Hostname: page-component-586b7cd67f-l7hp2 Total loading time: 0 Render date: 2024-11-23T18:30:46.589Z Has data issue: false hasContentIssue false
  • English
  • Français

Report of the Maturity Guarantees Working Party

Published online by Cambridge University Press:  20 April 2012

Get access Rights & Permissions [Opens in a new window]

Abstract

An abstract is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Other
Information
Journal of the Institute of Actuaries , Volume 107 , Issue 2 , June 1980 , pp. 103 - 231
Copyright
Copyright © Institute and Faculty of Actuaries 1980

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Corby, F. B. Reserves for Maturity Guarantees under Unit-linked policies, J.I.A. 104, 259.Google Scholar
Wilkie, A. D. The Rate of Interest as a Stochastic Process--Theory and Applications, Trans. 20th International Congress of Actuaries, II, 325.Google Scholar
Benjamin, S. A Study of Maturity Guarantees under Equity-Linked Policies, Trans. 20th International Congress of Actuaries, II, 17.Google Scholar
Scott, W. F. A Reserve Basis for Maturity Guarantees in Unit-Linked Life Assurance, T.F.A. 35, 365.Google Scholar
Wilkie, A. D. Maturity (and other) Guarantees under Unit-Linked Policies, T.F.A. 36, 27.Google Scholar
Turner, S.H. Asset Value Guarantees under Equity Based Products, T.S.A. 21, 459.Google Scholar
Di Paolo, F. P. An Application of Simulated Stock Market Trends to Investigate a Ruin Problem, T.S.A. 21, 549.Google Scholar
Praetz, P. D. Random Walks and Investment Theory, J.S.S. 20, 203.Google Scholar
Ziock, R. W. Predicting Ranges of Investment Results, Presented at New York Actuarial Conference on September 8, 1977.Google Scholar
Praetz, P. D. Australian Share Prices and the Random Walk Hypothesis, Australian Journal of Statistics, 11 (3), 1969.CrossRefGoogle Scholar
Ziock, R. W. The Interest Rate Delta, A.R.C.H., 1975, 1.Google Scholar
Henfrey, A. W., Albrecht, B. and Richards, P. The U.K. Stockmarket and the Efficient Market Model, The Investment Analyst 48.Google Scholar
Coen, P. J. Gomme, E. D. and Kendall, M. G. Lagged Relationships in Economic Forecasting, J.R.S.S. Series A, 132, Part 2.CrossRefGoogle Scholar
Nightingale, R. D. and Vernon, K. Econometric Models and the Stockmarket, Investment Analyst 26.Google Scholar
Girmes, D. H. and Damant, D. C. Charts and the Random Walk, Investment Analyst 41.Google Scholar
Coen, P. J. Forecasting and Investment Analysis, Investment Analyst 26.Google Scholar
Brennan, M. J. and Schwartz, E. S. The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee, Journal of Financial Economics, 3 (1976), 195.CrossRefGoogle Scholar
Black, F. and Scholes, M. J. The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81, 637.CrossRefGoogle Scholar
Boyle, P. P. and Schwartz, E. S. Equilibrium Prices of Guarantees under Equity-Linked Contracts, unpublished.Google Scholar
Fagan, J. C. Maturity Guarantees under Investment-Linked Contracts, Presented to Society of Actuaries in Ireland, 10th November 1977.Google Scholar
Brennan, M. J. and Schwartz, E. S. Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee, Journal of Business (1979) 52, 1, 63.CrossRefGoogle Scholar
Brown, A. S., Ford, A., Seymour, P. A. C., Squires, R. J. and Wales, F. R. Valuation of Individual Investment Linked Policies, J.I.A. 105, 317.Google Scholar
Ford, A. Assurances Linked to Unit Trusts, J.S.S. 19, 87.Google Scholar
Akaike, H. (1970). Statistical predictor identification. Annals Inst. Stat. Math., 22, 203.CrossRefGoogle Scholar
Bartlett, M. S. (1946). On the theoretical specification and sampling properties of autocorrelated time series. J. Roy. Statist. Soc. (Suppl.), 8, 27.CrossRefGoogle Scholar
Benjamin, S. (1971). Maturity guarantees for equity-linked policies. Trans. 20th International Congress of Actuaries. II, 17.Google Scholar
Box, G. E. P. and Jenkins, G. M. (1970). Time series analysis forecasting and control (San Francisco: Holden-Day).Google Scholar
Campbell, M. J. and Walker, A. M. (1977). A survev of statistical work on the Mackenzie river series. J. Roy. Statist. Soc. Series A, 140, 411.CrossRefGoogle Scholar
Corby, F. B. (1977). Reserves for Maturity Guarantees under Unit-Linked Policies. J.I.A., 104, 259.Google Scholar
Godolphin, E. J. (1977). A direct representation for the maximum likelihood estimator of a Gaussian moving average process. Biometrika, 64, 375.CrossRefGoogle Scholar
Godolphin, E. J. and Wilkie, A. D. A long term model for share prices with special applications in actuarial science. (Forthcoming).Google Scholar
Scott, W. F. (1977). A reserve basis for Maturity Guarantees in Unit-Linked Life Assurance. T.F.A. 35, 365.Google Scholar
Squires, R. J. (1974). Unit-linked Assurance: Observations and Propositions, J.I.A., 101, 1.Google Scholar
Tong, H. (1977). Some comments on the Canadian lynx data. J. Roy. Statist Soc., Series A, 140, 432.CrossRefGoogle Scholar
