References

Akaike, H. (1974). A new look at statistical model identification. IEEE Trans Aut Control, 19, 716-723.

Annuity Guarantee Working Party (AGWP). (1997). Reserving for Annuity Guarantees. Published by the Faculty of Actuaries and Institute of Actuaries.

Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1997, November). Thinking coherently. RISK, 10, 68-71.

Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203-228.

Bacinello, G., & Ortu, F. (1993). Pricing equity-linked life insurance with endogenous minimum guarantees. Insurance: Mathematics and Economics, 12, 245-257.

Bakshi G., Cao, C., & Chen, Z. (1999). Pricing and hedging long-term options. Journal of Econometrics, 94, 277-183.

Black, F., & Scholes, M., (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-654.

Bollen, N. P. B. (1998). Valuing options in regime switching models. Journal of Derivatives, 6, 38-49.

Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedas-ticity. Journal of Econometrics, 31, 307-327.

Boyle, P. P. (1977). Options: A Monte Carlo approach. Journal of Financial Economics, 4(4), 323-338.

Boyle, P. P., & Boyle, F. P. (2001). Derivatives: The tools that changed finance. United Kingdom: Risk Books.

Boyle, P. P., Broadie, M., & Glasserman, P. (1997). Monte Carlo methods for security pricing. Journal of Economic Dynamics and Control, 21, 1267-1321.

Boyle, P. P., Cox, S., Dufresne, D., Gerber, H., Mueller, H., Pedersen, H., Pliska, S., Sherris, M., Shiu, E., Tan, K. S. (1998). Financial economics. Chicago: The Actuarial Foundation.

Boyle, P. P. & Emmanuel, D. (1980). Discretely adjusted option hedges. Journal of Financial Economics, 8, 259-282.

Boyle, P. P., & Hardy, M. R. (i996). Reserving for maturity guarantees (96-i8). Ontario, Canada: University of Waterloo, Institute for Insurance and Pensions Research.

Boyle, P. P., & Hardy, M. R. (i998). Reserving for maturity guarantees: Two approaches. Insurance: Mathematics and Economics, 21, ii3-i27.

Boyle, P. P., & Schwartz, E. S. (i977). Equilibrium prices of guarantees under equity-linked contracts. Journal of Risk and Insurance, 44(4), 639-660.

Boyle, P. P., Siu, T. K., & Yang, H. (2002). A two level binomial tree for risk measurement. Research Report 325. University of Hong Kong, Dept. of Statistics and Actuarial Science.

Boyle, P. P., & Tan, K. S. (2002). Valuation of ratchet options (02). Ontario, Canada: University of Waterloo, Institute for Insurance and Pensions Research.

Boyle P. P., & Tan, K. S. (2003). Quasi Monte Carlo methods with applications to actuarial science. Monograph sponsored by Actuarial Education and Research Fund; Forthcoming.

Boyle, P. P., & Vorst, T. (i992). Option replication in discrete time with transaction costs. Journal of Finance, 47(1), 27i-294.

Brennan, M. J., & Schwartz, E. S., (i976). The pricing of equity-linked life insurance policies with an asset value guarantee. Journal of Financial Economics, 3, i95-2i3.

Cairns, A. J. G., (2000). A discussion of parameter and model uncertainty in insurance. Insurance: Mathematics and Economics, 27, 3i3-330.

Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (i996). The econometrics of financial markets. Princeton, NJ: Princeton University Press.

Canadian Institute of Actuaries. (i999). Call for papers. Symposium on stochastic modelling for variable annuity/segregated fund investment guarantees. Canadian Institute of Actuaries.

Chambers, J. M., Mallows, C. L., & Stuck, B. W. (i976). A method for simulating stable random variables. Journal of the American Statistical Association, 71, 340-344.

Chan, T. (i998). Some applications of Levy processes to stochastic investment models for actuarial use. ASTIN Bulletin, 28, 77-93.

Cox, J., Ingersoll, J., and Ross, S. (i985). A theory of the term structure of interest rates. Econometrica, 53, 385-487.

David, H. A. (i98i). Order statistics (2nd ed.) New York: Wiley.

Engle, R. F. (i982). Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation. Econometrica, 50, 987-i006.

Exley, J., & Mehta, S. (2000, March). Asset models and the Ballard-Mehta stochastic investment model. Presented to the Conference in Honour of David Wilkie, Heriot-Watt University.

