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Investment Guarantees: The New Science of Modeling and Risk Management for Equity-Linked Life Insurance
Download Ebook Investment Guarantees: The New Science of Modeling and Risk Management for Equity-Linked Life Insurance
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From the Inside Flap
The object of life insurance is to provide financial security to policyholders and their families. But insurance markets around the world are changing, and policyholders want to enjoy the benefits of equity investments in conjunction with mortality protection. This idea has led to the development of equity-linked life insurance, and has probably left you searching for better ways to model these innovative investment guarantees as well as measure the risk associated with them. Whether you’re involved with the product design, marketing, pricing and valuation, or risk management of equity-linked insurance, this book has something for you. Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance is a comprehensive guide that combines the econometric analysis of these investment models with their applications in pricing and risk management. Designed with all equity-linked life insurance practitioners in mind, you’ll find both approaches to risk management of equity-linked insurance–the "actuarial" approach and the dynamic hedging approach–presented, discussed, and extensively illustrated with examples. Investment Guarantees opens with a discussion of various models, moves through modeling techniques, and addresses risk management in a straightforward, accessible manner. This unique resource will: Introduce the various types of investment guarantees commonly used in equity-linked insurance, including guaranteed death and living benefits Explore contracts which offer investment guarantees as part of the benefit package–variable annuities, segregated fund contracts, unit-linked contracts, equity-indexed annuities, and guaranteed annuity options Discuss stochastic models commonly used for equity returns, including ARCH and GARCH models, and regime switching models Illustrate parameter estimation using both Maximum Likelihood Estimation (MLE) and Markov Chain Monte Carlo Method (MCMC)–a Bayesian approach Explain how to model investment guarantees using the "actuarial" approach and the dynamic hedging approach to risk management Describe stochastic emerging cost modeling Examine the sources of forecast uncertainty Investment Guarantees carefully pulls together all of the most recent models and methods that are useful in managing the risk associated with equity-linked insurance. Filled with professional insights and proven techniques, this book is a valuable one-stop reference that will allow you to better understand the theory and practice behind modeling and risk management for equity-linked life insurance.
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From the Back Cover
Praise for InvestmentGuarantees "In addition to being a valuable and innovative addition to the literature on risk management of equity-linked insurance, this book provides a uniquely clear demonstration of using different measures in a very practical context. A great way of showing actuaries how to ‘mind their Ps and Qs’!" —Boris Brizeli Principal and Chief Operations Officer GE Insource Limited "This is an extremely well written and comprehensive book which will be useful for both practitioners and graduate students. It provides a unique synthesis of techniques and tools in econometrics, financial engineering, and simulation applied to questions of fundamental importance in insurance." —Dr. Andrew Cairns Reader in Financial and Actuarial Mathematics Heriot-Watt University "Investment Guarantees will become the reference book of choice for both actuaries and non-actuaries alike working in the field of guarantees associated with equity-linked products. The book provides an excellent balance between theory and practice in the course of contrasting actuarial modeling and option pricing theory as applied to guarantees on equity-linked products." —Larry M. Gorski Life Actuary Illinois Department of Insurance "Professor Hardy strikes the right balance between theory development and practical demonstration, offering insights to both novices and experienced practitioners. Her comprehensive treatment of risk modeling of investment guarantees will benefit actuaries and financial engineers alike, allowing each to understand better the nature and management of equity exposure. Exceptionally readable, Investment Guarantees is an invaluable resource for insurance and financial professionals working with equity-linked insurance and annuity products." —Geoffrey H. Hancock Principal Mercer Risk, Finance & Insurance Consulting
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Product details
Hardcover: 352 pages
Publisher: Wiley; 1 edition (February 14, 2003)
Language: English
ISBN-10: 0471392901
ISBN-13: 978-0471392903
Product Dimensions:
6.3 x 1 x 9.4 inches
Shipping Weight: 1.6 pounds (View shipping rates and policies)
Average Customer Review:
4.6 out of 5 stars
4 customer reviews
Amazon Best Sellers Rank:
#513,726 in Books (See Top 100 in Books)
This book was well written and was of great help to the user.It set out the topics in a very clear manner and had enough detail that proved to be useful.
The blend of econometrics, finance and math is fair enough. It's readable for both finance and non-finance people. There can be certain ways to make the book more pratical:1.While I understand the result of the calibrations, I'm afraid that I can't replicate the results. The calibration steps should be outlined.2.Since most of the calibration results are done by excel, the author can explain more how to do it by excel; or simply post the excel examples at the author's website. That is something that many people are doing.3. The regime-switching model, while drawing a lot of attention in academic, is still not popular. There is still not enough evidence that it outperforms the traditional ARIMA models. In fact, it's the opposite. More pages should be spent on ARIMA.
As guarantee products are popping up all over the global banking and insurance markets, it is absolutely essential to ensure that the proper financial values are upheld in order to avoid many of the problems that the North American market has faced. 'Investment Guarantees' does a wonderful job of describing these risks in simple enough terms that the pages can be quoted to both financial and non financial people. A very powerful read for those looking to undersand the value of guarantees that are placed on accumulation type insurance products.
Equity Indexing: The Insurance Industry's Secret Weapon Against Stock-Market RiskExcellent, well-written piece on the nuts and bolts of investment guarantees. Very in-depth analysis which covers every base.
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