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Pension Plan Solvency and Extreme Market Movements: A Regime Switching Approach – Funding Report for the Actuarial Profession

Published online by Cambridge University Press:  18 June 2013

Niloufar Abourashchi ,
Iain Clacher ,
David Hillier ,
Mark Freeman ,
Malcolm Kemp  and
Qi Zhang
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Abstract

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Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 18 , Issue 3 , September 2013 , pp. 676 - 680
Copyright
Copyright © Institute and Faculty of Actuaries 2013 

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References

Frankland, R., Smith, A.D., Wilkins, T., Varnell, E., Holtham, A., Biffis, E., Eshun, S., Dullaway, D. (2009). Modelling Extreme Market Events. A Report of the Benchmarking Stochastic Models. British Actuarial Journal, 15, 275–293.CrossRefGoogle Scholar
Guidolin, M., Timmerman, A. (2006). An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns. Journal of Applied Econometrics, 21, 1–22.CrossRefGoogle Scholar
Hamilton, J.D. (1989). A New Approach to the Econometric Analysis of Non-Stationary Time-Series and the Business Cycle. Econometrica, 57, 357–384.Google Scholar
Kemp, M. (2011). Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails. John Wiley, 2011.Google Scholar