IDEAS home Printed from https://ideas.repec.org/a/spt/fininv/v3y2014i2f3_2_2.html
   My bibliography  Save this article

Stochastic Valuation of Segregated Fund Contracts in an Emerging Market

Author

Listed:
  • Emmanuel Thompson
  • Rohana Ambagaspitiya

Abstract

Stochastic valuation modeling is an important area for financial professionals who deal in products such as equity insurance, especially segregated fund contracts. A stochastic analysis of the guarantee liabilities under any given segregated fund contract requires a credible long-term model of the underlying equity (stock) return process. This paper introduced econometric models far less complex than the Wilkie model for valuing and managing financial risks associated with combined guaranteed minimum maturity benefit and minimum death benefit (GMMB/GMDB) regarding segregated fund contracts in an emerging market (India). Finally, we assess the valuation model via simulation under the GMMB/GMDB for a life age 50 with varying assumptions about the margin offset. The simulation results clearly indicate that, the net present value of outgo is mostly in the negative.

Suggested Citation

  • Emmanuel Thompson & Rohana Ambagaspitiya, 2014. "Stochastic Valuation of Segregated Fund Contracts in an Emerging Market," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 3(2), pages 1-2.
    • Handle: RePEc:spt:fininv:v:3:y:2014:i:2:f:3_2_2
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JFIA%2fVol%203_2_2.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spt:fininv:v:3:y:2014:i:2:f:3_2_2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.