insurance
Due to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more, this one-stop reference contains the valuable insights and proven techniques that will allow readers to better understand the theory and practice of investment guarantees and equity-linked insurance policies.
Mary Hardy, PhD (Waterloo, Ontario, Canada), is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo and is a Fellow of the Institute of Actuaries and an Associate of the Society of Actuaries, where she is a frequent speaker. Her research covers topics in life insurance solvency and risk management, with particular emphasis on equity-linked insurance. Hardy is an Associate Editor of the North American Actuarial Journal and the ASTIN Bulletin and is a Deputy Editor of the British Actuarial Journal.

Contents

Introduction. Investment Guarantees.

Modeling Long-Term Stock Return.

Maximum Likelihood Estimation for Stock Return Models.

The Left-Tail Calibration Method.

Markov Chain Monte Carlo (MCMC) Estimation.

Modeling the Guarantee Liability.

A Review of Option Pricing Theory.

Dynamic Hedging for Separate Account Guarantees.

Risk Measures.

Emerging Cost Analysis.

Forecast Uncertainty.

Guaranteed Annuity Options.

Equity-Indexed Annuities.

Appendix A: Mortality and Survival Probabilities.

Appendix B: The GMAB Option Price.

Appendix C: Actuarial Notation.

Appendix D: References.

Index.