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Session 04: From What If to How To: Reserving for GMMB with Open Source Research, Collaboration, R Codes and High Performance Computing
financiers (AMF) A SCENARIO REDUCTION ALGORITHM FOR A DYNAMIC HEDGING MODEL OF GMMB GUARANTEES 2019 SOA Life ... scenario reduction has not been considered for dynamic hedging models for GMMB in the literature.- Authors: John McGarry, Chin-Mei Chueh, Emmanuel Hamel
- Date: May 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Guaranteed living benefits; Annuities>Variable annuities
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A Tale of Two Risk Management Strategies: Risk Measure Based
Value-at-Risk(VaR) and Tail- Value-at-Risk(TVaR), etc; (2) dynamic hedging. The latter is increasingly more popular ... cost-saving alternative to the common practice of dynamic hedging of gross liabilities. The finding of this ...- Authors: Bingji Yi, Runhuan Feng
- Date: Apr 2018
- Competency: External Forces & Industry Knowledge
- Topics: Annuities>Guaranteed living benefits; Annuities>Variable annuities; Life Insurance
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The Volatility Regime
The Volatility Regime This article provides background on managed target volatility funds ... than $5 billion. For example, the Barclays U.S. Dynamic Balance II Index, which has been a crediting strategy ...- Authors: Marie-Laure Chandumont
- Date: Feb 2016
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: The Actuary Magazine
- Topics: Annuities>Guaranteed living benefits; Annuities>Product development - Annuities; Annuities>Variable annuities
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Global Variable Annuity Relected in New Zealand Product Design
Global Variable Annuity Relected in New Zealand Product Design New Zealand is about to launch its ... a phased introduction of solvency credits for dynamic hedging. As there was no local experience, we ...- Authors: Murray Alan Hilder, Ralph Stewart
- Date: Jan 2016
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: International News
- Topics: Annuities>Capital - Annuities; Annuities>Guaranteed living benefits; Annuities>Individual annuities; Annuities>Investment strategy - Annuities; Annuities>Marketing and distribution - Annuities; Annuities>Policyholder behavior - Annuities; Annuities>Pricing - Annuities; Annuities>Reserves - Annuities; Annuities>Product development - Annuities; Annuities>Variable annuities; Finance & Investments>Asset allocation; Finance & Investments>Asset liability management; Finance & Investments>Derivatives; Finance & Investments>Investment policy; Finance & Investments>Investments
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Guaranteed Minimum Withdrawal Benefit in Variable Annuities
the same entry age. • No lapses, no deaths, no dynamic behavior. 9 Pricing a Simple GMWB 0 0.005 ... affects the cost of GMWB in the real world. • Dynamic GMWB utilization Possible influencing factors: ...- Authors: Yan Liu
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Annuities>Guaranteed living benefits; Annuities>Pricing - Annuities; Annuities>Variable annuities
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Hedging Variable Annuity Guarantees: A Practical Discussion
issues you have to deal with. Are you going to do dynamic hedging or static hedging? The breadth of hedge ... probably not the right answer. Nor is a completely dynamic hedging strategy that is only hedging the immediate ...- Authors: Zafar Rashid, Francis Sabatini, Application Administrator, Daniel D Heyer, Mark Evans
- Date: Jun 2004
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Guaranteed living benefits; Annuities>Variable annuities; Finance & Investments>Risk measurement - Finance & Investments; Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]; Modeling & Statistical Methods>Stochastic models