Description: An overview of guaranteed lifetime withdrawal benefits (GLWB) on registered index-linkedannuity (RILA) products and a stochastic analysis of market risks.

Description: In this article, a numerical comparison of two commonly used FIA valuation methodologies is conducted to help insurers decide on the best methodology to use under GAAP LDTI and VM-22. We compared two modeling approaches to project the future index credits with the annual point-to-point crediting formula: Tthe stochastic equity crediting model and the deterministic option budget crediting model. The analysis is then extended to different levels of option budgets and the monthly average crediting formula. The advantages and disadvantages of the two equity return projecting approaches are also highlighted and will be discussed later in the report.

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: 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: 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: In this session, a company will share its experience on managing risks underlying the equity-linked insurance guarantees and what lessons were learned over these years as it adapted its strategies to suit the current market environment.

Description: The speaker will discuss the training of neural networks to compute future Greeks of liabilities (or options) without the use of nested stochastics.

Description: The proposed revisions to the variable annuity statutory framework and the FASB targeted improvement for long duration contract, motivate life insurance companies to re-evaluate their hedging strategy. Recently proposed revisions of AG 43/VM-21 and C3 Phase II, reward companies that have a clearly defined hedging strategy, if the companies can demonstrate that the valuation model and capital model can estimate real hedge performance accurately. The speakers of this session will discuss the hedging implication of the proposed AG 43/VM-21 and C3 Phase II framework. Additionally, methodology computational requirements, back-testing results under different economic scenarios and the resulting hedge credits of different hedging strategies will be compared, including explicit dynamic hedge and implicit dynamic hedge. The speakers will also touch on the impact of rebalance frequency on the performance of dynamic hedge. Case studies will be presented to provide guidance on practical implementation.

Description: Managed strategies as underlying investments in VA/FIA products have seen spectacular growth since the financial crisis. The speakers of these sessions will share their views on the development of this market and what is expected to unfold over the next 12 months in regard to the next generation of products and fund-based strategies.

Description: Reinsurance has been available for VA Guarantees for over 20 years. During that time, the reinsurance market for VA Guarantees has undergone frequent and sometimes violent transformations. Where does the market stand today? What forms and structures of reinsurance are available? Which VA Guarantee designs and features are easier to reinsure? Is reinsurance offered on both newly issued policies as well as in force/legacy books, and which vintages are difficult to reinsure? In an age of sophisticated hedging programs, what role does a reinsurer play in helping a VA writer manage this highly volatile risk? In this session, we will hear from a reinsurer that is actively writing new VA Guarantee reinsurance treaties in the U.S. and around the world, and from a VA writer that has successfully partnered with a reinsurer to enhance its VA product offering.

Description: This session will explore several critical elements in developing a sustainable and coherent framework to translate complex annuity (VA and FIA) policyholder behavior experience data to assumption models using company- and industry-level data, as well as inforce management techniques to handle related risks.

Description: This session will provide an overview of the evolution of equity-based guarantees (e.g. VA, FIA, etc.) over the last few years and discuss the current lay of the land as it relates to the regulatory, issues, capital markets (e.g. Department of Labor, Dodd-Frank) environment in which these products are offered.

Description: The presentation will outline the different possibilities insurance companies have to hedge their equity risk for the various products.

Description: The speaker of this session will provide a bottom up analysis and categorization of the $200 billion of volatility control funds related investments while recapping volatility control fund trading around volatility spikes (including Aug. 2015 and June 2016). The assessment of potential market impact of the volatility control funds’ rebalancing activity will also be discussed.

Description: The speaker of this session will discuss some common difficulties one encounters when dealing with exotic equity linked derivatives. In particular, a study of a Monthly Sum Cap (MSC) will be presented. Pricing issues, along with dynamic hedging, as well as projections of MSC into the future will also be discussed. Time permitting, some aspects of historical performance will also be addressed

Description: This presentation provided an analysis of investment guarantees in equity-linked products. There was an overview of the data and models in use. In addition an actuarial approach to left-tail analysis was presented as well as a dynamic hedging approach. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: This article discusses a variety of new developments in the annuity market.

Description: 1999 Valuation Actuary Symposium, Los Angeles. This session focused on how the industry has responded to the financial management challenges associated with Equity-Indexed products. Topics included: 1. Investment hedging and market volatility. 2. Product modeling. 3. Participation rate competition. 4. Product evolution. 5. GAAP for Derivatives - FAS 133.

Description: In session 8PD of the New York Annual Meeting the panel discussion focuses on a range of problems encountered in managing a book of derivatives supporting an existing equity-indexed portfolio. From the Record of the Society of Actuaries, Vol. 24, No. 3.

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: This session at the SOA 1998 Maui I Spring Meeting gives an overview of the equity indexed market and discusses the issues associated with managing these products after issue.

Description: This session at the SOA 1998 Maui I Spring Meeting presents an overview of equity-indexed product features and discusses related regulatory issues with respect to illustrations, nonforfeiture benefits and reserving.

Description: 1998 Valuation Actuary Symposium. The panelists discussed product design of Equity Indexed products, interest crediting strategies, investment risks, hedging issues, and internal controls and risk management for companies getting started in the derivatives market.

Description: In session 22 PD of the Montreal Spring Meeting panelists discuss a range of issues relating to equity-indexed annuities EIAs. From the Record of the Society of Actuaries, Vol. 23. Vol 2.