Description: With advancement of computing technology and innovative product design, creating dependent and nested stochastic scenarios to accurately predict insurance business has become more feasible and affordable than it used to be. However, can technology and research be accessible, applicable and beneficial to all the stakeholders? Sharing research findings and its validation tools has been our interest and focus, and even a resource-saving strategy. The presenters will share a case study on a segregated fund with hedging strategy. We investigate the reserve calculation for its GMMB in an extensive but simplified stochastic model so that our method is adoptable, applicable and extendable to real-word segregated fund/separate account model. The segregated fund model theory and implementation will be presented and its cash flows will be simulated and analyzed for reserve calculation. Varying parameter assumptions will be tested and to be modified for real-world segregated fund with hedging risk for guaranteed benefits. At the conclusion of the session, attendees will gain basic understanding of and access to: - The option pricing model and its application to the segregated fund (variable annuity's separate account) guarantee - Stochastic scenario generators for the interest rates and equity returns - R-code to program from the scenarios simulations to cash flows of hedging errors - Reserve calculations and its sensitivity to various parameter values and - Comparison of methods to increasing efficiency level and the accuracy

Description: Panelists [1] provide a market update on variable universal life [VUL] and single-premium variable life insurance [SPVLI], and also discuss: [2] new variable-product designs and features, [3] reserves being held for back-loaded variable products, [4] fixed-rate and real-estate investment options, and [5] guaranteed minimum death benefits [GMDBs] under SPVLI policies and single-premium variable annuities, including reserve issues for GMDBs. From the 1988 Record of Society of Actuaries, Vol. 14, No. 4A.

Description: 1999 SOA Annual Meeting, San Francisco. The panelists provided a brief description of the guaranteed benefits offered on Variable Annuities in both the U.S. and Canada, followed by an in-depth comparison of current issues, including risk assessment, reserving, and cash-flow testing.

Description: This session 160 TS of the 2001 SOA Annual Meeting explains Guaranteed minimum income benefits GMIBs, guaranteed minimum accumulation benefits GMABs, guaranteed minimum death benefits GMDBs, and death benefits designed to cover the approximate income tax on the gain in the contract all provide additional protection for the purchaser, but they may also bring added risk to the insurer. From the Record of the Society of Actuaries, Volume 27, No. 3, Session 160TS.

Description: This session from the Washington Spring Meeting provides an update on variable annuity VA riders, including guaranteed minimum death benefits GMDBs, guaranteed minimum income benefits GMIBs, guaranteed minimum accumulation benefits GMABs and guaranteed minimum withdrawal benefits GMWBs. From the Record of the Society of Actuaries, Volume 29, No. 1, Session 21pd.

Description: In session 132 PD of the New York Annual Meeting panelists discuss the content and status of the draft NAIC Actuarial Guideline ZZZ and the work of the AAA Task Force on Variable Products with Guaranteed Living Benefits. The Black-Scholes option pricing method is also covered. From the Record of the Society of Actuaries, Vol. 24, No. 3.

Description: 1994 SOA Spring Meeting, San Francisco. In this session about annuities, topics discussed included product design, regulatory, marketplace, compensation, and pricing issues.

Description: This session from the 1995 SOA Boston Meeting provides an update on developments in the fixed, variable and market-value-adjusted annuity markets, including product trends such as compensation, bailouts, guaranties, return-of-premium benefit and roll-up benefit. From the Record of the Society of Actuaries, Vol. 21, No. 4b.

Description: In session 85OF of the Montreal Spring Meeting panelists discuss reserving requirements, methods, and risks associated with offering Guaranteed Minimum Death Benefits GMBD on variable annuities. From the Record of the Society of Actuaries, Vol. 23, No. 2.

Description: 2004 SOA Annual Meeting and Exhibit, New York. This session is about pricing life and VA products with untested new features in an uncertain environment.