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Fixed Indexed Annuity Fair Value Quantification and Valuation
different levels of required pricing spreads. Dynamic lapse is also important risk to reflect in FIA ... will have a higher incentive to lapse the policy. Dynamic lapse rate varies across different simulated interest ...- Authors: Tao Wang ASA,MAAA , Peter M Phillips
- Date: Feb 2022
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Financial Reporting & Accounting; Financial Reporting & Accounting>Fair value accounting
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Dynamic Index Market Overview
Dynamic Index Market Overview Representing a large indexed annuity writer, the speakers will discuss ...- Authors: Brandon Igyarto
- 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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VA Reform – Implications on ALM
VA Reform – Implications on ALM The NAIC has adopted revised VM-21 and AG43 for variable annuities, ... guarantees• Typically a two-Greek or three-Greek dynamic replication program 2 Partial economic • Similar ...- 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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From Theory to Practice: FIA Index Crediting Hedging
From Theory to Practice: FIA Index Crediting Hedging Representing a large indexed annuity ... Purchasing static options from a counterparty and/or 2. Dynamic hedging of underlying exposures 5 Focus of this ...- Authors: Alexander B Hookway
- 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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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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Future Greeks Without Nested Stochastics – A Neural Network Approach
works on a portfolio of options. • We expected dynamic actuarial assumptions can be handled as well. ... requirement of data input. • Ability to explicitly dynamic hedge to statutory capital. • Cons • Reproducibility ...- Authors: Yu Feng FSA,MAAA (Yu)
- Date: Oct 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; 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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Managed Strategies
terms in the marketplace Allocation based: dynamic allocation, multi-strategy, multi-asset, risk parity ... Most risk managed funds employ some form of dynamic allocation between risky and less risky assets ...- 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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VA Guarantee Reinsurance Market Status
VA Guarantee Reinsurance Market Status Reinsurance has been available for VA Guarantees for over ... Correlation Hedge program – inherent risks Dynamic “buy high / sell low” – balance overtrading vs ...- Authors: Ari Linder
- 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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Behavioral Analytics and Inforce Management for Annuities
Behavioral Analytics and Inforce Management for Annuities This session will explore several ... systematically altered their operations: created dynamic hedging programs, inforce performance monitoring ...- Authors: Stephen J Gruber
- Date: Nov 2018
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities
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Market Trends
Market Trends This session will provide an overview of the evolution of equity-based ... intersections between talent, assets and ideas – the dynamic formula that drives business performance. Together ...- 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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Hedging of Equity Risks: An Overview
Hedging of Equity Risks: An Overview The presentation will outline the different possibilities insurance ... hedge funds, etc.) unlike the substantially more dynamic and complicated VA risks Easily manageable ...- Authors: Sebastian Lutz
- 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
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Dynamic Assumption-Setting for Variable and Non- Variable Annuities—Part 2
Dynamic Assumption-Setting for Variable and Non- Variable Annuities—Part 2 Proposes an approach to develop ... develop dynamic assumptions for living benefits using a combination of available experience data and ...- Authors: Marianne C Purushotham, Mark Birdsall
- Date: Mar 2017
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: The Financial Reporter
- Topics: Annuities>Capital - Annuities; Annuities>Equity-indexed annuities; Annuities>Expenses - Annuities; Annuities>Fixed annuities; Annuities>Group plans - Annuities
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Efficient VA Hedging Instruments for Target Volatility Portfolios
equity scenarios (“equal crash protection”) Dynamic Adjustment: Compare TV put to scaled vanilla put ... Volatility Puts vs. Vanillas SPXT10UT 6m 95%; Dynamic Adjustment Average Price and Payoff by Trade ...- Authors: Society of Actuaries, Jon Spiegel
- Date: Nov 2016
- Competency: Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities; Pensions & Retirement>Risk management
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A Study of Exotic Equity-linked Guarantees: Pricing, Projections, Hedging, and Performance
A Study of Exotic Equity-linked Guarantees: Pricing, Projections, Hedging, and Performance The ... will be presented. Pricing issues, along with dynamic hedging, as well as projections of MSC into the ...- Authors: Pawel Konieczny
- Date: Nov 2016
- 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; Pensions & Retirement>Risk management
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Rethinking Fixed Deferred Annuities: Applying a Risk-Based Economic Value Approach
Most insurers’ models already incorporate dynamic policyholder behavior, with the decision to surrender ... coding the dynamic policyholder behavior. Consequently, insurers may need to test their dynamic policyholder ...- Authors: Dominique Lebel, Noel Harewood, Mark Scanlon
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Annuities>Fixed annuities; Finance & Investments>Economic value
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Rising Interest Rates: How Big a Threat?
