Agenda Day 1

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Presenter(s): Shachar Gonen, Moody’s

This session will provide the audience with an overview of the evolution of equity-based guarantees (e.g., VA, FIA etc.) over the last few years. It will also discuss the current lay of land as it relates to the regulatory, issues, capital markets (e.g., Department of Labor, Dodd-Frank) environment in which these products are offered from the viewpoint of a ratings agency.

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Presenter(s): Anshul Pradhan, Barclays

Global bond markets are priced for a moderate growth environment with subdued inflation as far as the eye can see. With the U.S. elections behind us, how smooth the handoff is from monetary to fiscal policy will be key for markets. Further, with the business cycle already in the eighth year, the risk of a downturn cannot be ignored.

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Presenter(s): Taras Klymchuk, Citigroup

The speaker of this session will provide an overview of the risk-management approaches and instruments utilized by insurance carriers to hedge risks embedded in market-linked insurance products and discuss how recent and upcoming regulations have been morphing this landscape.

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Presenter(s): Pawel Konieczny, Numerix

The speaker of this session will discuss some common difficulties one encounters when dealing with exotic equity linked derivatives. In particular, a study of a Monthly Sum Cap (MSC) will be presented. Pricing issues, along with dynamic hedging, as well as projections of MSC into the future will also be discussed. Time permitting, some aspects of historical performance will also be addressed

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Presenter(s): Karthik Yadatore, Milliman; Adam Olive and Bryan Pinsky, AIG Life and Retirement

This session will discuss various pricing and valuation related issues faced by insurance companies underwriting equity linked insurance guarantee products (e.g. FIAs, IULs, VULs etc.) that are not variable annuities. In particular, the talk is expected to touch on topics like reserving, quantification of policyholder behavior and other relevant pricing/valuation issues.

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Presenter(s): Rocky Fishman, Deutsche Bank

The speaker of this session will provide a bottom up analysis and categorization of the $200 billion of volatility control funds related investments while recapping volatility control fund trading around volatility spikes (including Aug. 2015 and June 2016). The assessment of potential market impact of the volatility control funds' rebalancing activity will also be discussed.

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Presenter(s): Jon Spiegel, Deutsche Bank

The speaker of this session will present a framework for comparing the efficacy of listed and target volatility options for hedged managed volatility portfolios. In addition, he will also discuss OTC instruments that can be tactically traded to hedge the VA guarantees.

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Presentation(s): View Tim Paris' Presentation View Gordon Klein's Presentation

Presenter(s): Tim Paris, Ruark Advisors; Gordon Klein, Transamerica

Policyholder behavior has returned to the headlines in 2016, with experience varying from prior assumptions. At this session, we will discuss major themes in policyholder behavior changes based on industry data since 2008, techniques for the development of industry benchmarking and predictive models for these behaviors, as well as customization for company-level applications.

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Presenter(s): Trevor Howes, GGY Axis; Aubrey Clayton, Moody’s Analytics

With increasingly complex products, risks and hedging strategies, company management, regulators and key stakeholders are demanding advanced modeling of equity linked portfolios including the realistic projection of earnings and capital over best estimate future scenarios and with stresses. When these projections include the simulation of dynamic hedging strategies, double and triple nested stochastic modeling may result, with exponentially greater need for IT resources and time to complete. The use of technology and approximation methods will be discussed in this context.

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Presenter(s): Aaron Sarfatti, Oliver Wyman

The speakers of this session will discuss the substance of and rationale behind the proposed revisions to variable annuity reserve and capital rules, as well as provide an industry perspective on the anticipated impact of the revisions on new business prospects and VA risk/capital management. Topics addressed in this session include overview of most substantive changes to the VA capital rules, motivations/objectives for the proposed revisions, anticipated impact on VA products and capital management practices

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