Description: The speaker will share his insights into the hedging challenges faced by FIA and VA business in the current market environment.

Description: In session 8PD of the New York Annual Meeting the panel discussion focuses on a range of problems encountered in managing a book of derivatives supporting an existing equity-indexed portfolio. From the Record of the Society of Actuaries, Vol. 24, No. 3.

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: ASU 2018-12 introduced a new concept called “market risk benefits” (MRBs). MRBs are a new accounting classification for benefits within deposit contracts, offering protection from “other than nominal market risk.” This applies to products with account values, including variable and indexed annuities with guaranteed living or death benefits attached (aka GMxBs). ASU 2018-12 Section 944-40-30-19D mentions both a non-option and an option-based valuation approach to account for MRBs. This article considers the option-based approach. The purpose is to highlight weaknesses in the current application of the option approach to MRBs, propose an alternative method, and consider the benefits of the new approach. The intent of this article is to persuade practictioners / actuaries / accountants that this is a better approach for applying the fair value option method to market risk benefits.

Description: 1996 Valuation Actuary Symposium. This session about equity-indexed annuities addressed product designs, reserving issues, accounting issues, and cash-flow testing issues.

Description: There will be no easy resolution to the current trade friction between the U.S. and China. If anything, the motivations for increasing protectionism are set to intensify. What are these motivations? Where is this trade war headed? And what impact could this have on economies and financial markets?

Description: 1999 Valuation Actuary Symposium, Los Angeles. This session focused on how the industry has responded to the financial management challenges associated with Equity-Indexed products. Topics included: 1. Investment hedging and market volatility. 2. Product modeling. 3. Participation rate competition. 4. Product evolution. 5. GAAP for Derivatives - FAS 133.

Description: This session at the SOA 1998 Maui I Spring Meeting presents an overview of equity-indexed product features and discusses related regulatory issues with respect to illustrations, nonforfeiture benefits and reserving.

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.