Description: Representing a large indexed annuity writer, the speakers will discuss the growth and evolution of the market for index annuity products. Moreover, the challenges that growth has introduced and how those challenges are being met. While much of the market consists of simple, accumulation-oriented S&P 500 based strategies with 0% return floors, a significant portion of industry sales come from more complex products with highly customized index strategies and other features, such as living benefit guarantees. Attendees will gain a broad understanding of the indexed annuity market, product and features, operational difficulties in risk management arising from product design, and how actuarial and hedge professionals are managing these issues.

Description: A look back over 20 years to see how product topics of the day have changed and remained the same.

Description: The NAIC has adopted revised VM-21 and AG43 for variable annuities, effective Jan. 1, 2020. The panel of presenters will provide background and an overview of the revisions, discuss detailed aspects of the new CTE Amount Standard Projection and prescribed assumptions, as well as discuss implementation considerations and the implications to hedging. In addition, the panelists will share progress on VM-23, principle-based reserves for non-variable annuities.

Description: This paper first derives the fair participation rate based on a fair value of the equity-indexed annuity EIA. Then using risk measures, a new participation rate is obtained, based on the tail loading of the hedging error distribution. Risk management strategies reducing risk related to the hedging error are also presented. A detailed numerical analysis is performed for a point-to-point EIA.

Description: This article explores the effectiveness of hedging delta and rho of equity options. This provides insight into the frequency and severity of losses due to not hedging volatility risk or other higher order risks. 10yr-equity put option strategies were chosen to represent the risk of hedging guaranteed benefits attached to variable annuities, while 1-yr put and call strategies were modeled to investigate the risk of hedging equity index interest credited to fixed indexed annuities. In both cases, the value of the option was compared to the value of delta/rho hedges in the tail of both actual historical and simulated scenarios for equity returns and volatilities. The historical path of interest rates and equities was generally used to highlight the hedge impact for different implied volatility assumptions in each example.

Description: This article summarizes some of the areas of concern in developing equity-indexed annuities for small companies.

Description: This session at the 1998 Valuation Actuary Symposium discusses the modeling of equity-indexed annuities including the assets and derivatives associated with the annuities.

Description: 1998 Valuation Actuary Symposium. In this teaching session on Equity-Indexed Annuities, the panelists discussed the background and techniques of the NAIC's Guideline ZZZ, what must be done, the market-value-based methods, the book-value method, and ideas regarding making the best overall choice among the methods.

Description: 1999 SOA Annual Meeting, San Francisco. This panel discussion dealt with several new product types and the accounting profession's efforts to provide guidance. The five product types below do not fit neatly into the rules set forth in Statement of Financial Accounting Standards 50 and 97: 1. Variable annuities with guaranteed living benefits. 2. Equity-indexed products. 3. Market-value-adjusted annuities. 4. Annuities with a front-end bonus feature. 5. Investment contracts with no significant source of profit other than interest spread.

Description: Discussion of NAIC efforts to amend the annuity nonforfeiture laws to respond to falling interest rates.