Benjamin, S. (1971). Maturity guarantees for equity-linked policies. Transactions 20th International Congress of Actuaries (1976), 11, 17.Google Scholar
Box, G. E. P. & Jenkins, G. M. (1970). Time series analysis, forecasting and control. Holden-Day, San Francisco.Google Scholar
Corby, F. B. (1977). Reserves for Maturity Guarantees under Unit-linked Policies. J.I.A., 104, 259.Google Scholar
Cox, D. R. & Miller, H. D. (1965). The Theory of Stochastic Processes. Methuen, London.Google Scholar
Cragg, J. G. & Malkiel, B. G. (1968). The Consensus and Accuracy of some predictions of the growth of corporate earnings. Journal of Finance, 23, 67.CrossRefGoogle Scholar
Zoete, De & Bevan, (1979). Equity and Fixed Interest Investment from 1919, 24th Annual Edition (for private circulation only). De Zoete and Bevan, London.Google Scholar
Fagan, J. C. (1977). Maturity guarantees under investment-linked contracts. Presented to the Society of Actuaries in Ireland, 10th November 1977.Google Scholar
Fama, E. F. (1965). The behaviour of Stock Market Prices. Journal of Business, 38, 34.CrossRefGoogle Scholar
Financial Times (daily from 1962). F.T.— Actuaries Share Indices.Google Scholar
FINANCIAL TIMES (1976). F.T.—Actuaries Share Indices. a fortnightly record, and supplements thereto. Financial Times Limited, London.Google Scholar
Godolphin, E. J. & Wilkie, A. D. A long term model for share prices with special applications in actuarial science. (Forthcoming).Google Scholar
Granger, C. W. J. & Morgenstern, O. (1970). Predictability of Stock Market Prices. D. C. Heath, Lexington, Mass.Google Scholar
Granger, C. W. J. & Newbold, P. (1977). Forecasting Economic Time Series. Academic Press, New York.Google Scholar
Ibbotson, R. G. & Sinquefield, R. A. (1976). Stocks, Bonds, Bills and Inflation. Year-by-Year Historical Returns (1926-1974). Journal of Business, 49, 11.CrossRefGoogle Scholar
Institute of Actuaries and Faculty of Actuaries (1928 to 1962). The Actuaries Investment Index. Institute of Actuaries, London and Faculty of Actuaries, Edinburgh.Google Scholar
Little, I. M. D. & Raynor, A. C. (1966). Higgledy Piggledy Growth Again. Basil Blackwell, Oxford.Google Scholar
Mandelbrot, B. (1963). The Variation of Certain Speculative Prices. Journal of Business, 36, 394.CrossRefGoogle Scholar
Planned Savings (1978). How Linked Policies have performed. Planned Savings, 13, no. 11, 19.Google Scholar
Praetz, P. D. (1972). The Distribution of Share Price Changes. Journal of Business, 45, 49.CrossRefGoogle Scholar
Rowe, B. N. (1977). Notes on MVG Valuation Approach. (Unpublished note dated 29th July 1977.)Google Scholar
Scott, W. F. (1977). A reserve basis for Maturity Guarantees in Unit-Linked Life Assurance. T.F.A. 35, 365.Google Scholar
Squires, R. J. (1974). Unit-Linked Assurance: Observations and Propositions. J.I.A., 101, 1.Google Scholar
Standard and Poor's Statistical Service (1978). Security Price Index Record, 1978 Edition. Standard and Poor's Corporation. New York.Google Scholar
Wilkie, A. D. (1978). Maturity (and other) Guarantees under Unit-Linked Policies. T.F.A. 36, 27.Google Scholar
Ziock, R. W. (1977). Predicting Ranges of Investment Results. (Paper presented at the New York Actuarial Conference ‘Modelling Financial Markets’).Google Scholar
Anderson, A. C. & Pearce, M. C. (1976). The Computer Generation of Beta, Gamma and Normal Random Variates. J.R.S.S., Series A, 139, 431.Google Scholar
Benjamin, S. (1966). Putting Computers on to Actuarial Work. J.I.A. 92, 134.Google Scholar
Benjamin, S. (1971). Maturity guarantees for equity-linked policies. Transactions 20th International Congress of Actuaries. (1976) II, 17.Google Scholar
Hammersley, J. M. & Handscomb, D. C. (1964). Monte Carlo Methods. London. Chapman and Hall.CrossRefGoogle Scholar
Kendall, M. G. & Stuart, A. (1973). The Advanced Theory of Statistics: 2, Inference and Relationship. Third Edition. London. Griffin.Google Scholar
Knuth, D. E. (1969). The Art of Computer Programming. 2: Seminumerical Algorithms. Addison-Wesley, Reading, Mass.Google Scholar
Tocher, K. D. (1963). The Art of Simulation. English Universities Press, London.Google Scholar
Anderson, O. D. (1975). Time Series Analysis and forecasting; the Box-Jenkins approach. London.Google Scholar
Anderson, T. W. (1971) The Statistical Analysis of Time Series. New York, Wiley.Google Scholar
Box, G. E. P. and Jenkins, G. M. (1970). Time Series Analysis. forcasting and control. San Francisco, Holden-Day.Google Scholar
Chatfield, C. (1975). The Analysis of Time Series: Theory and Practice. London, Chapman and Hall.CrossRefGoogle Scholar
Miller, R. B. and Hickman, J. C. (1973). Time Series Analysis and Forecasting. T.S.A. XXV, 267.Google Scholar
Redington, F. M. (1952). Review of the Principles of Life-office Valuations. J.I.A., 78, 286.Google Scholar