Description: VA reserve and capital reforms are effective 1/1/20 and the first year of reporting under the new framework requires several key milestones for annuity valuation actuaries to achieve. Discuss key implementation issues, including the new standard projection, optionality around hedge treatment and taxation, discuss disclosure requirements as well as the PBR report requirements. Overall focus on decisions to be taken by a valuation actuary with respect to reporting under the new framework.

Description: This session will have two sections: General consideration of IFRS17 implementation for VA writers and reinsurers A case study of IFRS17 implementation for a reinsurer The first section will go over VFA and GM approaches that are available for VA writers. Both approaches have their own challenges. We will highlight some of the challenges and how to approach/overcome them. Additionally, we will discuss how hedging/ALM can help smooth the transition. The second section will go over the details of implementation process of a VA reinsurer. The case study will explore valuation challenges unique to reinsurers assuming business that would otherwise be valued under the VFA. It will also go over some of the modeling difficulties, project management, and database requirement.

Description: While our ability to access and analyze large quantities of data is better than ever, many long-term products suffer from sparse data in critical risk areas, such as deep in-the-money lapse experience and long-term utilization rates for income guarantees. The presenters will explore industry-level annuity experience data for these types of situations, and discuss quantitative approaches to addressing them in pricing and other applications.

Description: Representing a large indexed annuity writer, the speakers will discuss the growth and evolution of the market for index annuity products. Moreover, the challenges that growth has introduced and how those challenges are being met. While much of the market consists of simple, accumulation-oriented S&P 500 based strategies with 0% return floors, a significant portion of industry sales come from more complex products with highly customized index strategies and other features, such as living benefit guarantees. Attendees will gain a broad understanding of the indexed annuity market, product and features, operational difficulties in risk management arising from product design, and how actuarial and hedge professionals are managing these issues.

Description: The NAIC has adopted revised VM-21 and AG43 for variable annuities, effective Jan. 1, 2020. The panel of presenters will provide background and an overview of the revisions, discuss detailed aspects of the new CTE Amount Standard Projection and prescribed assumptions, as well as discuss implementation considerations and the implications to hedging. In addition, the panelists will share progress on VM-23, principle-based reserves for non-variable annuities.

Description: Representing a large indexed annuity writer, the speakers will discuss the growth and evolution of the market for index annuity products. Moreover, the challenges that growth has introduced and how those challenges are being met. While much of the market consists of simple, accumulation-oriented S&P 500 based strategies with 0% return floors, a significant portion of industry sales come from more complex products with highly customized index strategies and other features, such as living benefit guarantees. Attendees will gain a broad understanding of the indexed annuity market, product and features, operational difficulties in risk management arising from product design, and how actuarial and hedge professionals are managing these issues.

Description: In this session, a company will share its experience on managing risks underlying the equity-linked insurance guarantees and what lessons were learned over these years as it adapted its strategies to suit the current market environment.

Description: An exploration of drivers, cohorts and dynamics for policyholder behavior for VA and FIA based on industry experience data, including changes in recent years and the emergence of long-term data in key areas. We will also discuss critical elements to developing a sustainable and coherent framework to translate this complex experience data into assumption models.

Description: The speaker will discuss the training of neural networks to compute future Greeks of liabilities (or options) without the use of nested stochastics.

Description: The proposed revisions to the variable annuity statutory framework and the FASB targeted improvement for long duration contract, motivate life insurance companies to re-evaluate their hedging strategy. Recently proposed revisions of AG 43/VM-21 and C3 Phase II, reward companies that have a clearly defined hedging strategy, if the companies can demonstrate that the valuation model and capital model can estimate real hedge performance accurately. The speakers of this session will discuss the hedging implication of the proposed AG 43/VM-21 and C3 Phase II framework. Additionally, methodology computational requirements, back-testing results under different economic scenarios and the resulting hedge credits of different hedging strategies will be compared, including explicit dynamic hedge and implicit dynamic hedge. The speakers will also touch on the impact of rebalance frequency on the performance of dynamic hedge. Case studies will be presented to provide guidance on practical implementation.

