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Embedded Volatility: Insight from Market Risk Benefit Roll-Forward
Embedded Volatility: Insight from Market Risk Benefit Roll-Forward In this article, we collected ... they fit perfectly, the market-traded static and dynamic hedge programs introduce cost by removing inherent ...- Authors: Su Su, Tina Guo, Yifeng Mu, Robert E Winawer
- Date: Nov 2023
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Financial Reporter
- Topics: Annuities; Financial Reporting & Accounting; Financial Reporting & Accounting>Fair value accounting; Financial Reporting & Accounting>Financial Accounting Standards Board [FASB]; Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]
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RILA GLWB Designs and Market Risk Analysis
assumptions for utilization of rider benefits and dynamic surrenders; profitability will vary if behavior ... strategies should consider other methods, such as dynamic hedging (e.g., as seen on traditional variable ...- Authors: Matthew Kevin Heaphy, Nicholas Carbo, David J Elliott
- Date: May 2023
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Product Matters!
- Topics: Annuities; Annuities>Equity-indexed annuities; Annuities>Guaranteed living benefits; Modeling & Statistical Methods; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models; Annuities>Deferred annuities; Annuities>Living / Death benefit riders
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Pricing for Sparse Data
Pricing for Sparse Data While our ability to access and analyze large quantities of data is ... Comments 1 Policyholder behavior • Lapses and dynamic lapses – Risk of higher / lower lapses when option ...- Authors: Timothy S Paris, Andy Samuel King
- Date: May 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Annuities>Variable annuities; Experience Studies & Data; Experience Studies & Data>Policyholder or participant behavior - Experience
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Lessons Learned – A Risk Perspective
benefit value. • Natural hedge instruments. • Dynamic hedging is highly effective. GLWB • Equity-contingent ... hedge instruments. • Convexity and cross limit dynamic hedge effectiveness. Lesson 3 Complex products ...- 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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Policyholder Behavior Experience Data and Modeling
interactions with capital markets risks • Complex and dynamic data • Data sparsity, especially at the company ... channels, option values, rationality, static vs dynamic Required sensitivity testing, with margins inversely ...- Authors: Timothy S Paris
- Date: Nov 2019
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities; Annuities>Capital - Annuities; Annuities>Fixed annuities; Annuities>Individual annuities; Annuities>Variable annuities; Pensions & Retirement>Risk management; Annuities>Deferred annuities
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Dynamic v. Static Replication
Dynamic v. Static Replication The speakers will discuss the replication of long-term options, including ...- Authors: Joshua Dobiac, Jeff Greco, Hyunsu Kim FSA,MAAA (Hyunsu)
- Date: Oct 2019
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities; Enterprise Risk Management
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VA Hedging Strategies Under New AG 43/VM-21 and C2 PII
will be compared, including explicit dynamic hedge and implicit dynamic hedge. The speakers will also touch ... impact of rebalance frequency on the performance of dynamic hedge. Case studies will be presented to provide ...- Authors: Tao Wang ASA,MAAA , Jerry Mao FSA,FCIA,MAAA (Jerry)
- Date: Oct 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; Enterprise Risk Management
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Summary of Risk Management Research on Policyholder Behavior in the Tail Survey
Summary of Risk Management Research on Policyholder Behavior in the Tail Survey Summary of recent ... included sensitivity to mortality, expenses and the dynamic lapse assumption (Figure 3). MAY 2019 RISK ...- Authors: Jeffrey Hartman
- Date: Jun 2019
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities; Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM
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pd-2019-05-las-session-049.pdf
Hedging – Considerations • What’s being hedged ? • Dynamic vs. static hedging • Active vs. passive hedging ... Generally higher at longer tenors • “Base” dynamic behavior • Alternative policyholder behavior ...- Date: Jun 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Finance & Investments
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Session 61: Latest Thoughts on Use of Economic Scenario Generators
Session 61: Latest Thoughts on Use of Economic Scenario Generators The academy generator is now ... Historical Projected Projected MRP (3.5%) The dynamic MRP is a compromise between balancing historical ...- Authors: Hal Warren Pedersen, Matthew Zhang, Daniel Schobel
- Date: Jun 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities
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Session 15: The Science Behind a Successful Retirement
Session 15: The Science Behind a Successful Retirement Through much of the Baby Boomer ... Policyholder behavior • GLWB utilization • Lapses and dynamic lapses Statutory reserves • Correct calculation ...- Authors: Nicholas Carbo, Joshua Chee, Douglas Robbins
- Date: May 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities
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2018-09-product-tax-seminar-boot-camp-presentations