Faculty of Actuaries Solvency Working Party. (1986). The solvency of life insurance companies. Transactions of the Faculty of Actuaries, 39, 251.

Finkelstein, G. (1995). Maturity guarantees revisited. British Actuarial Journal, 3(2), 411-482.

French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Journal of Financial Economics, 19, 3-29.

Gerber, H. U. (1979). An introduction to mathematical risk theory. Huebner Foundation Monograph No. 8. Philadelphia: University of Pennsylvania, Wharton School.

Gilks, W. R., Richardson, S., & Spiegelhalter, D. J. (Eds.). (1996). Markov chain Monte Carlo in practice. London: Chapman and Hall/CRC.

Hamilton, J. D. (1989). A new approach to the economic analysis of non-stationary time series. Econometrica, 57, 357-384.

Hamilton, J. D., & Susmel, R. (1994). Autoregressive conditional het-eroskedasticity and changes in regime. Journal of Econometrics, 64, 307-333.

Hancock, G. H. (2001). Policy liabilities using stochastic valuation methods. Canadian Institute of Actuaries Segregated Fund Symposium.

Hancock, G. H. (2002). Private communication.

Hardy, M. R. (1998). Maturity guarantees for segregated fund contracts; hedging and reserving (98-07). Ontario, Canada: University of Waterloo, Institute for Insurance and Pensions Research.

Hardy, M. R. (1999). Stock return models for segregated fund investment guarantees (99-12). Ontario, Canada: University of Waterloo, Institute for Insurance and Pensions Research.

Hardy, M. R. (2001). A regime switching model of long term stock returns. North American Actuarial Journal, 5(2), 41-53.

Hardy, M. R. (2002). Bayesian risk management for equity-linked insurance. Scandinavian Actuarial Journal, 3, 185-211.

Hardy, M. R., & Hardy, P. G. (2002). Regime switching lognormal model (rsln.xls). Excel workbook available from www.soa.org.

Harris, G. R. (1999). Markov chain Monte Carlo estimation of regime switching vector autoregressions. ASTIN Bulletin, 29, 47-80.

Huber, P. P. (1997). A review of Wilkie's stochastic asset model. British Actuarial Journal, 3, 181-210.

Hull, J. C. (1989). Options futures and other derivative securities. New Jersey: Prentice Hall.

Klugman, S. A., Panjer, H. H., & Willmot, G. E. (1998). Loss models; From data to decisions. New York: Wiley.

Kolkiewicz, W. A., & Tan, K. S. (1999). Unit linked life insurance contracts with lapse rates depending on economic factors (99-09). Ontario, Canada: University of Waterloo, Institute for Insurance and Pensions Research.

Lee, H. (2002). Pricing equity-indexed annuities embedded with exotic options. Contingencies, Jan/Feb 2002, 34-38.

Leland, H. (1995). Option pricing and replication with transactions costs. Journal of Finance, 40, 1283-1301.

Lin, X. S., & Tan, K. S. (2002). Valuation of equity-indexed annuities under stochastic interest rates (02). Ontario, Canada: University of Waterloo, Institute for Insurance and Pensions Research.

Manistre, B. J., & Hancock, G. H. (2002). Variance of the CTE estimator. Working paper, MMC Enterprise Risk Consulting, Toronto.

Maturity Guarantees Working Party (MGWP). (1980). Journal of the Institute of Actuaries, 107, 103-209.

McCulloch, J. H. (1996). Financial applications of stable distributions. Handbook of Statistics, 14, 393-425.

Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4, 141-183.

Morgan, M. S. (1990). The history of econometric ideas. Cambridge: Cambridge University Press.

Nolan, J. P. (1998). Parameterization and modes of stable distributions. Statistics and Probability Letters, 38, 187-195.

Nolan, J. P. (2000). Information on stable distributions. [On-line]. Available: http://www.cas.american.edu/jpnolan/stable.html.

Nonnemacher, D. J. F., & Russ, J. (1997). Equity linked life insurance in Germany: Quantifying the risk of additional policy reserves. Proceedings of the 7th AFIR conference, Cairns, 719-738.

Pagan, A. R., & Schwert, G. W. (1990). Alternative models for conditional stock volatility. Journal of Econometrics, 45, 267-290.

