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Non-Variable Annuity PBR and Statutory Reserving Updates
VM-21 requirements, with additional disclosure for dynamic assumptionsPolicyholder Behavior(Modeled Reserve) ... a similar business segment e) Dynamic Assumptions – Encourage dynamic assumption-setting and require ...- Authors: Christopher Conrad, Jason Kehrberg, John Miller
- Date: Aug 2020
- Competency: External Forces & Industry Knowledge
- Topics: Annuities; Annuities>Reserves - Annuities; Financial Reporting & Accounting; Financial Reporting & Accounting>Statutory accounting
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Variable Annuity Reserve and Capital Reforms: Key Implementation and Reporting Issues
the Valuation Manual. The hedge strategy may be dynamic, static or a combination thereof. The strategy ... prescribed assumptions • Aggregation permitted, no dynamic hedging • Companies can choose one of two approaches: ...- Authors: Yuan Tao, Parul Bhatia, Zohair Motiwalla
- Date: Aug 2020
- Competency: External Forces & Industry Knowledge
- Topics: Annuities; Annuities>Variable annuities
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Lessons Learned by VM-21 Early Adopters
Lessons Learned by VM-21 Early Adopters Hear from companies & consultants that early ... prescribed assumptions • Aggregation permitted, no dynamic hedging • Companies can choose one of two approaches: ...- Authors: Guillaume Briere-Giroux, Zohair Motiwalla, John B. Brady
- Date: Aug 2020
- Competency: External Forces & Industry Knowledge
- Topics: Annuities; Annuities>Capital - Annuities; Annuities>Reserves - Annuities
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IFRS 17 Implementation Considerations for Variable Annuity (VA) with a Focus on Hedging
GAAP • Rider features: Lifetime GMWB and GMDB • Dynamic lapse that vary by In-the-moneyness (ITM) • Annual ... Ratchet, reset, and rollup • Risk mitigation: dynamic hedging fair value liability • Daily Delta hedge ...- Authors: Joshua Dobiac, Yang Jing
- Date: Aug 2020
- Competency: External Forces & Industry Knowledge
- Topics: Annuities; Annuities>Variable annuities; Financial Reporting & Accounting; Financial Reporting & Accounting>International Financial Reporting Standards [IFRS]
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Pricing for Sparse Data
Pricing for Sparse Data While our ability to access and analyze large quantities of data is ... Comments 1 Policyholder behavior • Lapses and dynamic lapses – Risk of higher / lower lapses when option ...- Authors: Timothy S Paris, Andy Samuel King
- Date: May 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Annuities>Variable annuities; Experience Studies & Data; Experience Studies & Data>Policyholder or participant behavior - Experience
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PBR Impacts to Annuities
further, additional sensitivity testing around dynamic assumptions, remainder TBD. 7-11 – Liability Assumptions ... conditions if using static assumptions or one-sided dynamic assumptions c) Non-Guaranteed Elements (NGEs) ...- Authors: Yuan Tao, Joshua Chee, Albert Zlogar
- Date: May 2020
- Competency: External Forces & Industry Knowledge
- Topics: Annuities; Annuities>Equity-indexed annuities; Financial Reporting & Accounting>Statutory accounting
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FIA and Structured Annuities Product Development: The Latest Update
FIA and Structured Annuities Product Development: The Latest Update The presenters will review ... such as S&P 500. • Some companies may use dynamic hedging strategy similar to VA (where index futures ...- Authors: Nicholas Carbo, Jee Shen
- Date: May 2020
- Competency: External Forces & Industry Knowledge
- Topics: Annuities; Annuities>Equity-indexed annuities; Annuities>Product development - Annuities
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Session 134: How to Get Real Results in Policyholder Behavior Modeling
channels, option values, rationality, static vs dynamic Required sensitivity testing, with margins inversely ... Excess WDs Less than or full WDs 53 53 …and dynamic lapse sensitivity varies 0% 35% 3Q 09 3Q 10 ...- Authors: Rosmery Cruz, Timothy S Paris
- Date: Feb 2020
- Competency: External Forces & Industry Knowledge
