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VA Reform – Implications on ALM
follow federal law. The Sherman Act, is the primary U.S. antitrust law pertaining to association activities ... typical E factor M or e se ns iti ve Le ss s en si tiv e GAAP FAS 157 reserve STAT funding ...- Authors: Peter Tian
- Date: Nov 2019
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities
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Semi Monte Carlo – A New Variance Reduction Method
principal component(s) – Use numeric integration to find nodes for principal component(s) – Use MC conditional ... within a realistic block of approximately 6,000 annuity policies » Hull White and Lognormal Risk - Neutral ...- Authors: Andrey Marchenko
- Date: Oct 2019
- Competency: Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities; Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities; Enterprise Risk Management
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Managed Strategies
crisis Volatility Control indices launched (e.g. S&P 500 Daily Risk Control 10% Index) 2011: Volatility ... 10% 20% = 50% Remainder invested in cash for S&P 500 Daily Risk Control Index Variations can use ...- Authors: Marshall C Greenbaum
- Date: Nov 2018
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities; Enterprise Risk Management
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An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial crisis of the late-2000s
Overview of data and models • Data: log-returns on the S&P 500 Total Return Index – Period: February 1956 ... in-the-money • The worst cumulative returns on the S&P 500 (TR) on a horizon of 10 years or less generally ...- Authors: Mathieu Boudreault, Maciej Augustyniak
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Variable annuities; Finance & Investments
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Lessons Learned – A Risk Perspective
is Systematic • GMDBs were the first widespread annuity guarantee, beginning in the 1990s. – Performance ... your trigger diversification disappears while mortality marches on with certainty. – In a protracted ...- Authors: Daniel D Heyer
- Date: Nov 2019
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities; Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities; Pensions & Retirement>Risk management
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An Alternative Option-Based Approach to Calculating MRBs
OPTION-BASED APPROACH Consider a xed indexed annuity (FIA), with money invested in both indexed and ... caps on an FIA, or higher M&E fees on a variable annuity (VA). 2. Another choice: At transition, a company ...- Authors: John Adduci
- Date: Dec 2019
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: The Financial Reporter
- Topics: Annuities; Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Guaranteed living benefits; Annuities>Reserves - Annuities; Annuities>Variable annuities; Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]; Annuities>Living / Death benefit riders
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Market Trends
willistowerswatson.com Annuity Regulation for Example Current Annuity Regulation categories Product ... willistowerswatson.com Other Regulatory Market Drivers Annuity Reserving Working Group Evaluating a PBR method ...- Authors: Society of Actuaries, Matthew Coleman
- Date: Nov 2017
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities
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Gimmel: Second Order Effect of Dynamic Policyholder Behavior on Insurance Products with Embedded Options
fact that the embedded derivative in a variable annuity contract is in effect a put option on a put option ... at charles.gilbert@nexusrisk.com. R I S K R E S P O N S E Risk management | MARCH 2010 | 25 ...- Authors: David Ross, Charles L Gilbert, John Wiesner
- Date: Mar 2010
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities>Variable annuities; Enterprise Risk Management
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Implementing Risk Appetite for Variable Annuities
company’s risk appetite statement for a variable annuity product. A company’s unique risk profile changes ... define the risk capital allocated to the variable annuity business by risk class. Risk capital is typically ...- Authors: Nicholas Jacobi
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Variable annuities; Enterprise Risk Management
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Behavioral Analytics for Annuities
Behavioral ... 70-79 60-64 65-69 80+ Guarantees can affect mortality too 18 0% 150% 1 2 3 4 5 6 7 8 9 10 % o ... lit y T ab le Duration GMDB only GLWB Mortality effects are amplified by policy size 19 0% ...- Authors: Timothy S Paris
- Date: Oct 2017
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities