Description: The speaker will discuss the training of neural networks to compute future Greeks of liabilities (or options) without the use of nested stochastics.

Description: Some new variable and index-linked annuities offer simplified guarantees with limited downside protection; the policyholder “pays” for this protection with a limited upside. These products effectively provide policyholders access to an equity index with an option pass-through. This new direction blurs the line between more traditional variable annuity and fixed indexed annuity products. This session will discuss these and other similar product innovations, including some interesting regulatory, accounting, and risk management considerations.

Description: A discussion of, first, the three-year transition period for adopting principle-based reserves and how it might not apply to tax reserves, and second, the tax impact of adding investment options to in-force contracts.

Description: After nearly a decade of work by ACLI and representatives of its member companies, the Society of Actuaries SOA, the American Academy of Actuaries Academy, and the NAIC’s Life and Health Actuarial Task Force LHATF, on Sept. 24, 2008, the NAIC adopted a new actuarial guideline for applying the method of computing statutory reserves for variable annuity contracts AG VACARVM.

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

Description: Feature article from the newsletter Product Matters discussing variable annuities and principle-based approaches to reserve and capital requirements.

Description: A review of product and sales trends for variable, indexed and fixed annuities against the current backdrop of low interest rates and record equity market valuations

Description: A methodology for calculating risk margins related to policyholder behavior risks for guaranteed living benefits on variable annuities when measuring fair value under FAS 157.

Description: This article summarizes the results of the survey covering industry practices relating to the valuation of variable annuities under FAS 133/157 including implied volatility parameters used in the FAS 133/157 liability scenario generator, non-performance risk and liquidity premium adjustments to discount rates, as well as the determination of risk margins.

Description: The speaker of this session will discuss some common difficulties one encounters when dealing with exotic equity linked derivatives. In particular, a study of a Monthly Sum Cap (MSC) will be presented. Pricing issues, along with dynamic hedging, as well as projections of MSC into the future will also be discussed. Time permitting, some aspects of historical performance will also be addressed