Discrete Dynamics in Nature and Society / 2019 / Article / Tab 4

Research Article

Valuation of Guaranteed Unitized Participating Life Insurance under MEGB2 Distribution

Table 4

The descriptive statistics of P&L.

Return distributionMeanDeviationMedian95%-VaR99%-VaR

MEGB2-0.000180.0207-0.00230.03660.0601
Multivariate Normal-0.000270.0194-0.00180.03450.0552

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