Description: From a panel discussion session at the 2000 Valuation Actuary Symposium held in Washington DC, September 14-15, 2000 Overview of New York Regulation 163, including the limits on different types of derivative activities, the Derivative Use Plan required by New York, and the reporting and control requirements.

Description: Article discusses possible effects of negative interest rates on product development, risk management, investment management and in-force management.

Description: Insurance companies use derivatives to manage and mitigate risks that are inherent in their investment or liability portfolios, including traditional asset/liability matching, dynamic hedging and static hedging. The authors explore how Solvency II will influence life insurers’ hedging strategies.

Description: This is the abstract of the paper A Space Marching Finite Difference Algorithm for Valuing American. In this paper, the author considers the problem of valuating American options written on assets that pay continuous dividends with unknown optimal exercise boundary. The numerical solution of the associated free boundary value problem is investigated. This research has been partialy supported by the actuarial faculty fund at the Ohio State University.

Description: The session from the 1995 SOA New York City Meeting discusses derivatives, policy, controls, compliance, reporting and demonstrates how to implement systems that track performance and ensure that the correct type and amount of derivatives are in place. From the Record of the Society of Actuaries, Vol. 21, No. 2.

Description: Presentation discussing modeling of daily and hourly rainfall, both occurrence and amount. These distributions would be needed to price derivative or insurance contracts involving rainfall amounts.

Description: New Zealand is about to launch its first variable annuity with guaranteed lifetime withdrawal benefits. The product design is mindful of the lessons from the financial crisis in the United States, Europe and Japan.

Description: This article outlines the IRS directive published in July 2014, which provides a safe harbor treatment for variable annuity hedging gains and losses relating to VA contracts issued before Dec. 31, 2009.

Description: The bank’s customers viz. non-bank company often get into various kinds of derivative transactions with a bank or some other non-bank company in order to cover or hedge against the unwanted exposure to volatility in interest rates, currency rates or some other underlying rate. A non-bank company defaults when the situation goes unfavorable enough for it to have no other alternative this cascades the impact to many other non-bank companies and banks. I take forward the opinion that non-bank company defaults are more likely than those by a bank in a derivative contract. This risk in the risk management approach using derivatives can be reduced through the derivatives framework proposed in this paper. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: This session from the 1984 SOA Atlanta Meeting is a teaching session of options and futures and discusses the basics of options and futures, hedging risks, the difference between hedging and arbitrage, taxation and representing policy features in terms of options.