An Analysis on the Minimum Guarantee Reserves in Variable Annuities Using Different Stock Return Models
[journal]
권용재
/ 2010
/
Determination of Required Capital for Guaranteed Minimum Accumulation Benefits Embedded in Variable Annuities Via a Method Based on Stochastic Scenarios
/ 보험학회지
/ 한국보험학회
(87)
: 1~33
[journal]
김삼용
/ 2006
/
Comparison of a Class of Nonlinear Time Series models(GARCH, IGARCH, EGARCH)
/ 응용통계연구
/ 한국통계학회
19
(1)
: 33~41
[journal]
김융희
/ 2011
/
Analyzing Guarantees in Variable Annuities
/ 보험금융연구
/ 보험연구원
22
(2)
: 3~25
[journal]
노건엽
/ 2012
/
Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility
/ 보험금융연구
/ 보험연구원
23
(1)
: 3~34
[journal]
엄영호
/ 2009
/
Variable Annuity Pricing and Risk Analysis
/ 보험학회지
/ 한국보험학회
(84)
: 105~138
[journal] 옥기율 / 2009 / KOSPI200의 변동성 추정방법에 따른 VaR 비교연구 / 보험학회지 / 보험학회 (84) : 105~137
[journal]
황진태
/ 2010
/
Impact of Macroeconomic Variables on Initial Premiums in Variable Life Insurance with a Vector Error Correction Model
/ 보험금융연구
/ 보험연구원
21
(3)
: 3~32
[confproc] Black, F. / Studies of Stock Price Volatility Changes / Proceedings of the 1976 Meetings of the Business and Economics Statistics Section / American Statistical Association : 177~181
[journal] Black, F. / 1973 / The Pricing of Options and Corporate Liabilities / Journal of Political Economy 81 : 637~654
[journal] Bollerslev, T. / 1986 / Generalized Autoregressive Conditional Heteroskedasticity / Journal of Econometrics 31 : 307~327
[report] Bolton, M. J. / 1997 / Reserving for Annuity Guarantees, The Report of the Annuity Guaranteed Working Party
[journal] Boyle, P.P. / 1997 / Reserving for Maturity Guarantees: Two Approaches / Insurnace: Mathematics and Economics 21 (2) : 113~127
[journal] Boyle, P.P. / 1977 / Equilibrium Prices of Guarantees under Equity-Linked Contracts / Journal of Risk and Insurance 44 (4) : 639~660
[journal] Brandt, M. W. / 2006 / Volatility Forecasting with Range-Based EGARCH Models / Journal of Business and Economic Statistics 24 (4) : 470~486
[journal] Buhlman, H. / 1996 / No-Arbitrage, Change of Measure and Conditional Esscher Transforms / CWI Quarterly 9 : 291~317
[journal] Christie, A.A. / 1982 / The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects / The Journal of Financial Economics 10 : 407~432
[journal] Cumby, R. / 1993 / Forecasting Volatilities and Correlation with EGARCH Models / The Journal of Derivatives 1 (2) : 51~63
[book] Davis, M. A. / 1997 / Option Pricing in Incomplete Markets, In Mathematics of Derivative Securities / Cambridge University Press : 216~226
[journal] Engle, R. F. / 1982 / Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of Unites KingdomInflation / Econometrica 50 : 987~1006
[journal] Engle, R.F. / 1993 / Measuring and testing the impact of news on volatility / Journal of Finance 48 : 1749~1778
[journal] Esscher, F. / 1932 / On the Probability Function in the Collective Theory of Risk / Skandinavisk Aktuarietidskrift 15 : 175~195
[journal] French, K. R. / 1987 / Expected Stock Returns and Volatility / The Journal of Financial Economics 19 : 3~29
[book] Hardy, M. R. / 1999 / Stock Return Models for Segregated Fund Investment Guarantees / University of Waterloo, Institute for Insurance and Pensions Research
[journal] Hardy, M. R. / 2001 / A Regime Switching Model of Long Term Stock Returns / North American Actuarial Journal 5 (2) : 41~53
[book] Hardy, M / 2003 / Investment Guarnatees: Modeling and Risk Management for Equity-Linked Life Insurance / Jhon Wiley & Sons
[journal] Hardy, M.R. / 2006 / Validation of Long-Term Equity Return Models for Equity-Linked Guarantees / North American Actuarial Journal 10 (4) : 28~47
[journal] Merton, R. C. / 1973 / Theory of Rational Option Pricing / Bell Journal of Economics and Management Science 4 : 141~183
[report] Nelson, D. B. / 1988 / Conditional Heteroskedasticity in Asset Returns: A New Approach / University of Chicago
[journal] Nq, A. C. / 2011 / Modeling Investment Quarantees in Japan: A Risk Neutral GARCH Approach / International Review of Financial Analysis 20 : 20~26
[journal] Schweizer, M. / 1996 / Approximation Pricing and the Variance-Optimal Martin-gale Measure / Annals of Probability 24 : 206~236
[journal] Schwert, G. W. / 1990 / Stock Volatility and the Crush of ‘87” / Review of Financial Studies 3 (1) : 77~102
[journal] Siu, T. K. / 2004 / On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach / North American Actuarial Journal 8 : 17~31
[journal] Wilkie, A. D. / 1986 / A Stochastic Investment Model for Actuarial Use / Transaction of the Faculty of Actuaries 39 : 341~381
[journal] Wilkie, A. D / 1995 / More on a Stochastic Asset Model for Actuarial Use / British Actuarial Journal 1 : 777~964