Customer Reviews

Investment Guarantees: The New Science of Modeling and Risk Management for Equity-Linked Life Insurance

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As guarantee products are popping up all over the global banking and insurance markets, it is absolutely essential to ensure that the proper financial values are upheld in order to avoid many of the problems that the North American market has faced. 'Investment Guarantees' does a wonderful job of describing these risks in simple enough terms that the pages can be quoted to both financial and non financial people. A very powerful read for those looking to undersand the value of guarantees that are placed on accumulation type insurance products.

The blend of econometrics, finance and math is fair enough. It's readable for both finance and non-finance people. There can be certain ways to make the book more pratical:

1.While I understand the result of the calibrations, I'm afraid that I can't replicate the results. The calibration steps should be outlined.

2.Since most of the calibration results are done by excel, the author can explain more how to do it by excel; or simply post the excel examples at the author's website. That is something that many people are doing.

3. The regime-switching model, while drawing a lot of attention in academic, is still not popular. There is still not enough evidence that it outperforms the traditional ARIMA models. In fact, it's the opposite. More pages should be spent on ARIMA.