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Investment Guarantees phần 9

Hình 11,10, bổ sung để đo lường rủi ro CTE từ sự không chắc chắn tham số; GMDB, tỷ lệ phí bảo hiểm duy nhất. BẢNG 11,2 Hiệu quả của việc không chắc chắn tham số, các biện pháp rủi ro cho hợp đồng GMAB 20 năm, cho mỗi $ 100 duy nhất phí bảo hiểm. | Parameter Uncertainty 217 1.5 - Actuarial 1.0 Dynamic 0.5 hedging of L -0.5 - Fixed Guarantee -1.0 J 1 1 1 1 1 1 0.0 0.2 0.4 0.6 0.8 1.0 Alpha E 5 E CD o X O -- 1.5 Actuarial 1.0 Dynamic 1 0.5 hedging J 0.0 -0.5 -1.0 Increasing Guarantee 1 1 1 1 1 1 0.0 0.2 0.4 0.6 0.8 1.0 Alpha FIGURE 11.10 Addition to CTE risk measure from parameter uncertainty GMDB percentage of single premium. TABLE 11.2 The effect of parameter uncertainty risk measures for 20-year GMAB contract per 100 single premium. Risk Management Without Parameter Uncertainty With Parameter Uncertainty Q95 CTE95 Q95 CTE95 Actuarial 5.06 8.85 6.37 11.12 Dynamic hedging 1.58 2.36 1.84 2.67 Stress Testing for Parameter Uncertainty To use the stress-testing technique for parameter uncertainty simulations are repeated using different parameter sets to see the effect of different assumptions on the output. The parameters for the stress test may be chosen arbitrarily or may be imposed by regulators. These what if . scenarios will give some qualitative information about the sensitivity of results to parameter error but will generally not be helpful quantitatively particularly if the stress test parameter sets are not equally likely. Stress testing provides additional information on sensitivity to parameter uncertainty but is very subjective and tends to be difficult to interpret. However stress testing can provide some useful insight into the vulnerability of the results to parameter error or even structural changes in parameters. Structural changes arise when parameters or the model itself appears to undergo a permanent and significant alteration. Under the regime-switching model framework one-off structural changes in parameters that have occurred in the past may be indicated in the estimation process if there is sufficient evidence. If the change is recent or has yet to occur then our results are highly speculative though they may still be useful. 218 FORECAST UNCERTAINTY To explore parameter error we may .