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: 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: 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.