Panjer, H. H., & Sharp, K. P. (1998). Report on Canadian Economic Statistics. Canadian Institute of Actuaries.

Panjer, H. H., & Tan, K. S. (1995). Graduation of Canadian individual insurance mortality experience: 1986-1992. Canadian Institute of Actuaries.

Panneton, C.-M.(1999). The impact of the distribution of stock market returns on the cost of the segregated fund long term guarantees. Segregated Funds SymPosium Proceedings. Canadian Institute of Actuaries.

Pelsser, A. (2002). Pricing and hedging guaranteed annuity options via static option replication. Working Paper, Erasmus University at Rotterdam, Netherlands. [On-line]. Available: http://www.few.eur.nl/few/people/ pelsser.

Persson, S.-A., & Aase, K. (1994). Valuation of the minimum guaranteed return embedded in life insurance products. Journal of Risk and Insurance, 64(4), 599-617.

Press, W. H., Teukolsky, S. A., Vetterling, W. T., & Flannery, B. P. (1992). Numerical reciPes in C. Cambridge: Cambridge University Press.

Roberts, G. O. (1996). Markov chain concepts related to sampling algorithms. In Gilks, W. R., Richardson, S., & Spiegelhalter, D. J. (Eds.). Markov chain Monte carlo in practice (pp. 45-57). London: Chapman and Hall/CRC.

Ross, S. M. (1996). Simulation. San Francisco: Morgan Kaufmann Publishers.

Schwartz, G. (1978). Estimating the dimension of a model. Annals of Statistics, 6, 461-464.

Segregated Funds Task Force (SFTF). (2002). Report of the Task Force on Segregated Fund Investment Guarantees. Canadian Institute of Actuaries. [On-line]. Available: http://www.actuaries.ca/publications/2002/ 202012e.pdf

Streiff, T. F., & DiBiase, C. A. (1999). Equity indexed annuities. Dearborn Financial Publishing, USA.

Tiong, S. (2001). Valuing equity-indexed annuities. North American Actuarial Journal, 4(4), 149-170.

Wang, S. X. (1995). Insurance pricing and increased limits ratemaking by proportional hazard transforms. Insurance: Mathematics and Economics, 17, 43-54.

Webber, N., & James, J. (2000). Interest rate modelling: Financial engineering. London: Wiley.

Wilkie, A. D. (1986). A stochastic investment model for actuarial use. Transactions of the Faculty of Actuaries, 39, 341-381.

Wilkie, A. D. (1995). More on a stochastic asset model for actuarial use. British Actuarial Journal, 1 (V), 777-964.

Windcliffe, H., Le Roux, M., Forsythe, P., Vetzal, K. (2002). Understanding the behavior and hedging of segregated funds offering the reset feature. North American Actuarial Journal, 6(2), 107-124.

Windcliffe, H., Forsythe, P., Vetzal, K. (2001). Valuation of segregated funds shout options with maturity extensions. Insurance: Mathematics and Economics, 29, 1-21.

Wirch, J. L., & Hardy, M. R. (1999). A synthesis of risk measures for capital adequacy. Insurance: Mathematics and Economics, 25, 337-347.

Wright, I. D. (1997). A stochastic approach to pension scheme funding and asset allocation. Ph.D. thesis, Heriot-Watt University, Edinburgh, Scotland.

Yang, S. (2001). Reserving, pricing and hedging for guaranteed annuity options. Ph.D. thesis, Heriot-Watt University, Edinburgh, Scotland.

Zhang, P. G. (1998). Exotic options: A guide to second generation options (2nd Ed.). River Edge, NJ: World Scientific Publishing Company.

Was this article helpful?

0 0
Retirement Planning For The Golden Years

Retirement Planning For The Golden Years

If mutual funds seem boring to you, there are other higher risk investment opportunities in the form of stocks. I seriously recommend studying the market carefully and completely before making the leap into stock trading but this can be quite the short-term quick profit rush that you are looking for if you am willing to risk your retirement investment for the sake of increasing your net worth. If you do choose to invest in the stock market please take the time to learn the proper procedures, the risks, and the process before diving in. If you have a financial planner and you definitely should then he or she may prove to be an exceptional resource when it comes to the practice of 'playing' the stock market.

Get My Free Ebook


Post a comment