LocationUniversity of Hong Kong (An SOA Center of Actuarial Excellence)Theatre 5, 1/F, Meng Wah ComplexPokfulam Road, Hong Kong
Registration is now closed. The SOA Customer Service Center is available to assist you Monday through Friday, 8:00 a.m. to 5:00 p.m. CDT. Please call 888.697.3900.
Who should attend: Actuarial professionals interested in equity-linked products.
Sponsored by the SOA and the University of Hong Kong
Nowadays, equity-linked insurance products are becoming more and more popular. How to value these products and manage the risk of such products is an important issue to the insurance industry. Since the payment of these products is often the payoff of an option, we call the contract for the payment a (life) contingent option. This seminar will focus on presenting a valuation method known as a discounted density approach. This approach provides a simple and powerful method to valuing the equity linked insurance products and the method can be used to obtain closed-form formulas for various contingent options. By using the closed-form formulas, some risk measures such as the Greek letters, can be calculated very quickly. This part of the presentation is based on a paper by Gerber, Shiu and Yang (2012).
In order to apply theoretical equity models to practical situations, insurance or investment professionals need to overcome a variety of problems. Issues related to data sources, calibration of models, presentation of results and other practical problems in equity modeling will also be presented.
Educational ObjectivesAt the conclusion of the session, attendees will be able to apply the discounted density approach to value equity-linked insurance products, such as equity-linked death benefits, variable annuities and minimum guaranteed death benefits. The attendees will be able to calculate the Greek letters, such as delta, gamma by using the closed-form formulas for various kinds contingent options learned in this session.
After the session, attendees will be able to identify practical concerns when attempting to apply theoretical equity models to actual situations. The attendees will be able to select appropriate approaches to justify the solutions to be employed when dealing with practical problems in the use of equity modeling
Audience Experience Level: All levels of experience
Demonstrating the listening, writing and speaking skills required to effectively address diverse technical and nontechnical audiences in both formal and informal settings.
Adhering to standards of professional conduct and practice where all business interactions are based on a foundation of integrity, honesty and impartiality.
Identifying and incorporating the implications of economic, social, regulatory, geo-political and business changes into the design and delivery of actuarial solutions.
Initiating, innovating, inspiring, creating or otherwise acting to influence others regardless of level or role toward a common goal.
Creating mutually beneficial relationships and work processes toward a common goal.
Applying the actuarial knowledge, skills and judgment required to provide value-added services.
Anticipating trends and strategically aligning actuarial practice with broader organizational business goals.
Providing effective problem solving that addresses relevant interests and needs.
More information on the Competency Framework