tailieunhanh - Investment Guarantees phần 2

họ phải là một phần của sứ mệnh của mình và có cơ hội được lắng nghe như quyết định được thực hiện trên các nhiệm vụ, chức năng, và các dịch vụ PSO sẽ cung số số liệu đã được phát triển về số lượng đo lường mức độ trưởng thành của các quá trình quản lý dự án của bạn. | 16 MODELING LONG-TERM STOCK RETURNS superseded by the recommendations of the Task Force on Segregated Funds SFTF in 2000. However there are problems with this approach 1. It is likely that any single path used to model the sort of extreme behavior relevant to the GMMB will lack credibility. The Canadian OSFI scenario for a diversified equity mutual fund involved an immediate fall in asset values of 60 percent followed by returns of percent per year for 10 years. The worst monthly return of this century in the S P total return index was around - 35 percent. Insurers are not surprisingly rather sceptical about the need to reserve against such an unlikely outcome. 2. It is difficult to interpret the results what does it mean to hold enough capital to satisfy that particular path It will not be enough to pay the guarantee with certainty unless the full discounted maximum guarantee amount is held in risk-free bonds . How extreme must circumstances be before the required deterministic amount is not enough 3. A single path may not capture the risk appropriately for all contracts particularly if the guarantee may be ratcheted upward from time to time. The one-time drop and steady rise may be less damaging than a sharp rise followed by a period of poor returns for contracts with guarantees that depend on the stock index path rather than just the final value. The guaranteed minimum accumulation benefit GMAB is an example of this type of path-dependent benefit. Deterministic testing is easy but does not provide the essential qualitative or quantitative information. A true understanding of the nature and sources of risk under equity-linked contracts requires a stochastic analysis of the liabilities. A stochastic analysis of the guarantee liabilities requires a credible long-term model of the underlying stock return process. Actuaries have no general agreement on the form of such a model. Financial engineers traditionally used the lognormal model although nowadays a wide .