Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing

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dc.contributor.author Groendyke, Chris
dc.contributor.author Hartman, Brian
dc.contributor.author Engler, David
dc.date.accessioned 2021-02-09T19:08:52Z
dc.date.available 2021-02-09T19:08:52Z
dc.date.issued 2019-05
dc.identifier.citation Hartman, B., Groendyke, C., Engler, D. (2019) Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing, Scandinavian Actuarial Journal. Retrieved from: https://hartman.byu.edu/docs/files/HartmanGroendykeEngler_MRSLN.pdf en_US
dc.identifier.uri http://hdl.handle.net/11347/382
dc.description.abstract We develop Bayesian multivariate regime-switching models for correlated assets, comparing three different ways to flexibly structure the correlation matrix. After developing the models, we examine their relative characteristics and performance, first in a straightforward asset simulation example, and later applied to a variable annuity product with guarantees. We find that the freedom allowed by the more flexible structures enables these models to more accurately reflect the actual asset dependence structure. We also show that the correlation structures inferred by most commonly used (and simplest) model will result in significantly larger estimates of the cost of the annuity guarantees. en_US
dc.language.iso en_US en_US
dc.publisher Scandinavian Actuarial Journal en_US
dc.subject Regime-switching en_US
dc.subject variable annuities en_US
dc.subject Guaranteed Minimum Income Benefit en_US
dc.subject Bayesian en_US
dc.subject correlation structures en_US
dc.title Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing en_US
dc.type Article en_US


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