Valuation of Guaranteed Unitized Participating Life Insurance under MEGB2 Distribution

Table 4

The descriptive statistics of P&L.

Return distribution	Mean	Deviation	Median	95%-VaR	99%-VaR
MEGB2	-0.00018	0.0207	-0.0023	0.0366	0.0601
Multivariate Normal	-0.00027	0.0194	-0.0018	0.0345	0.0552

Note. P&L=discounted hedging error/value of the no-hedge portfolio.