Investment Guarantees: The New Science of Modeling and Risk Management for Equity-Linked Life Insurance

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9780471392903: Investment Guarantees: The New Science of Modeling and Risk Management for Equity-Linked Life Insurance
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A comprehensive guide to investment guarantees in equity-linkedlife insurance
Due to the convergence of financial and insurance markets, newforms of investment guarantees are emerging which require financialservice professionals to become savvier in modeling and riskmanagement. With chapters that discuss stock return models, dynamichedging, risk measures, Markov Chain Monte Carlo estimation, andmuch more, this one-stop reference contains the valuable insightsand proven techniques that will allow readers to better understandthe theory and practice of investment guarantees and equity-linkedinsurance policies.
Mary Hardy, PhD (Waterloo, Ontario, Canada), is an AssociateProfessor and Associate Chair of Actuarial Science at theUniversity of Waterloo and is a Fellow of the Institute ofActuaries and an Associate of the Society of Actuaries, where sheis a frequent speaker. Her research covers topics in life insurancesolvency and risk management, with particular emphasis onequity-linked insurance. Hardy is an Associate Editor of the NorthAmerican Actuarial Journal and the ASTIN Bulletin and is a DeputyEditor of the British Actuarial Journal.

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From the Inside Flap:

The object of life insurance is to provide financial security topolicyholders and their families. But insurance markets around theworld are changing, and policyholders want to enjoy the benefits ofequity investments in conjunction with mortality protection. Thisidea has led to the development of equity-linked life insurance,and has probably left you searching for better ways to model theseinnovative investment guarantees as well as measure the riskassociated with them.

Whether you’re involved with the product design, marketing,pricing and valuation, or risk management of equity-linkedinsurance, this book has something for you. Investment Guarantees:Modeling and Risk Management for Equity-Linked Life Insurance is acomprehensive guide that combines the econometric analysis of theseinvestment models with their applications in pricing and riskmanagement.

Designed with all equity-linked life insurance practitioners inmind, you’ll find both approaches to risk management ofequity-linked insurance–the "actuarial" approach and thedynamic hedging approach–presented, discussed, and extensivelyillustrated with examples. Investment Guarantees opens with adiscussion of various models, moves through modeling techniques,and addresses risk management in a straightforward, accessiblemanner. This unique resource will:

  • Introduce the various types of investment guarantees commonlyused in equity-linked insurance, including guaranteed death andliving benefits
  • Explore contracts which offer investment guarantees as part ofthe benefit package–variable annuities, segregated fundcontracts, unit-linked contracts, equity-indexed annuities, andguaranteed 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 LikelihoodEstimation (MLE) and Markov Chain Monte Carlo Method (MCMC)–aBayesian approach
  • Explain how to model investment guarantees using the"actuarial" approach and the dynamic hedging approach to riskmanagement
  • Describe stochastic emerging cost modeling
  • Examine the sources of forecast uncertainty

Investment Guarantees carefully pulls together all of the mostrecent models and methods that are useful in managing the riskassociated with equity-linked insurance. Filled with professionalinsights and proven techniques, this book is a valuable one-stopreference that will allow you to better understand the theory andpractice behind modeling and risk management for equity-linked lifeinsurance.

From the Back Cover:

Praise for InvestmentGuarantees

"In addition to being a valuable and innovative addition to theliterature on risk management of equity-linked insurance, this bookprovides a uniquely clear demonstration of using different measuresin a very practical context. A great way of showing actuaries howto ‘mind their Ps and Qs’!"
—Boris Brizeli
Principal and Chief Operations Officer
GE Insource Limited

"This is an extremely well written and comprehensive book whichwill be useful for both practitioners and graduate students. Itprovides a unique synthesis of techniques and tools ineconometrics, financial engineering, and simulation applied toquestions 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 choicefor both actuaries and non-actuaries alike working in the field ofguarantees associated with equity-linked products. The bookprovides an excellent balance between theory and practice in thecourse of contrasting actuarial modeling and option pricing theoryas applied to guarantees on equity-linked products."
—Larry M. Gorski
Life Actuary
Illinois Department of Insurance

