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

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: Discussion of possible hedging strategies for offsetting the investment risk for variable annuities, especially those with guaranteed benefits.

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

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: 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: 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.