Description: The NAIC has adopted revisions on Actuarial Guidelines 43 and C3 Phase II for Variable Annuities ("NAIC VA Reform"), effective January 1, 2020. The panel of presenters will provide background and overview of the Reform, and discuss detailed aspects of the new CTE Amount, Standard Projection and Withdrawal Delay Cohort Method. The panelists will share implementation considerations and the Reform's implications to hedging.

Description: With advancement of computing technology and innovative product design, creating dependent and nested stochastic scenarios to accurately predict insurance business has become more feasible and affordable than it used to be. However, can technology and research be accessible, applicable and beneficial to all the stakeholders? Sharing research findings and its validation tools has been our interest and focus, and even a resource-saving strategy. The presenters will share a case study on a segregated fund with hedging strategy. We investigate the reserve calculation for its GMMB in an extensive but simplified stochastic model so that our method is adoptable, applicable and extendable to real-word segregated fund/separate account model. The segregated fund model theory and implementation will be presented and its cash flows will be simulated and analyzed for reserve calculation. Varying parameter assumptions will be tested and to be modified for real-world segregated fund with hedging risk for guaranteed benefits. At the conclusion of the session, attendees will gain basic understanding of and access to: - The option pricing model and its application to the segregated fund (variable annuity's separate account) guarantee - Stochastic scenario generators for the interest rates and equity returns - R-code to program from the scenarios simulations to cash flows of hedging errors - Reserve calculations and its sensitivity to various parameter values and - Comparison of methods to increasing efficiency level and the accuracy

Description: Managed strategies as underlying investments in VA/FIA products have seen spectacular growth since the financial crisis. The speakers of these sessions will share their views on the development of this market and what is expected to unfold over the next 12 months in regard to the next generation of products and fund-based strategies.

Description: Reinsurance has been available for VA Guarantees for over 20 years. During that time, the reinsurance market for VA Guarantees has undergone frequent and sometimes violent transformations. Where does the market stand today? What forms and structures of reinsurance are available? Which VA Guarantee designs and features are easier to reinsure? Is reinsurance offered on both newly issued policies as well as in force/legacy books, and which vintages are difficult to reinsure? In an age of sophisticated hedging programs, what role does a reinsurer play in helping a VA writer manage this highly volatile risk? In this session, we will hear from a reinsurer that is actively writing new VA Guarantee reinsurance treaties in the U.S. and around the world, and from a VA writer that has successfully partnered with a reinsurer to enhance its VA product offering.

Description: This session will explore several critical elements in developing a sustainable and coherent framework to translate complex annuity (VA and FIA) policyholder behavior experience data to assumption models using company- and industry-level data, as well as inforce management techniques to handle related risks.

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

Description: This paper proposes weighted fund style analysis as a better method to hedge market risks of variable annuities.

Description: This abstract describes a paper that provides a quantitative framework in which two risk management strategies are mathematically formulated.

Description: This presentation establishes a bang-bang solution for the optimal withdrawal strategies.

Description: This session will provide an overview of the evolution of equity-based guarantees (e.g. VA, FIA, etc.) over the last few years and discuss the current lay of the land as it relates to the regulatory, issues, capital markets (e.g. Department of Labor, Dodd-Frank) environment in which these products are offered.

Description: The presentation will outline the different possibilities insurance companies have to hedge their equity risk for the various products.

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

Description: The speaker of this session will provide a bottom up analysis and categorization of the $200 billion of volatility control funds related investments while recapping volatility control fund trading around volatility spikes (including Aug. 2015 and June 2016). The assessment of potential market impact of the volatility control funds’ rebalancing activity will also be discussed.

