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- W2602464984 abstract "The aim of this thesis is to analyze deterministic maturity guarantees. Such guarantees are embedded in modern individual pension products in order to protect the customer from downside investment risk. In particular, we focus on four issues: guarantee pricing, shortfall risk analysis, solvency requirements, and expected return. Other risk sources, such as mortality, early contract cancelation, or other problems such as hedging are left to further research. The first main contribution of this thesis is the implementation of a model with a stochastic volatility of the return rate of risky assets backing the guarantee. This constitutes the main difference to previous papers, which usually assume that the risky asset underlying the guarantee follows the geometric Brownian motion. We decided to use the Markov regime switching model introduced by Hamilton (1989) as it outperforms the linear and GARCH models. The use of the Markov switching model implies the incompleteness of the financial market. To address this issue we chose the Esscher martingale measure, which is well-known in actuarial science, in order to price the guarantee. This is the second main contribution of this thesis. Third, we proposed measuring the risk of the guarantee with several lower partial moments and conditional lower partial moments. In order to quantify the solvency capital, we proposed the mean excess loss. Furthermore, we have shown how risk managers can control the price and risk associated with a guarantee by making a suitable choice among several risk factors such as guarantee level, stock proportion, and time/contract term, or use a suitable investment strategy. Last, we have shown how to construct the so-called zero-bond investment strategy, which provides a costless/riskless guarantee." @default.
- W2602464984 created "2017-04-07" @default.
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- W2602464984 date "2009-01-01" @default.
- W2602464984 modified "2023-09-28" @default.
- W2602464984 title "Pricing, Risk and Solvency Requirements : An Analysis of Investment Guarantees Embedded in Individual Pension Products - A Regime Switching Approach" @default.
- W2602464984 hasPublicationYear "2009" @default.
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