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University of Waterloo (Canada).

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Multivariate time series analysis of the investment guarantee in Canadian segregated fund products.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Multivariate time series analysis of the investment guarantee in Canadian segregated fund products./
Author:	Liu, Jie.
Description:	103 p.
Notes:	Source: Masters Abstracts International, Volume: 47-03, page: 1665.
Contained By:	Masters Abstracts International47-03.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=MR43720
ISBN:	9780494437209

Multivariate time series analysis of the investment guarantee in Canadian segregated fund products.
Liu, Jie.

Multivariate time series analysis of the investment guarantee in Canadian segregated fund products. - 103 p.

Source: Masters Abstracts International, Volume: 47-03, page: 1665.

Thesis (M.Math.)--University of Waterloo (Canada), 2008.

In the context of the guarantee liability valuation, the sophisticated fund-of-funds structure, of some Canadian segregated fund products, often requires us to model multiple market indices simultaneously in order to benchmark the return of the underlying fund. In this thesis, we apply multivariate GARCH models with Gaussian and non-Gaussian noise to project the future investment scenarios of the fund. We further conduct a simulation study to investigate the difference, among the pro-posed multivariate models, in the valuation of the Guaranteed Minimum Maturity Benefit (GMMB) option.

ISBN: 9780494437209Subjects--Topical Terms:

626650
Economics, Finance.

Multivariate time series analysis of the investment guarantee in Canadian segregated fund products.
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020 $a 9780494437209
035 $a (UMI)AAIMR43720
035 $a AAIMR43720
040 $a UMI $c UMI
100 1 $a Liu, Jie. $3 1026842
245 1 0 $a Multivariate time series analysis of the investment guarantee in Canadian segregated fund products.
300 $a 103 p.
500 $a Source: Masters Abstracts International, Volume: 47-03, page: 1665.
502 $a Thesis (M.Math.)--University of Waterloo (Canada), 2008.
520 $a In the context of the guarantee liability valuation, the sophisticated fund-of-funds structure, of some Canadian segregated fund products, often requires us to model multiple market indices simultaneously in order to benchmark the return of the underlying fund. In this thesis, we apply multivariate GARCH models with Gaussian and non-Gaussian noise to project the future investment scenarios of the fund. We further conduct a simulation study to investigate the difference, among the pro-posed multivariate models, in the valuation of the Guaranteed Minimum Maturity Benefit (GMMB) option.
520 $a Based on the pre-data analysis, the proposed multivariate GARCH models are data driven. The goodness-of-fit for the models is evaluated through formal statistical tests from univariate and multivariate perspectives. The estimation and associated practical issues are discussed in details. The impact from the innovation distributions is addressed. More importantly, we demonstrate an actuarial approach to manage the guarantee liability for complex segregated fund products.
590 $a School code: 1141.
650 4 $a Economics, Finance. $3 626650
650 4 $a Mathematics. $3 515831
690 $a 0405
690 $a 0508
710 2 $a University of Waterloo (Canada). $3 1017669
773 0 $t Masters Abstracts International $g 47-03.
790 $a 1141
791 $a M.Math.
792 $a 2008
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=MR43720