Description: While our ability to access and analyze large quantities of data is better than ever, many long-term products suffer from sparse data in critical risk areas, such as deep in-the-money lapse experience and long-term utilization rates for income guarantees. The presenters will explore industry-level annuity experience data for these types of situations, and discuss quantitative approaches to addressing them in pricing and other applications.

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: An exploration of drivers, cohorts and dynamics for policyholder behavior for VA and FIA based on industry experience data, including changes in recent years and the emergence of long-term data in key areas. We will also discuss critical elements to developing a sustainable and coherent framework to translate this complex experience data into assumption models.

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: With advancement of computing technology and innovative product design, creating dependent and nested stochastic scenarios to accurately predict insurance business has become more feasible and affordable than it used to be. However, can technology and research be accessible, applicable and beneficial to all the stakeholders? Sharing research findings and its validation tools has been our interest and focus, and even a resource-saving strategy. The presenters will share a case study on a segregated fund with hedging strategy. We investigate the reserve calculation for its GMMB in an extensive but simplified stochastic model so that our method is adoptable, applicable and extendable to real-word segregated fund/separate account model. The segregated fund model theory and implementation will be presented and its cash flows will be simulated and analyzed for reserve calculation. Varying parameter assumptions will be tested and to be modified for real-world segregated fund with hedging risk for guaranteed benefits. At the conclusion of the session, attendees will gain basic understanding of and access to: - The option pricing model and its application to the segregated fund (variable annuity's separate account) guarantee - Stochastic scenario generators for the interest rates and equity returns - R-code to program from the scenarios simulations to cash flows of hedging errors - Reserve calculations and its sensitivity to various parameter values and - Comparison of methods to increasing efficiency level and the accuracy

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: Important tools used in property & casualty P&C insurance—predictive modeling and data mining—can be applied to more effectively model policyholder behavior risks in variable annuity VA contracts. In this article, a case study is used to demonstrate how a predictive modeling approach can improve upon traditional methods used to model VA lapse behavior.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This paper starts by defining and discussing the nature of risk and its primary relationship to capital preservation. The paper then continues with a guide for implementing a company’s risk appetite statement for a variable annuity product.

Description: The Policyholder Behavior in the Tail Risk Management Section Working Group issued its fifth survey to gather the range of assumptions actuaries use in pricing, reserving, and risk management of minimum guarantees on Variable Annuity products, such as death benefits, income benefits, withdrawal benefits and maturity benefits.

Description: Description of the increased gamma of the liabilities of a portfolio of variable annuities. Discussion of the sensitivity of gamma due to changes in policyholder behavior.

Description: Current risk management approaches for variable annuity business are not working very well in today's market turmoil.

Description: This article provides the reader with some insights regarding tax planning under the new required methodology.

Description: This is a report on the PBITT Working Group's fourth survey to gather the assumptions actuaries use in pricing, reserving, and risk management of minimum guarantees on Variable Annuity products, such as death benefits, income benefits, withdrawal benefits and maturity benefits.

Description: This article provides an excerpt of the results of a survey on policyholder behavior in the tail with respect to variable annuity guaranteed benefits. GMIB is specifically addressed.

Description: This report provides the results of a VA survey on policyholder behavior in the tail on VA products containing guaranteed minimum benefits.

Description: Competition for space in distribution channels has resulted in a proliferation of exotic options embedded in variable annuity products. This article discusses how this has created a need which can be addressed, in part, by hedging variable annuity guarantees with long-dated equity derivatives.

Description: 2004 SOA Annual Meeting and Exhibit, New York. This discussion looked at individual life insurance and annuity products and the risks these guarantees carry, such as: 1. Extended maturity benefits. 2. Secondary guarantees. 3. Guaranteed insurability. 4. Guaranteed minimum living and death benefits in VA.

Description: 2004 SOA Annual Meeting and Exhibit, New York. This session is about pricing life and VA products with untested new features in an uncertain environment.

