References
- American Academy of Actuaries (AAA) . 2005 . Recommended Approach for Setting Regulatory Risk-Based Capital Requirements for Variable Annuities and Similar Products , Presented by the American Academy of Actuaries Life Capital Adequacy Subcommittee to the National Association of Insurance Commissioners Capital Adequacy Task Force (C3 Phase 2 Report) www.actuary.org/pdf/life/c3 june05.pdf
- Bakshi , Gurdip , Cao , Charles and Chen , Zhiwu . 1997 . Empirical Performance of Alternative Option Pricing Models . Journal of Finance , 52 : 2003 – 2049 .
- Bakshi , Gurdip , Cao , Charles and Chen , Zhiwu . 2000 . Pricing and Hedging Long-Term Options . Journal of Econometrics , 94 : 277 – 318 .
- Black , Fischer and Scholes , Myron . 1973 . The Pricing of Options and Corporate Liabilities . Journal of Political Economy , 81 : 637 – 54 .
- Campbell , John Y. , Lo , Andrew W. and Craig Mackinlay , A. 1996 . The Econometrics of Financial Markets , Princeton : Princeton University Press .
- Canadian Institute Of Actuaries (CIA) . 2001 . Report of the Task Force on Segregated Fund Investment Guarantees , Canadian Institute of Actuaries; available from www.actuaries.ca/publications/2002/202012e.pdf
- Duan , Jun Chuan . 1995 . The GARCH Option Pricing Model . Mathematical Finance , 5 : 13 – 32 .
- Efron , Bradley and Tibshirani , Robert J. 1993 . An Introduction to the Bootstrap , Boca Raton, FL : Chapman and Hall/CRC Press .
- Engle , Robert F. 1995 . ARCH: Selected Readings , Oxford : Oxford University Press .
- Gray , Stephen F. 1996 . Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process . Journal of Financial Economics , 42 : 27 – 62 .
- Hamilton , James D. 1989 . A New Approach to the Economic Analysis of Non-stationary Time Series . Econometrica , 57 : 357 – 84 .
- Hardy , Mary R. 2001 . A Regime Switching Model of Long-Term Stock Returns . North American Actuarial Journal , 5 ( 2 ) : 41 – 53 .
- Hardy , Mary R. 2003 . Investment Guarantees; Modeling and Risk Management for Equity Linked Life Insurance , New York : Wiley .
- Jarque , Carlos M. and Bera , Anil K. 1980 . Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals . Economics Letters , 6 : 255 – 59 .
- Jarque , Carlos M. and Bera , Anil K. 1987 . A Test for Normality of Observations and Regression Residuals . International Statistical Review , 55 : 163 – 72 .
- Panneton , Christian-Marc . 2002 . “ Mean-Reversion in Equity Models in the Context of Actuarial Provisions for Segregated Fund Investment Guarantees ” . In Segregated Funds Symposium Proceedings , Canadian Institute of Actuaries .
- Shephard , Neil . 2005 . Stochastic Volatility: Selected Readings , Oxford : Oxford University Press .
- Wilkie , A. David . 1995 . More on a Stochastic Asset Model for Actuarial Use . British Actuarial Journal , 1 ( 5 ) : 777 – 964 .
- Wong , Albert C. S. and Chan , Wai-Sum . 2005 . Mixture Gaussian Time Series Modeling of Long-Term Market Returns . North American Actuarial Journal , 9 ( 4 ) : 83 – 94 .