Description: We analyze how volatility management techniques in VAs affected policyholders and insurance companies

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

Description: The article summarizes and comments on a recent IRS Chief Counsel Advice that addressed how the proration formula works for purposes of the separate account dividends received deduction in the context of a partnership structure. The article explains the historical background of the proration formula as it appeared in the 1959 Act and the differences between how the applies and affects the dividends received deduction in the partnership structure versus the more tradition RIC structure.

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 article proposes a new term called the risk surface to enhance risk communications.

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

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: Segregated Funds Seminar Illuminates Equity Guarantees Risks by G. Thomas Mitchell from The Financial Reporter, February 2000, Issue No. 41.