2018-09-product-tax-seminar-boot-camp-presentations The Society of Actuaries are once ... Ongoing compliance with IRC Section 7702 and 7702A is a dynamic process • Automated procedures are a necessity ...- Authors: Society of Actuaries
- Date: Sep 2018
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Annuities; Financial Reporting & Accounting; Life Insurance
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Hedging variable annuities: portfolio rebalancing frequency
the last decade, many insurers have implemented dynamic hedging pro-grams to defend against market risks ... the last decade, many insurers have implemented dynamic hedging programs to defend against market risks ...- Authors: Maciej Augustyniak, Mathieu Boudreault
- Date: Feb 2018
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Annuities
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Diversification Benefits of the Variable Annuities and Equity-Indexed Annuities Mixture
classes respectively. Taking into account mortality and dynamic lapse risk, we build a model that quantifies ... Hardy (2003) offered risk‐neutral pricing and dynamic hedging analyses on VAs. Milevsky analyzed VA ...- Authors: Guanghua Cao
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Enterprise Risk Management
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Guaranteed Annuity Options or a Fine Mess
Guaranteed Annuity Options or a Fine Mess This article discusses the problems created ... representation of the process is required for the dynamic hedge. For the dynamics of the interest rate process ...- Authors: Mary Hardy
- Date: Nov 2004
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities; Global Perspectives
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Interest Rates Are On The Move: Is Your Company Prepared?
appropriately, you're going to have to set up for some dynamic assumptions on these products. Let’s go back to ... all the time, and we help companies set up their dynamic assumptions. We came up with the following formula: ...- Authors: Henry M McMillan, Ross Bowen, David Weinsier
- Date: May 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Finance & Investments; Life Insurance
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Cash-Flow Testing Issues for Equity-Indexed and Variable Products
by no means an easy thing to replicate. Your dynamic hedging strategy should at least delta match the ... as we described earlier. You want to consider dynamic strategies, although they are more difficult ...- Authors: Application Administrator, Alan Downey, Larry M Gorski
- Date: May 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Financial Reporting & Accounting
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Deferred Annuity Modeling Issues
rates stayed level or went down. It's the same dynamic; the question is, how do you define it? Equity ... when it's 50%/50%. The model should also have dynamic lapse and transfer. You must factor in the fact ...- Authors: Meredith Ratajczak, Francis Sabatini
- Date: Sep 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Modeling & Statistical Methods
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Advanced Topics in Annuity Modeling
representative nonlevel scenarios to test the various dynamic elements of the model. Look at whether the crediting ... this -- the base lapse rate and, of course, the dynamic element. Both of these are extremely important ...- Authors: Francis Sabatini, Peter Tilley, Russell Osborn
- Date: Sep 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Modeling & Statistical Methods
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Letters to the National Association of Insurance Commissioners Life/Health Actuarial Task Force Regarding the Development of the New Annuity Non-Forfeiture Law
risk management is cr i t ical in the current dynamic and volati le interest rate environment. The attached ... actuarial exams. In the 1970 and early 1980's, a dynamic interest environment develop=.. widely available ...- Authors: Roger K Wiard-Bauer
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities
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Deferred Annuities
Deferred Annuities This session discussion: Product design, Risks and how to deal with them, Special ... MR. LE FEVRE: The last decade has been one of dynamic change in the annuity business. We have seen: ...- Authors: Arthur V Anderson, Christian J DesRochers, Donna Claire, Application Administrator, Paul H LeFevre
- Date: Apr 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities
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Rear End Loaded Products
Rear End Loaded Products This session from the 1984 SOA Toronto Meeting discusses rear end ... happens. MR. DEPALO: Nonforfeiture laws now allow a dynamic interest rate to raise the guaranteed interest ...- Authors: Dennis Carr, James Glickman, Harold G Ingraham, Gregory J Kaiser, William Schnaer
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Life Insurance
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Nonforfeiture and Valuation Concerns in the 1980's
membership is basically in two parts: One part is the dynamic interest rate and the other part is deemed or conjecturized ... the ACLI release of M_rch 21 which includes the dynamic proposal as well. NONFORFEITURE AND VALUATION ...- Authors: John C Angle, Ardian Gill, Richard S Miller, William K. Nicol
- Date: Apr 1980
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Financial Reporting & Accounting>Statutory accounting; Life Insurance; Public Policy