Description: This paper builds a model that quantifies the natural hedging benefits of a portfolio of both variable annuities and equity indexed annuities. The model is based on risk-neutral option pricing theory and risk-adjusted performance measure, RAPM. Through a double-tier simulation framework, an optimum product mixture of those two contracts is achieved that provides the best RAPM and therefore deploys capital the most efficiently. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: Review the Bermuda Monetary Authority's Consultation Paper I and focus on required changes to governance, risk management, modeling, lapse risk, filing requirements, model governance and more.

Description: The proposed revisions to the variable annuity statutory framework and the FASB targeted improvement for long duration contract, motivate life insurance companies to re-evaluate their hedging strategy. Recently proposed revisions of AG 43/VM-21 and C3 Phase II, reward companies that have a clearly defined hedging strategy, if the companies can demonstrate that the valuation model and capital model can estimate real hedge performance accurately. The speakers of this session will discuss the hedging implication of the proposed AG 43/VM-21 and C3 Phase II framework. Additionally, methodology computational requirements, back-testing results under different economic scenarios and the resulting hedge credits of different hedging strategies will be compared, including explicit dynamic hedge and implicit dynamic hedge. The speakers will also touch on the impact of rebalance frequency on the performance of dynamic hedge. Case studies will be presented to provide guidance on practical implementation.

Description: Discover investing trends across the life and health industry as insurers seek to navigate rapidly changing rate and market environments. BlackRock will present results from its Peer Risk Study, which models industry holdings based on statutory filings at the CUSIP level. Through the Aladdin risk modeling software, expect a production of deep insights into insurer portfolio risk and return characteristics, as well as exploring how they have evolved. Keep an eye out for a partner to present on the evolution from their perspective. Start learning about what is happening on the asset side of the balance sheet across the industry.

Description: Come discuss modeling costs and its governance, as well as introduce some platforms for more granular asset modeling.

Description: Come discuss how reinsurers can work side by side with insurer to better develop products, and lift in the areas that reinsurers have more experience, help matching products with distributions (or vice versa) and provide advanced technologies associated with tools and software. The speakers will also present Direct to Consumer plan from various points of view, i.e., distributors, carriers, and reinsurers. Some case studies will also be presented where traditional reinsurers and asset-intensive reinsurers helped insurers bring products to life.

Description: Look beyond traditional reinsurance arrangements. Strategically crafted reinsurance structures can support new business and achieve a wide range of risk management and financial objectives. Consider creative ways to look holistically at your business to develop the most effective solutions. Combine in-force and new business? Yes! Individual and group? Of course. Multiple product types? That can work! Whether you are trying to free up capital, address an underperforming block or venture into a new line of business, there are reinsurance structures that can help. Look at a virtual case study with a panel of experts and consider the options for selecting and structuring a reinsurance transaction. View key elements such as scale, composition and market appetites. Look at a variety of products including life, annuity, PRT and long-term care. The panel includes representation from a carrier, a reinsurer and a reinsurance broker. Get the opportunity to weigh in on decision points using online polling software, whether in person or virtual.

Description: Gather with members and non-members in the China actuarial community to discuss recent topics and related issues in areas such as macroeconomic sharing, pension, investment, product strategy, and more.

Description: Regulatory change and increased focus on internal risk management are driving a renewed interest in model efficiency. In this session, we will review several new and existing tools, that show significant promise for advanced modeling of equity linked products. These include: • Clustering • Use of unique--and potentially a different number of--scenarios for each policy • Semi Monte Carlo (SMC) – this is a proprietary technique that is similar to a combination of Monte Carlo and numeric integration • Using a neural network approach to optimize some of the more complex and manual aspects of clustering and improve the fit of the clustered model • Combining SMC with the use of unique scenarios per policy

Description: Retirees will face the societal issue of inadequate savings with likely insufficient time to rectify the situation. They need immediate growth, but also the disciplines of risk management. They typically do not know how to engage with these two aspects in a harmonious manner on their own. Insurance companies are in the business of providing the solution but regulators have been clamping down in favor of simpler and more transparent products. In addition, the market reality over the last decade has been that insurers have stock betas at a multiple to the general markets with PE ratios well below. A panel of senior professionals from writers of retirement product business will present their vision of how the insurance industry can address the above dilemma, including the risks underlying the writing of the business, impact of financial markets, and regulations in the development of the business.