Maturity Guarantees Revisited: Allowing for Extreme Stochastic Fluctuations using Stable Distributions

G.S. Finkelstein

British Actuarial Journal, 1997, vol. 3, issue 2, 411-482

Abstract: The paper examines the suitability of the stable family of distributions with the Maturity Guarantees Working Party's stochastic investment model (Ford et al, 1980). It then examines the effect of replacing the Gaussian assumption made by the working party with a more general stable distribution. It also explains how the appropriate stable distribution can be fitted.

Date: 1997
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