"In addition to being a valuable and innovative addition to the literature on risk management of equity–linked insurance, this book provides a uniquely clear demonstration of using different measures in a very practical context. A great way of showing actuaries how to ‘mind their Ps and Qs’!"
Principal and Chief Operations Officer
GE Insource Limited
"This is an extremely well written and comprehensive book which will be useful for both practitioners and graduate students. It provides a unique synthesis of techniques and tools in econometrics, financial engineering, and simulation applied to questions of fundamental importance in insurance."
Dr. Andrew Cairns
Reader in Financial and Actuarial Mathematics
"Investment Guarantees will become the reference book of choice for both actuaries and non–actuaries alike working in the field of guarantees associated with equity–linked products. The book provides an excellent balance between theory and practice in the course of contrasting actuarial modeling and option pricing theory as applied to guarantees on equity–linked products."
Larry M. Gorski
Illinois Department of Insurance
"Professor Hardy strikes the right balance between theory development and practical demonstration, offering insights to both novices and experienced practitioners. Her comprehensive treatment of risk modeling of investment guarantees will benefit actuaries and financial engineers alike, allowing each to understand better the nature and management of equity exposure. Exceptionally readable, Investment Guarantees is an invaluable resource for insurance and financial professionals working with equity–linked insurance and annuity products."
Geoffrey H. Hancock
Mercer Risk, Finance & Insurance Consulting
Modeling Long–Term Stock Return.
Maximum Likelihood Estimation for Stock Return Models.
The Left–Tail Calibration Method.
Markov Chain Monte Carlo (MCMC) Estimation.
Modeling the Guarantee Liability.
A Review of Option Pricing Theory.
Dynamic Hedging for Separate Account Guarantees.
Emerging Cost Analysis.
Guaranteed Annuity Options.
Appendix A: Mortality and Survival Probabilities.
Appendix B: The GMAB Option Price.
Appendix C: Actuarial Notation.
Appendix D: References.