Do Jumps Matter in the Long Term? A Tale of Two Horizons
| Autor: | Jean-François Bégin, Mathieu Boudreault |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Pension 050208 finance Actuarial science business.industry 05 social sciences 01 natural sciences Term (time) Valuation (logic) 010104 statistics & probability Life insurance 0502 economics and business Economics 0101 mathematics Statistics Probability and Uncertainty business Risk management |
| Zdroj: | North American Actuarial Journal. 26:82-101 |
| ISSN: | 2325-0453 1092-0277 |
| Popis: | Economic scenario generators (ESGs) for equities are important components of the valuation and risk management process of life insurance and pension plans. Because the resulting liabilities are ver... |
| Databáze: | OpenAIRE |
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