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Valuation of EIAs with the Threshold GARCH model
Celeste Chai
Department of Applied Finance
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Business & Economics
Equity-indexed Annuities
100%
GARCH Model
61%
Equity
44%
Insurance Industry
40%
Liability
33%
Monte Carlo Simulation
30%
Esscher Transform
30%
Insurance
29%
Conditional Heteroscedasticity
27%
Pricing Kernel
27%
Nonlinear Time Series
27%
Power Utility
25%
Valuation Methods
23%
S&P 500 Index
23%
Annuities
23%
Regime Switching
22%
Time Series Models
20%
Insurance Market
20%
Innovation
14%
Empirical Study
12%
Performance
7%