Multivariate Models of Equity Returns for Investment Guarantees Valuation

DOI10.1080/10920277.2009.10597539zbMath1483.91204OpenAlexW1985991861MaRDI QIDQ5029055

Panneton Christian-Marc, Boudreault Mathieu

Publication date: 11 February 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597539

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)

Related Items (3)

A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES ⋮ Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models ⋮ Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing

Uses Software

• FinTS

Cites Work

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• An introduction to copulas.
• ARCH modeling in finance. A review of the theory and empirical evidence
• A test for constant correlations in a multivariate GARCH model
• The Multivariate Portmanteau Statistic
• Validation Of Long-Term Equity return Models For Equity-Linked Guarantees
• Analysis of Financial Time Series
• A Regime-Switching Model of Long-Term Stock Returns
• Understanding Relationships Using Copulas

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