Description: Important tools used in property & casualty P&C insurance—predictive modeling and data mining—can be applied to more effectively model policyholder behavior risks in variable annuity VA contracts. In this article, a case study is used to demonstrate how a predictive modeling approach can improve upon traditional methods used to model VA lapse behavior.

Description: With advancement of computing technology and innovative product design, creating dependent and nested stochastic scenarios to accurately predict insurance business has become more feasible and affordable than it used to be. However, can technology and research be accessible, applicable and beneficial to all the stakeholders? Sharing research findings and its validation tools has been our interest and focus, and even a resource-saving strategy. The presenters will share a case study on a segregated fund with hedging strategy. We investigate the reserve calculation for its GMMB in an extensive but simplified stochastic model so that our method is adoptable, applicable and extendable to real-word segregated fund/separate account model. The segregated fund model theory and implementation will be presented and its cash flows will be simulated and analyzed for reserve calculation. Varying parameter assumptions will be tested and to be modified for real-world segregated fund with hedging risk for guaranteed benefits. At the conclusion of the session, attendees will gain basic understanding of and access to: - The option pricing model and its application to the segregated fund (variable annuity's separate account) guarantee - Stochastic scenario generators for the interest rates and equity returns - R-code to program from the scenarios simulations to cash flows of hedging errors - Reserve calculations and its sensitivity to various parameter values and - Comparison of methods to increasing efficiency level and the accuracy

Description: The Joint Risk Management Section is trying to develop better estimates of policyholder behavior in the tail [PBITT]. The mission of the PBITT working group is to examine and ultimately give guidance to actuaries on how to set policyholder assumptions in extreme scenarios. As part of its work, the PBITT working group issued its sixth survey to gather the range of assumptions actuaries use in pricing, reserving, and risk management of minimum guarantees on Variable Annuity products, such as death benefits, income benefits, withdrawal benefits and maturity benefits. This document contains the results of that survey.

Description: Provides a comparison of methodologies between Actuarial Guideline 43 and C-3 Phase II RBC to help the practitioner calculate both RBC and reserves in an accurate but efficient manner.

Description: Article discusses valuation and Risk Based Capital results for a sample variable annuity block of business. The valuations were performed under the current rules and guidelines in effect until Dec. 31, 2009 and also under Actuarial Guideline 43 which is effective Dec. 31, 2009. The RBC was determined using the C-3 Phase II methodology. The article also presents analyses of the impact to AG 43 results from extending projection periods and from utilizing alternative economic scenario sets.

Description: Discusses the newly adopted actuarial guideline for variable annuity reserving which is principles-based. It requires the calculation of both, a standard deterministic scenario reserve and a stochastic reserve - of which the larger of the two is used. This article discusses why for some companies the deterministic reserves dominate and for others the stochastic one does.

Description: Representing a large indexed annuity writer, the speakers will discuss the growth and evolution of the market for index annuity products. Moreover, the challenges that growth has introduced and how those challenges are being met. While much of the market consists of simple, accumulation-oriented S&P 500 based strategies with 0% return floors, a significant portion of industry sales come from more complex products with highly customized index strategies and other features, such as living benefit guarantees. Attendees will gain a broad understanding of the indexed annuity market, product and features, operational difficulties in risk management arising from product design, and how actuarial and hedge professionals are managing these issues.

Description: A short article looking at the results from an annual assumption survey of VA writers with a focus on changes companies observed and planned to make due to COVID-19. In the article we discuss what companies should be considering as they approach the 2020 year end assumption setting and audit season.

Description: This article discusses tax and accounting issues that arise under a recently-issued Chief Counsel Advice in which the IRS applied a life insurance company tax rule to a nonlife company that issues life insurance products

Description: This article is a call for work that has been done in stochastic modeling and papers in the area of of stochastic modeling of investment returns in respect of the maturity and mortality guarantees offered on segregated fund and variable annuity products. These will be used in the symposium on stochastic modeling in September 1999 sponsored by the CIA, SOA and Actuarial Foundation.