Description: From a session at the Spring meeting of the Society of Actuaries held in San Antonio, Texas, June 14-15, 2004 The panelists discuss the benefits of hedging variable annuity guarantees, the challenges they face and how they keep score.

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: Presented at May 2002 Spring Meeting. Discusses the status of the second phase of the AAA C-3 Risk project. This project is leading to an updated NAIC filing requirement and is a step toward fair value. The specific focus is on equity risk and bond funds in the distribution tails. Products covered include variable life and annuities.

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

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.