2025 SOA ImpACT Conference:Session 6I: Derivative Strategies for Hedging Insurance Liabilities-11.05.25 Recording

Insurance is ranked the top industry for using derivatives to hedge financial risks. Life insurance, annuities, and pensions are primary users of hedges within the insurance industry, made even more important today as world populations generally live longer. Because selected derivatives can be expensive or reduce hedge effectiveness, it is important for actuaries to understand the tradeoff between derivative costs and the corresponding hedge effectiveness that different derivative strategies can offer. This session aims to educate actuaries of the spectrum of available derivative strategy tradeoffs that can be used to support hedge strategies. Various examples of derivative strategies applied to common hedge strategies such as Delta, Gamma, Rho, and Vega hedges will be presented to clarify tradeoffs. The audience will learn recommended derivative trading strategies to achieve derivative cost/hedge effectiveness targets from actuaries with a broad range of derivative trading experience ranging from institutional hedging to individual speculators. This deep dive session is intended to complement two SOA PD Edge+ hedging courses to be released during 2025: - Actuarial Hedging Basics - Advanced Actuarial Hedging This session also provides additional detailed support for material originally presented in the 2024 SOA ImpACT session titled 'Dynamic Hedge Modeling using ML'