Education and Research Session at the Life Spring SOA Meeting

  • Thursday, May 25
  • 8:00 a.m. – 9:30 a.m.
Mary R. Hardy
Mary R. Hardy, Chris K. Madsen
Experience required:


Participate in this session to learn the essentials and applications of option pricing via a discussion and small follow–on case studies.

Option pricing has become a critical technology in many areas of insurance practice. Variable annuities are among the latest high profile areas in which option pricing is of enormous practical importance. Our experts will examine:

  • The basics of option pricing: what it is and how it works
  • Basics examples of option pricing including the Black–Scholes formula
  • The relevance of option pricing to the actuarial profession
  • The role of option pricing in the design, pricing, and risk management of insurance products

The case studies used in the session will include a variable annuity case study dealing with equity risk as well as other concrete applications of the method to actuarial problems of current interest. This teaching session is designed for those who have no prior knowledge of the Black–Scholes model.

Coordinator: Hal Warren Pedersen