Description: Describes the construction of the CBOE's VIX index. Shows mathematically how the variance of investment returns is reflected in the price of the index. Provides a rational explanation of technical factors that lead the index to perform inconsistently with market sentiment. Highly relevant for any hedger seeking to use the VIX index.

Description: First, the presenters will discuss long term asset mix for an insurance company. Many people attempt to find a perfect solution. Unlike tactical calls on the trading floor, a good strategic asset allocation analysis oftentimes requires the understanding the company's liability and a good long term view of the economy. Many challenging issues arise during this analysis: Best method or metric to determine the optimal asset allocation strategy, alignment with risk tolerance, variation for inforce versus new business, asset classes and derivative instruments available and fit into the modeling exercise. We will attempt to answer these questions by comparing a few popular measures in an Efficient Frontier Analysis. Second, the presenters will cover derivative from a practitioner's point of view. Derivatives are perceived as complex, risky investment vehicles from the public. However, derivatives are commonly used in various areas. Hedging is always a common topic in management discussion. Actuaries should keep current on this important topic. We will provide an overview on the current usage of derivatives in insurance companies. They will also touch on how derivatives are used in product development, the ongoing changes in the derivatives regulation and challenges faced by insurance companies from the practitioner's perspective.