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 departs from the usual GMWB pricing approach by assuming that the policyholder is always smart enough to act in his/her own best interest.

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

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 paper demonstrates that extreme value theory (EVT) can be used as a tool to model policyholder behavior in the extreme tail. This paper applies EVT to the study of variable annuity dynamic lapse behavior in the extreme tail. It illustrates a process whereby a company can fully model policyholder behavior, including the extreme tail, with existing data. No judgment about the extremal behavior is necessary.

Description: The article discusses modeling of variable annuity behavior risk, with a particular focus on how interaction between different behavioral assumptions complicates modeling. The article gives a brief overview of variable annuity behavior risk, discusses the challenges that behavioral interactions pose for VA modeling, and discusses three potential solutions for dealing with this complexity.

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: 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 article provides some insights in how to bring risk management into product development for VA guarantees.

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.