Validation Of Long-Term Equity return Models For Equity-Linked Guarantees

DOI10.1080/10920277.2006.10597412zbMath1480.91213OpenAlexW2015586974MaRDI QIDQ5018735

Matthew C. Till, R. Keith Freeland, Mary R. Hardy

Publication date: 22 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2006.10597412

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Model specification tests. A simultaneous approach
• Pricing and hedging long-term options
• Mixture Gaussian Time Series Modeling of Long-Term Market Returns
• THE GARCH OPTION PRICING MODEL
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Test for Normality of Observations and Regression Residuals
• A Regime-Switching Model of Long-Term Stock Returns
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