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

Description: This is the abstract of a paper that considers the pricing of equity-indexed annuities using risk measures and presents dynamic hedging strategies underlying these valuations. Since these products involve mortality as well as financial risks, the authors combine the actuarial and financial approaches to protect insurance companies against the unhedgeable mortality risk.

Description: “Non-traditional” guarantees refer to guarantees that are in addition to traditional mortality, expense, and interest guarantees. Examples of such types of guarantees are death and living benefits on variable annuity contracts and no-lapse guarantees on universal life or variable universal life products. The purpose of this paper is to offer practitioners an overview of the various issues concerning the pricing of these guarantees, the many other issues which need to be analyzed and addressed in the determination of risks and the management of the block of business, and the results of a company survey of practices. This paper is based on the working knowledge of the authors, a broad compilation of literature and the company survey results. At the end of most sections of the paper, we have provided a list of resources which we have selected as some of the best sources available for those practitioners interested in researching the subject matter further.

Description: From a session at the Spring meeting of the Society of Actuaries held in San Antonio, Texas, June 14-15, 2004 The panelists discuss the benefits of hedging variable annuity guarantees, the challenges they face and how they keep score.

Description: Presented at October 1985 Annual Meeting. Discusses managing risks via product design and investment strategy, and overview of the market and the risks.

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 paper describes the use of the Moses software package to model variable annuities with multiple guarantees. Pricing and risk management are discussed.

Description: This article provides background on managed target volatility funds and how they can be used for variable annuities and the mitigation of gap risk.

Description: Panelists discuss the risks inherent in common variable and equity-indexed annuity designs, including Guaranteed Minimum Death Benefits [GMDBs]. The effects of changes in interest rates, market level, and implied and actual volatility on economic and accounting results, as well as reinsurance and various kinds of hedging, are discussed. From the 2002 Record of Society of Actuaries, Volume 28, No. 3. Session 121PD of the Boston Annual Meeting.

Description: The paper summarizes results from two doctoral dissertations. The first discusses integration of insurance products with investment products to mitigate the risk of outliving one’s assets. The second discusses modeling and pricing for the longevity risk in the secondary market in insurance, including a provision for adverse deviation PAD.