- Topics: Annuities; Annuities>Policyholder behavior - Annuities; Experience Studies & Data>Policyholder or participant behavior - Experience
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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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Dynamic v. Static Replication
Dynamic v. Static Replication The speakers will discuss the replication of long-term options, including ...- Authors: Joshua Dobiac, Jeff Greco, Hyunsu Kim FSA,MAAA (Hyunsu)
- Date: Oct 2019
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: 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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pd-2019-05-las-session-049.pdf
Hedging – Considerations • What’s being hedged ? • Dynamic vs. static hedging • Active vs. passive hedging ... Generally higher at longer tenors • “Base” dynamic behavior • Alternative policyholder behavior ...- Date: Jun 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Finance & Investments
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Session 61: Latest Thoughts on Use of Economic Scenario Generators
Session 61: Latest Thoughts on Use of Economic Scenario Generators The academy generator is now ... Historical Projected Projected MRP (3.5%) The dynamic MRP is a compromise between balancing historical ...- Authors: Hal Warren Pedersen, Matthew Zhang, Daniel Schobel
- Date: Jun 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities
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Session 05: Market Discussion on Interest Rates and Market
Session 05: Market Discussion on Interest Rates and Market Multiple perspectives will be provided ... music is playing….” » Dynamic, cycle-sensitive risk appetite framework » Dynamic and cycle-sensitive ...- Date: Jun 2019
- Competency: Strategic Insight and Integration
- Topics: Annuities
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Session 15: The Science Behind a Successful Retirement
Session 15: The Science Behind a Successful Retirement Through much of the Baby Boomer ... Policyholder behavior • GLWB utilization • Lapses and dynamic lapses Statutory reserves • Correct calculation ...- Authors: Nicholas Carbo, Joshua Chee, Douglas Robbins
- Date: May 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities
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2018-09-product-tax-seminar-boot-camp-presentations
2018-09-product-tax-seminar-boot-camp-presentations The Society of Actuaries are once ... Ongoing compliance with IRC Section 7702 and 7702A is a dynamic process • Automated procedures are a necessity ...- Authors: Society of Actuaries
- Date: Sep 2018
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Annuities; Financial Reporting & Accounting; Life Insurance
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Annuity Risk-Management Seminar. NAIC C3 Phase II Implications for RBC and Reserves
static or dynamic. Static would be the same assumption across all of your scenarios. Dynamic would be ... within one year, and there’s a limited credit for dynamic hedging. The statutory reserve is pretty much the ...- Authors: John M O'Sullivan, Peter H Sun, Keith E Floman
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Enterprise Risk Management>Capital management - ERM
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Annuity Risk Management Seminar: Annuity Risk Management - Overview
Annuity Risk Management Seminar: Annuity Risk Management - Overview Presented at May 2005 Spring ... for annuity risk management in a changing and dynamic economic environment also are presented. Each ...- Authors: Francis Sabatini, Narayan S Shankar
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Enterprise Risk Management>Financial management
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Hot Topics in Fixed Annuities
what you should use for mortality assumption. Dynamic or excess lapse is very difficult because it is ... distribution systems and you are using only one dynamic lapse assumption, you might want to take a second ...- Authors: Brent Mardis, Douglas Robbins, David Weinsier
- Date: May 2005
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities
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Interest Rates Are On The Move: Is Your Company Prepared?
