ABSTRACT We develop Bayesian multivariate regime-switching models for correlated assets, comparing three different ways to flexibly structure the correlation matrix. After developing the models, we examine their relative characteristics and performance, first in a straightforward asset simulation example, and later applied to a variable annuity product with guarantees. We find that the freedom allowed by the more flexible structures enables these models to more accurately reflect the actual asset dependence structure. We also show that the correlation structures inferred by the most commonly used (and simplest) model will result in significantly larger estimates of the cost of the annuity guarantees.

中文翻译：

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贝叶斯多元制度转换模型和相关结构错误指定对可变年金定价的影响

摘要 我们为相关资产开发了贝叶斯多元政权转换模型，比较了三种不同的方式来灵活构建相关矩阵。在开发模型之后，我们首先在一个简单的资产模拟示例中检查它们的相对特征和性能，然后应用于具有保证的可变年金产品。我们发现更灵活的结构所允许的自由度使这些模型能够更准确地反映实际的资产依赖结构。我们还表明，由最常用（和最简单）的模型推断出的相关结构将导致对年金保证成本的显着更大的估计。