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Maturity Guarantees Revisited: Allowing for Extreme Stochastic Fluctuations using Stable Distributions
Published online by Cambridge University Press: 10 June 2011
Abstract
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.
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- Sessional meetings: papers and abstracts of discussions
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- Copyright © Institute and Faculty of Actuaries 1997
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