appropriately, you're going to have to set up for some dynamic assumptions on these products. Let’s go back to ... all the time, and we help companies set up their dynamic assumptions. We came up with the following formula: ...- Authors: Henry M McMillan, Ross Bowen, David Weinsier
- Date: May 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Finance & Investments; Life Insurance
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Improving the Product Development Process
life insurance product environment is definitely dynamic and changing. There are different products and ... was away from variable products, it's a very dynamic and changing industry and there is very intense ...- Authors: Kelly A Levy, Paul Myers, Philip Ferrari
- Date: May 2003
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Life Insurance
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The Standard Nonforfeiture Law: Impact of Proposed Changes
The Standard Nonforfeiture Law: Impact of Proposed Changes Panelists at this session of the SOA 2003 ... did undergo a significant change in 1981, when dynamic interest was brought into the picture. The ...- Authors: Application Administrator, Eric Carlson
- Date: May 2003
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Life Insurance>Non-forfeiture benefits
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Impact of Regulatory Uncertainty on Product Innovation
Impact of Regulatory Uncertainty on Product Innovation From session 63 PD at the Spring regional ... what needs to be in the report. It’s basically a dynamic analysis of the company’s ability to carry out ...- Authors: Timothy Pfeifer, James Van Elsen, Robert E Wilcox
- Date: May 1999
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Life Insurance; Public Policy
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Cash-Flow Testing Issues for Equity-Indexed and Variable Products
by no means an easy thing to replicate. Your dynamic hedging strategy should at least delta match the ... as we described earlier. You want to consider dynamic strategies, although they are more difficult ...- Authors: Application Administrator, Alan Downey, Larry M Gorski
- Date: May 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Financial Reporting & Accounting
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Deferred Annuity Modeling Issues
rates stayed level or went down. It's the same dynamic; the question is, how do you define it? Equity ... when it's 50%/50%. The model should also have dynamic lapse and transfer. You must factor in the fact ...- Authors: Meredith Ratajczak, Francis Sabatini
- Date: Sep 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Modeling & Statistical Methods
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Advanced Topics in Annuity Modeling
representative nonlevel scenarios to test the various dynamic elements of the model. Look at whether the crediting ... this -- the base lapse rate and, of course, the dynamic element. Both of these are extremely important ...- Authors: Francis Sabatini, Peter Tilley, Russell Osborn
- Date: Sep 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Modeling & Statistical Methods
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What's Next for Annuities?
What's Next for Annuities? Presented at October 1996 Annual Meeting. The panelists ... right decision or not. I do not think that basic dynamic is going to change regardless of how much information ...- Authors: Thomas J Mitchell, Timothy Pfeifer, Timothy J Ruark, Inger Harrington, Michael Winterfield
- Date: Oct 1996
- Competency: External Forces & Industry Knowledge>Internal forces and business performance; Strategic Insight and Integration>Strategy development
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities
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Current Topics in Annuity Financial Reporting
of guaranteed benefits. Second, a structure of dynamic valuation interest rates was put into place to ... Reporting 23 Mr. Harrington: It has to be a dynamic calculation in the program. Mr. Robinson: Yes ...- Authors: Thomas Campbell, Errol Cramer, John Harrington
- Date: May 1996
- Competency: External Forces & Industry Knowledge>External forces and business performance
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Financial Reporting & Accounting; Financial Reporting & Accounting>Statutory accounting
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Practical Illustrations and Non-Forfeiture Values
Practical Illustrations and Non-Forfeiture Values this session from the 1995 SOA New Orleans ... guideline premium limitation rules are really dynamic enough to withstand low interest rates. MR. NEEVES: ...- Authors: Keith E Gant, Walter Neeves
- Date: Apr 1995
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Life Insurance>Non-forfeiture benefits
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Product Management
Product Management 1992 SOA Regional Meeting, Anaheim. This session addressed the product management ... to market fast enough? - SetlJngassumptions - Dynamic budgeting models (breakdownanalysis) • Project ...- Authors: John Hele, Anne Katcher, Alastair G Longley-Cook, Steven Schreiber, John F Bevacqua
- Date: Jun 1992
- Competency: Strategic Insight and Integration
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Health & Disability>Health insurance; Life Insurance
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Annuity Product Development Update
particular product line, We'll talk later about dynamic interest-crediting strategy, which I believe can ... somewhat reduce the profitability gap. What I mean by dynamic interest-crediting strategy is a strategy other ...- Authors: William Britton, Edward F McKernan, Philip Polkinghorn, Michael Winterfield
- Date: May 1991
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities
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Annuity Product Development Update
