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: Diverse Risks 2016 Call for Essays

Description: What is the impact of aging populations on economic growth and interest rates?” “Are low interest rates and inflation a short-term phenomenon?” “How will returns from different asset classes be impacted by future demographic trends?” “What are the differences between different countries and regions around the world?”

Description: The Investment Symposium is a day-and-a-half long seminar that will focus on the issues and questions faced by investors and risk managers, especially related to insurance companies and retirement plans. Presenters will discuss the big picture issues and explore practical solutions to today’s challenges. Experts will share new approaches to portfolio management and cutting edge research in asset-liability management. Technology, regulation and the economic environment will

Description: Insurance companies utilize derivatives in a variety of ways to manage and mitigate risks that are inherent in their investment or liability portfolios. They can be characterized by three main features: medium long-term duration; large volumes; and significant market risk exposure. Given the persistent low interest rate environment across the curve since the 2008 financial crisis, large companies need to hedge their liabilities, as illustrated by the significant recent increase from $786 billion as of fiscal year 2010 to $1,885 billion as of FY 2014 by insurance companies.As the Variable Annuities (VA) guarantees embedded within those liabilities hold a strong convex risk profile with respect to the underlying stock, VA carriers need to buy some convex hedge assets such as options to match the liability risk profile to improve hedge effectiveness, implying the growing cost of hedging. Such market impact of the quantity on the cost of hedging is further magnified in the recent period with the short-lived, but sharp transitions from low volatility to high volatility, when market volatility suddenly increases, even when there were no well-known fundamental catalysts. This partially stems from the growing managed volatility funds embedded within VA ($bn 400).VA carriers willing to trade a large quantity of options will see such market impact as an important dilemma, as the cost of placing one large order to close position will be far greater than the sum of infinitely small orders differed in time. In that context, managing market impact requires introducing an explicit market impact function, the influence of which the agent will try to minimize. The effect on hedge asset prices significantly depends on whether there is or not significant delta hedging activity. In case of no significant delta hedging activity, the risk appetite has a significant influence on the optimal execution strategy. If there is significant delta hedging activity, the optimal trading involve

Description: Explains the more granular breakout of bond RBC factors proposed to the NAIC. Evaluates alternative asset allocation choices for insurers under the new rules.

Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?

Description: This article provides an analysis of Treasury Inflation-Protected Securities TIPS, examining the mechanics of these bonds, how they have performed to date and what may be expected for the future.

Description: This discussion is on asset management for an insurance company, including issues of varying investment strategies for different product lines through various asset segmentation approaches, management of the assets supporting surplus, and asset/liability risk management considerations

Description: How to be prepared for a meeting with your investment manager and judging your investment portfolio's performance by comparing it to a relevant benchmark. Risks and Rewards Newsletter, August 1999, Issue No. 33.