Description: The speaker of this session will discuss some common difficulties one encounters when dealing with exotic equity linked derivatives. In particular, a study of a Monthly Sum Cap (MSC) will be presented. Pricing issues, along with dynamic hedging, as well as projections of MSC into the future will also be discussed. Time permitting, some aspects of historical performance will also be addressed

Description: This article provides background on managed target volatility funds and how they can be used for variable annuities and the mitigation of gap risk.

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: This abstract describes a paper that considers the Guaranteed Minimum Withdrawal Benefits (GMWB) variable annuity rider under a static withdrawal strategy but allowing for early surrenders.

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: 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: This presentation provided an analysis of investment guarantees in equity-linked products. There was an overview of the data and models in use. In addition an actuarial approach to left-tail analysis was presented as well as a dynamic hedging approach. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: The Joint Risk Management Section is trying to develop better estimates of policyholder behavior in the tail [PBITT]. The mission of the PBITT working group is to examine and ultimately give guidance to actuaries on how to set policyholder assumptions in extreme scenarios. As part of its work, the PBITT working group issued its sixth survey to gather the range of assumptions actuaries use in pricing, reserving, and risk management of minimum guarantees on Variable Annuity products, such as death benefits, income benefits, withdrawal benefits and maturity benefits. This document contains the results of that survey.

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: 2011 Enterprise Risk Management Symposium, Chicago. This paper starts by defining and discussing the nature of risk and its primary relationship to capital preservation. The paper then continues with a guide for implementing a company’s risk appetite statement for a variable annuity product.

Description: The Policyholder Behavior in the Tail Risk Management Section Working Group issued its fifth survey to gather the range of assumptions actuaries use in pricing, reserving, and risk management of minimum guarantees on Variable Annuity products, such as death benefits, income benefits, withdrawal benefits and maturity benefits.

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: This is a report on the PBITT Working Group's fourth survey to gather the assumptions actuaries use in pricing, reserving, and risk management of minimum guarantees on Variable Annuity products, such as death benefits, income benefits, withdrawal benefits and maturity benefits.

Description: This presentation from the Actuarial Research Conference of 2006 is an overview of Guaranteed Minimum Withdrawal Benefits. It briefly discusses pricing.

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 paper describes the use of the Moses software package to model variable annuities with multiple guarantees. Pricing and risk management are discussed.

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 report provides the results of a VA survey on policyholder behavior in the tail on VA products containing guaranteed minimum benefits.

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: 2004 SOA Annual Meeting and Exhibit, New York. This discussion looked at individual life insurance and annuity products and the risks these guarantees carry, such as: 1. Extended maturity benefits. 2. Secondary guarantees. 3. Guaranteed insurability. 4. Guaranteed minimum living and death benefits in VA.

Description: 2004 SOA Annual Meeting and Exhibit, New York. This session is about pricing life and VA products with untested new features in an uncertain environment.

Description: This session 8 PD of the 2004 Valuation Actuary Symposium focuses primarily on the Academy's development of nonformulaic statutory risk-based capital and reserve standards for death and living benefits.

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

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: This session from the 2003 SOA Orlando Meeting discusses the new risk-based capital RBC requirements for variable annuities with guranteed benefits such as guaranteed minimum death benefits - GMDBs and guaranteed minimum income benefits - GMIBs. From the Society of Actuaries Record, Volume 29, No. 3.

Description: 2003 Valuation Actuary Symposium, San Diego, CA. This session provided an update on the current status of the actuarial guidelines on VA death and living benefits, the Academy's work on a non-formulaic, RBC standard and GAAP developments.

Description: 2003 Valuation Actuary Symposium, San Diego, CA. This session provided an overview of current statutory valuation issues pertaining to life and annuity products. Topics included: 1. Actuarial opinion and memorandum regulation amendments. 2. Progress on variable products reserving standards. 3. Regulation XXX mortality factors. 4. Adoption of the 2001 CSO. 5. Progress on the C-3 Phase II RBC project. 6. An update on annuity and life nonforfeiture.

