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An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial crisis of the late-2000s
Overview of data and models • Data: log-returns on the S&P 500 Total Return Index – Period: February 1956 ... in-the-money • The worst cumulative returns on the S&P 500 (TR) on a horizon of 10 years or less generally ...- Authors: Mathieu Boudreault, Maciej Augustyniak
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Variable annuities; Finance & Investments