"Professor Hardy strikes the right balance between theorydevelopment and practical demonstration, offering insights to bothnovices and experienced practitioners. Her comprehensive treatmentof risk modeling of investment guarantees will benefit actuariesand financial engineers alike, allowing each to understand betterthe nature and management of equity exposure. Exceptionallyreadable, Investment Guarantees is an invaluable resource forinsurance and financial professionals working with equity-linkedinsurance and annuity products."
—Geoffrey H. Hancock
Principal
Mercer Risk, Finance & Insurance Consulting

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Book Description John Wiley & Sons Inc, United States, 2003. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. A comprehensive guide to investment guarantees in equity-linked life insurance Due to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more, this one-stop reference contains the valuable insights and proven techniques that will allow readers to better understand the theory and practice of investment guarantees and equity-linked insurance policies. Mary Hardy, PhD (Waterloo, Ontario, Canada), is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo and is a Fellow of the Institute of Actuaries and an Associate of the Society of Actuaries, where she is a frequent speaker. Her research covers topics in life insurance solvency and risk management, with particular emphasis on equity-linked insurance. Hardy is an Associate Editor of the North American Actuarial Journal and the ASTIN Bulletin and is a Deputy Editor of the British Actuarial Journal. Seller Inventory # AAH9780471392903

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Book Description John Wiley & Sons Inc, United States, 2003. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. A comprehensive guide to investment guarantees in equity-linked life insurance Due to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more, this one-stop reference contains the valuable insights and proven techniques that will allow readers to better understand the theory and practice of investment guarantees and equity-linked insurance policies. Mary Hardy, PhD (Waterloo, Ontario, Canada), is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo and is a Fellow of the Institute of Actuaries and an Associate of the Society of Actuaries, where she is a frequent speaker. Her research covers topics in life insurance solvency and risk management, with particular emphasis on equity-linked insurance. Hardy is an Associate Editor of the North American Actuarial Journal and the ASTIN Bulletin and is a Deputy Editor of the British Actuarial Journal. Seller Inventory # AAH9780471392903

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Book Description John Wiley & Sons Inc, United States, 2003. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. A comprehensive guide to investment guarantees in equity-linked life insurance Due to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more, this one-stop reference contains the valuable insights and proven techniques that will allow readers to better understand the theory and practice of investment guarantees and equity-linked insurance policies. Mary Hardy, PhD (Waterloo, Ontario, Canada), is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo and is a Fellow of the Institute of Actuaries and an Associate of the Society of Actuaries, where she is a frequent speaker. Her research covers topics in life insurance solvency and risk management, with particular emphasis on equity-linked insurance. Hardy is an Associate Editor of the North American Actuarial Journal and the ASTIN Bulletin and is a Deputy Editor of the British Actuarial Journal. Seller Inventory # LIE9780471392903

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Book Description Wiley. Hardcover. Condition: New. 352 pages. Dimensions: 9.2in. x 6.5in. x 1.0in.A comprehensive guide to investment guarantees in equity-linked life insuranceDue to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more, this one-stop reference contains the valuable insights and proven techniques that will allow readers to better understand the theory and practice of investment guarantees and equity-linked insurance policies. Mary Hardy, PhD (Waterloo, Ontario, Canada), is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo and is a Fellow of the Institute of Actuaries and an Associate of the Society of Actuaries, where she is a frequent speaker. Her research covers topics in life insurance solvency and risk management, with particular emphasis on equity-linked insurance. Hardy is an Associate Editor of the North American Actuarial Journal and the ASTIN Bulletin and is a Deputy Editor of the British Actuarial Journal. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Hardcover. Seller Inventory # 9780471392903

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