The Application of Extreme Value Theory To Investment Guarantees Insurance
碩士 === 東吳大學 === 財務工程與精算數學系 === 97 === In this article, we present several equity return models, like Lognormal, Regime-Switching Lognormal, and different innovation-based time series models, to compare the effect of model selection in reserving of investment guarantee insurance. In the beginning, we...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Online Access: | http://ndltd.ncl.edu.tw/handle/89248113085356695439 |