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GMDB Pricing:Comparing a Lognormal Model to a Regime-SwitchingLognormal Model
article is to apply a two- regime model to variable annuity guaranteed minimum death benefit (GMDB) pricing ... any given time. Dr. Hardy fit her model to monthly S&P 500 total return data for the period 1956-1999 ...- Authors: Robert Stone
- Date: Oct 2002
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Risks and Rewards Newsletter, October 2002, Issue No. 40
R I S K S A N D R E W A R D S ISSUE NO. 40 • OCTOBER 2002 TH E NE W S L E T T E R O F T H E IN V ... V E S T M E N T SE C T I O N PU B L I S H E D I N SC H A U M B U R G, IL BY TH E SO C I E T Y O ...- Authors: Nino A Boezio, Michael Cohen, Edward H Friend, Jeremy Gold, David Ingram, Max Rudolph, Richard Wendt, Steven Siegel, John Lawson Shuttleworth, Robert Stone, Lilli Segre Tossani, Keith Gustafson, Abbigail J Chiodo, Michael T Owyang
- Date: Oct 2002
- Publication Name: Risks & Rewards