Description: This session from the Washington Spring Meeting provides an update on variable annuity VA riders, including guaranteed minimum death benefits GMDBs, guaranteed minimum income benefits GMIBs, guaranteed minimum accumulation benefits GMABs and guaranteed minimum withdrawal benefits GMWBs. From the Record of the Society of Actuaries, Volume 29, No. 1, Session 21pd.

Description: Panelists discuss the risks inherent in common variable and equity-indexed annuity designs, including Guaranteed Minimum Death Benefits [GMDBs]. The effects of changes in interest rates, market level, and implied and actual volatility on economic and accounting results, as well as reinsurance and various kinds of hedging, are discussed. From the 2002 Record of Society of Actuaries, Volume 28, No. 3. Session 121PD of the Boston Annual Meeting.

Description: Panelists discuss the challenges of managing the financial risks of guaranteed minimum death benefits [GMDBs] and guaranteed living benefits [GLBs] on variable annuity contracts. In particular, they discuss managing these risks through product design and through hedging. From the 2002 Record of Society of Actuaries, Volume 28, No. 3. Session 31PD of the Boston Annual Meeting.

Description: Presented at May 2002 Spring Meeting. This session covers the AICPA's proposed statement of position on accounting and reporting by insurance enterprises for certain nontraditional, long-duration contracts and for separate accounts. It requires new GAAP reserves for certain variable annuities with guaranteed minimum death benefits 'GMDBs'.

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: Presented at May 2002 Spring Meeting. Discusses the nature of the risks associated with equity-based and equity-linked products, and how those products can be managed with the use of capital market instruments.

Description: Presented at May 2002 Spring Meeting. This session provides an overview of the various methods used to manage the risks from guarantees of equity-based life and annuity products. Discussion includes the use of reinsurance, self-insurance and static/dynamic hedging.

Description: From a session at the 2001 Valuation Actuary Symposium, held in Lake Buena Vista, Florida, November 29-30, 2001 Teaching session covering the development of realistic liability models for use in asset adequacy analysis, asset/liability management, pricing/repricing, financial reporting or other corporate purposes. The primary focus is modeling issues for variable product features, such as minimum living or death benefit guarantees on both variable life and annuities, annuity death benefit enhancements, and variable immediate annuities. Topics include: • Analysis of the special risks posed by these products • Selecting realistic dynamic assumptions • Techniques used in modeling these products • Scenario testing and result presentation to best communicate risks

Description: This session at the SOA 2001 Annual Meeting discusses variable annuities with guaranteed living benefits including an overview of the market and risk management practices from the viewpoints of a reinsurer, including hedging options, and a rating agency.

Description: This session 160 TS of the 2001 SOA Annual Meeting explains Guaranteed minimum income benefits GMIBs, guaranteed minimum accumulation benefits GMABs, guaranteed minimum death benefits GMDBs, and death benefits designed to cover the approximate income tax on the gain in the contract all provide additional protection for the purchaser, but they may also bring added risk to the insurer. From the Record of the Society of Actuaries, Volume 27, No. 3, Session 160TS.

Description: The panel discusses: 1. How fund transfers may affect expense recoveries through fee revenue 2.How transfers between fixed and variable funds may impact required capital 3. Product design features that affect the risk profile of the product and 4. Modeling considerations to quantify the policyholder behavior risk. From session 113PD of the 2001 Toronto Spring Meeting.

Description: This presentation, session number 7PD, took place at the 2000 Annual Meeting of the Society of Actuaries, held October 15-18 in Chicago. The panelists discusses current separate account product topics including quantifying the cost of guarantees such as minimum death benefits and minimum living benefits, and equity-indexed product investing and hedging. Discussion from participants is included. From the Record of the Society of Actuaries, Volume 26, No. 3.

Description: From session 23PD at a meeting of the Society of Actuaries held in San Diego, CA, June 22-23, 2000. Panelists discuss various techniques employed by insurers for managing the risks inherent in their variable annuity portfolios.