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

Description: This session from the 2003 SOA Orlando Meeting discusses the new risk-based capital RBC requirements for variable annuities with guranteed benefits such as guaranteed minimum death benefits - GMDBs and guaranteed minimum income benefits - GMIBs. From the Society of Actuaries Record, Volume 29, No. 3.

Description: 2003 Valuation Actuary Symposium, San Diego, CA. This session provided an update on the current status of the actuarial guidelines on VA death and living benefits, the Academy's work on a non-formulaic, RBC standard and GAAP developments.

Description: 2003 Valuation Actuary Symposium, San Diego, CA. This session provided an overview of current statutory valuation issues pertaining to life and annuity products. Topics included: 1. Actuarial opinion and memorandum regulation amendments. 2. Progress on variable products reserving standards. 3. Regulation XXX mortality factors. 4. Adoption of the 2001 CSO. 5. Progress on the C-3 Phase II RBC project. 6. An update on annuity and life nonforfeiture.

Description: This session from the Washington Spring Meeting provides an update on variable annuity VA riders, including guaranteed minimum death benefits GMDBs, guaranteed minimum income benefits GMIBs, guaranteed minimum accumulation benefits GMABs and guaranteed minimum withdrawal benefits GMWBs. From the Record of the Society of Actuaries, Volume 29, No. 1, Session 21pd.

Description: This session at the SOA 2001 Annual Meeting discusses variable annuities with guaranteed living benefits including an overview of the market and risk management practices from the viewpoints of a reinsurer, including hedging options, and a rating agency.

Description: This session 160 TS of the 2001 SOA Annual Meeting explains Guaranteed minimum income benefits GMIBs, guaranteed minimum accumulation benefits GMABs, guaranteed minimum death benefits GMDBs, and death benefits designed to cover the approximate income tax on the gain in the contract all provide additional protection for the purchaser, but they may also bring added risk to the insurer. From the Record of the Society of Actuaries, Volume 27, No. 3, Session 160TS.

Description: From session 23PD at a meeting of the Society of Actuaries held in San Diego, CA, June 22-23, 2000. Panelists discuss various techniques employed by insurers for managing the risks inherent in their variable annuity portfolios.

Description: Segregated Funds Seminar Illuminates Equity Guarantees Risks by G. Thomas Mitchell from The Financial Reporter, February 2000, Issue No. 41.

Description: 1999 SOA Annual Meeting, San Francisco. The panelists provided a brief description of the guaranteed benefits offered on Variable Annuities in both the U.S. and Canada, followed by an in-depth comparison of current issues, including risk assessment, reserving, and cash-flow testing.

Description: In session 132 PD of the New York Annual Meeting panelists discuss the content and status of the draft NAIC Actuarial Guideline ZZZ and the work of the AAA Task Force on Variable Products with Guaranteed Living Benefits. The Black-Scholes option pricing method is also covered. From the Record of the Society of Actuaries, Vol. 24, No. 3.

Description: This article briefly describes the guarantees available within the segregated Fund products sold in Canada along with the associated risks and cost factors.

Description: This session at the 1997 Valuation Actuary Symposium focuses on modeling issues for variable annuities from both a statutory and GAAP standpoint. Valuation actuary issues with respect to variable annuity modeling is also discussed.

Description: This guide is intended to provide a broad introduction to several performance-oriented products. It distinguishes variable 'equity-linked' life insurance, universal life 'flexible payment and current fixed yields', variable universal life, and current developments in variable annuities 'primarily minimum death benefits'.

Description: This session from the 1995 SOA New York City Meeting examines the structure, cost, risk, volatility, and the use of options for variable annuity guaranteed minimum death benefits. From the Record of the Society of Actuaries, Vol. 21, No. 2.

Description: In this session from the 1995 Spring Meeting, panelists will discuss the structure, cost, and reserving practices of variable annuity guaranteed minimum death benefits. They also identify and meaure the risks associated with GMDBs. It From Record of Society of Actuaries Vol. 21, No. 1.

Description: 1994 SOA Meeting, San Francisco. This session discussed variable annuities and how direct companies use reinsurance to mitigate death and investment risk. Variable annuities and the enhanced death benefit were addressed from the direct and reinsurance sides.