the dynamic valuation law, the expectation for 1990 is that we'll wind up with 6.5- 6.75% dynamic rates ... a product that has less risk with it, the same dynamic valuation law often will give you opportunities ...- Authors: Douglas Doll, John Fenton, Paul H LeFevre, Michael Winterfield
- Date: Jun 1990
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities
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Single Premium Life and Annuity Products
Single Premium Life and Annuity Products This session discussion is about market developments, ... certainly might be the case. As an example of the dynamic growth of the single premium products within thc ...- Authors: Douglas French, Patricia Guinn, Paul H LeFevre, Michael Winterfield
- Date: Oct 1987
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Life Insurance
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Accounting For Interest-Sensitive Products
interest. The amortization schedule should be dynamic and be made sensitive to the actual termination ... There are some difficult things however. GAAP is dynamic. You are supposed to look at the appropriateness ...- Authors: B F Dunn, Charles D Friedstat, Daniel J Kunesh, Linda S Need
- Date: May 1986
- Competency: External Forces & Industry Knowledge>External forces and business performance
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Financial Reporting & Accounting; Life Insurance>Universal life
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Deferred Annuities
Deferred Annuities This session discussion: Product design, Risks and how to deal with them, Special ... MR. LE FEVRE: The last decade has been one of dynamic change in the annuity business. We have seen: ...- Authors: Arthur V Anderson, Christian J DesRochers, Donna Claire, Application Administrator, Paul H LeFevre
- Date: Apr 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities
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Rear End Loaded Products
Rear End Loaded Products This session from the 1984 SOA Toronto Meeting discusses rear end ... happens. MR. DEPALO: Nonforfeiture laws now allow a dynamic interest rate to raise the guaranteed interest ...- Authors: Dennis Carr, James Glickman, Harold G Ingraham, Gregory J Kaiser, William Schnaer
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Life Insurance
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Dividend Philosophy
Dividend Philosophy This session from the 1984 SOA Salt Lake City Meeting discusses the latest ... mechanisms for disclosure, and so on. It's a dynamic process. The fact that the Society Committee is ...- Authors: James W Kemble, Walter N Miller, John W Tomlinson
- Date: May 1984
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Life Insurance; Public Policy
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Annuities For Individuals
the last year or two has been the changes in the dynamic ANNUITIES FOR INDIVIDUALS 149 valuation law ... there still is a sizable reserve strain under the dynamic valuation law in offering longer guarantees, it ...- Authors: Bruce L Caldwell, Brian F Dunn, Jay Jaffe, John Vieren, Michael Winterfield
- Date: Apr 1984
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities
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Dividends And Other Non-Guaranteed Elements In Individual Life Insurance And Annuities
Dividends And Other Non-Guaranteed Elements In Individual Life Insurance And Annuities This ... " My personal reaction is that we're in such a dynamic situation that there are probably a number of areas ...- Authors: Richard S Miller, Walter N Miller, Harry D. Garber
- Date: Oct 1982
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Life Insurance
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Implementation Of The 1980 Amendments To The Standard Valuation And Non-Forfeiture Laws
mortality factors associated with them, and also the dynamic feature of the interest rates requires a greatly ... reluctance to be the first to enact the new "dynamic" interest rate changes. New Mexico, the first state ...- Authors: William Carroll, John O Montgomery, Godfrey Perrott, William T Tozer
- Date: Oct 1982
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Financial Reporting & Accounting; Life Insurance
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Projected Annuity/Pension Mortality
Commissioners Annuity Reserve Method is certainly a dynamic subject. Whatever answers or conclusions that we ... NAIC became concerned with the passing of the dynamic valuation law. As Jay was saying, much of the interest ...- Authors: Paul H Jackson, Jay Jaffe, Robert J Johansen, Robert McClester
- Date: Oct 1982
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Pensions & Retirement
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Individual Life Insurance Product Design Under Conditions of Inflation
investment alternatives. b. Cash management account. c. Dynamic actuarial assumptions. d. Policy loans, nonforfeiture ... possibilities with more significance internally: a. Dynamic actuarial assumptions - In a relatively stable ...- Authors: Allan Affleck, Charles L Edris, Wilfred A Kraegel, Alan C Snyder
- Date: Apr 1982
- Competency: External Forces & Industry Knowledge>External forces and business performance; Strategic Insight and Integration
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Life Insurance; Public Policy
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Nonforfeiture and Valuation Concerns in the 1980's
membership is basically in two parts: One part is the dynamic interest rate and the other part is deemed or conjecturized ... the ACLI release of M_rch 21 which includes the dynamic proposal as well. NONFORFEITURE AND VALUATION ...- Authors: John C Angle, Ardian Gill, Richard S Miller, William K. Nicol
- Date: Apr 1980
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Financial Reporting & Accounting>Statutory accounting; Life Insurance; Public Policy