Rising Interest Rates: How Big a Threat? This article discusses the impact of rising interest ... rise in new- money rates will quickly change this dynamic. The fact that significant portions of an insurer’s ...- Authors: Francis Sabatini
- Date: Nov 2004
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration
- Publication Name: Risk Management
- Topics: Annuities>Fixed annuities; Finance & Investments
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What's New and Exciting with Fixed Annuities?
What's New and Exciting with Fixed Annuities? 2004 SOA Annual Meeting and Exhibit, ... The regulatory and economic environments remain dynamic, putting pressure on the product development actuary ...- Authors: Abraham Gootzeit, Richard Tucker, Eric Carlson, Dale Humphrey
- Date: Oct 2004
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Fixed annuities; Reinsurance
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Recent Developments in the Annuity World
The annuity marketplace continues tooperate in a dynamic environmentthat is impacted by demographic, strategic ... manage- ment approach for GLBs from reinsurance to dynamic hedging. Most of the top 20 variable annuity carriers ...- Authors: Timothy Pfeifer
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Product Matters!
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Payout annuities; Annuities>Variable annuities
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SPDA Spread Management In A Rising Rate Environment
to define the necessary research relating to dynamic solvency testing wcre jointly awarded to Allan ... plan to have a report by mid-summcr 1994. l A dynamic solvency testing project on the historical perspec- ...- Authors: Prakash A Shimpi, Joseph Koltisko
- Date: Jun 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Annuities>Fixed annuities
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Source of Earnings Analysis for Flexible Premium and Interest-Sensitive Life and Annuity Products
interest-sensitive life and annuity products, because of the dynamic nature of the nontraditional products. This paper ... Sys- tem" (TSA XXIII (1971):391). However, the dynamic aspects of flexible premium and interest-sensitive ...- Authors: Robert Stein, Joseph H Tan
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Annuities>Fixed annuities; Enterprise Risk Management>Financial management; Life Insurance>Universal life
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Trends in Annuity Product Design
Trends in Annuity Product Design Discusses the ways in which insurers can position themselves ... includes guaranteed interest, in excess of the dynamic valuation rate, and additional nondeductible amounts ...- Authors: Ann Kallus, Donald R Sondergeld, Dan Spafford, Grant A Somerville, Michael Winterfield
- Date: May 1988
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Fixed annuities; Annuities>Marketing and distribution - Annuities; Annuities>Variable annuities
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Current Annuity Topics
Current Annuity Topics This session from the 1983 SOA Spring Meeting reviews trends in annuity ... valuation interest rate which we could use under the dynamic law was 13_%, I Just did not feel that I could ...- Authors: John M Lenser, Thomas J Mitchell, Catherine R Turner, Trevor Walke, Michael Winterfield
- Date: Apr 1983
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Fixed annuities
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The Future of Single Premium Life Insurance and Annuities
The Future of Single Premium Life Insurance and Annuities This panel discussion is about the ... mortality standards. Either or both may be on a dynamic basis within a few years. Some consistency will ...- Authors: John Fritz, Burnett A Halstead, D Ted Steven, James A Tilley
- Date: Apr 1980
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Fixed annuities; Life Insurance>Whole life