Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing

DOI10.1080/03461238.2019.1655476zbMath1433.91133OpenAlexW2969709378MaRDI QIDQ5217905

Brian M. Hartman, David Engler, Chris Groendyke

Publication date: 26 February 2020

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2019.1655476

zbMATH Keywords

Bayesianregime-switchingvariable annuitiescorrelation structuresguaranteed minimum income benefit

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Uses Software

• R
• batchmeans

Cites Work

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• Bayesian correlation estimation
• A Regime-Switching Model of Long-Term Stock Returns
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• Model Selection and Averaging in Financial Risk Management

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