Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

Description: This article describes how to model variable annuities using a GPU along with some of the stumbling blocks.

Description: A review of product and sales trends for variable, indexed and fixed annuities against the current backdrop of low interest rates and record equity market valuations

Description: New Zealand is about to launch its first variable annuity with guaranteed lifetime withdrawal benefits. The product design is mindful of the lessons from the financial crisis in the United States, Europe and Japan.

Description: Examination of full surrender and benefit utilization industry experience for Variable Annuities with and without Guaranteed Lifetime Withdrawal Benefits. Part 1 of 3 articles focuses on full surrenders and building a dynamic surrender function using predictive modeling tools.

Description: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

Description: Target volatility, as an investment strategy, has been used by many funds not only as a way to smooth return but also as a way to manage risks of the VA guarantees. Contrary to existing research which favors volatility targeting over fixed allocation, this article shows that because of the existence of market jump risk, target volatility strategy does not necessarily offer an improved risk profile for VA writers. Further, target volatility coupled with leveraging can significantly increase tail risk for insurance companies.

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: This article focuses on how a risk appetite framework can help a company manage the “three-headed monster” and why a risk appetite framework is critical to effective business and risk management at both the corporate and product levels.

Description: Discusses the interactions between dynamic lapses and interest rates in stochastic modeling for variable annuities.

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: Feature article from the newsletter Product Matters discussing variable annuities and principle-based approaches to reserve and capital requirements.

Description: Feature article discussing the variable annuity industry rebuilding and reinventing itself.

Description: Feature article discussing hedging programs becoming a mainstay in the risk management arsenal of life insurers. It focuses on the significant stresses on variable annuity hedging programs.

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 article discusses Variable Annuity products with significant guaranteed minimum benefits, and hedging strategies used by insurers due to the mark to market accounting requirements for these liabilities under GAAP. It focuses in particular on delta-hedging and the implications of the 2008 market volatility.

Description: The purpose of this discussion is to introduce a few additional points and discuss how different assumptions will alter the results in some cases.

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

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

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