Annuity Risk-Management Seminar: Variable Annuity Guarantees Modeling: Incorporating Derivative-Based HedgingAnnuity Risk-Management Seminar: Variable Annuity Guarantees Modeling: Incorporating Derivative-Based ... liability is very small. But for delta hedging, the primary risk is going to be the realized volatility. If ...
Description: Presented at May 2005 Spring Meeting. Panelists discuss annuity risk management and how this can be applied to new product development, as well as in-force product management. Also discussed are the proposed C-3 Phase II capital determinations for various guarantees with and without a hedging program.Hide
- Authors: Michael J O'Connor, Michelle Smith
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Guaranteed living benefits; Annuities>Investment strategy - Annuities