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Maturity Guarantees Revisited: Allowing for Extreme Stochastic Fluctuations using Stable Distributions

Published online by Cambridge University Press:  10 June 2011

G.S. Finkelstein
G.S. Finkelstein
Affiliation:
Ernst & Young, Rolls House, 7 Rolls Buildings, Fetter Lane, London, EC4A 1NH, U.K. Tel: +44 (0)20 7951 0176; Fax: +44 (0)20 7951 8010; E-mail:gfinkelstein@cc.ernsty.co.uk
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Abstract

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The paper examines the suitability of the stable family of distributions with the Maturity Guarantees Working Party's stochastic investment model (Ford et al, 1980). It then examines the effect of replacing the Gaussian assumption made by the working party with a more general stable distribution. It also explains how the appropriate stable distribution can be fitted.

Keywords

Stochastic ModelsStable DistributionsGuaranteesReservesAsset Liability Modelling

Information

Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 3 , Issue 2 , 01 June 1997, pp. 411 - 482
Copyright
Copyright © Institute and Faculty of Actuaries 1997

References

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