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: A discussion of the hidden costs of administering complex Products including operational inefficiency, product development constraints, increased time to market, inability to monitor experience, and lost cross selling opportunities among other things

Description: A discussion of risk-relevant resources available at the Society of Actuaries Risk Management Task Force Web site