@article{ART001640388},
author={Geonyoup Noh},
title={Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2012},
volume={23},
number={1},
pages={3-34}
TY - JOUR
AU - Geonyoup Noh
TI - Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility
JO - Journal of Insurance and Finance
PY - 2012
VL - 23
IS - 1
PB - Korea Insurance Research Institute
SP - 3
EP - 34
SN - 2384-3209
AB - In this study, we analyze stock return scenarios for evaluating required capital for guaranteed minimum benefits embedded in variable insurance. We check volatility clustering in the Korean stock market.
This paper proposes LN, AR(1), ARCH and RSLN2 models. We explain model estimation and estimate parameters by using KOSPI data. After generating 1,000 stock return scenarios, we analyze tables and pictures of distributions for each models. The analysis shows statistics of models by years. We compare distribution return data with historical return data. Most models are suitable for historical data except ARCH model.
The GMDB cashflows of Variable Universal Whole Life indicate that statistics of RSLN2 models is larger than that of LN model. This study shows RSLN2 model has better results than others. But, we need the analysis of other stochastic volatility models.
KW - variable life;GMDB;regime switching log normal;stochastic volatility
DO -
UR -
ER -
Geonyoup Noh. (2012). Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility. Journal of Insurance and Finance, 23(1), 3-34.
Geonyoup Noh. 2012, "Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility", Journal of Insurance and Finance, vol.23, no.1 pp.3-34.
Geonyoup Noh "Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility" Journal of Insurance and Finance 23.1 pp.3-34 (2012) : 3.
Geonyoup Noh. Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility. 2012; 23(1), 3-34.
Geonyoup Noh. "Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility" Journal of Insurance and Finance 23, no.1 (2012) : 3-34.
Geonyoup Noh. Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility. Journal of Insurance and Finance, 23(1), 3-34.
Geonyoup Noh. Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility. Journal of Insurance and Finance. 2012; 23(1) 3-34.
Geonyoup Noh. Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility. 2012; 23(1), 3-34.
Geonyoup Noh. "Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility" Journal of Insurance and Finance 23, no.1 (2012) : 3-34.
