| Summary: | 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 demonstrate how to use the EVT-based time series model, and then we apply this model to modeling TAIEX index (Taiwan Stock Exchange Index). After that, we start to compare EVT-based model with other models. The result shows that TAIEX is indeed a time series correlated market and EVT-based model would be more pessimistic than other models in prediction. At the end of this article, we analyze the reserve under different models when insurers issue GMMB or GMDB. Therefore, by the introduction of EVT-based model, we may widen the set of candidate models.
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