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  • On the Importance of Hedging Dynamic Lapses in Variable Annuities
    threshold is ex- pressed relative to the guaran- tee G. Table 1 shows that the money, the policyholder has ... Moneyness level paid upon surrender max(AT, G) Table 1 Decomposition of the payoff of a GMMB contract ...

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    • Date: Aug 2015
    • Competency: Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
    • Publication Name: Risks & Rewards
    • Topics: Annuities>Variable annuities; Finance & Investments>Asset liability management
  • The Possible Effects of Negative Interest Rates on the U.S. Life Insurance Industry
    outcomes. Another impact to consider is the valuation and credit rating of underlying investments. ... would need to review their enterprise reporting, valuation and admin- istration systems for both assets and ...

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    • Authors: Simpa Baiye, Richard de Haan
    • Date: Jun 2017
    • Competency: External Forces & Industry Knowledge>External forces and business performance; Strategic Insight and Integration>Big picture view; Strategic Insight and Integration>Strategy development
    • Publication Name: Product Matters!
    • Topics: Finance & Investments>Asset liability management; Finance & Investments>Portfolio management - Finance & Investments
  • The Growing Demand for More Robust Economic Scenario Generators
    through the use of an ESG in- clude life liability valuation, effective duration analysis, stress testing ... parameterization process. Market-consistent valuation applications require ESGs to be ca- pable of generating ...

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    • Authors: Ken Griffin, Hal Warren Pedersen
    • Date: Aug 2016
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Problem analysis and definition
    • Publication Name: Risks & Rewards
    • Topics: Finance & Investments>Asset liability management
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