Description: This article explores the effectiveness of hedging delta and rho of equity options. This provides insight into the frequency and severity of losses due to not hedging volatility risk or other higher order risks. 10yr-equity put option strategies were chosen to represent the risk of hedging guaranteed benefits attached to variable annuities, while 1-yr put and call strategies were modeled to investigate the risk of hedging equity index interest credited to fixed indexed annuities. In both cases, the value of the option was compared to the value of delta/rho hedges in the tail of both actual historical and simulated scenarios for equity returns and volatilities. The historical path of interest rates and equities was generally used to highlight the hedge impact for different implied volatility assumptions in each example.

Description: Proposes alternatives for estimating the long term interest returns in Indexed Universal Life products. Defends expected return of 20%-45% on hedge budgets.

Description: Recaps the evolution of VA products and hedging programs. Reflects on strategic considerations that contributed to relative performance in this market.

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

Description: Discusses the current controversy with the NAIC over Small Face Amount Policies, SFAPs.

Description: The decrease in interest rates over the last several years has led to decreases in the maximum valuation rate and maximum nonforfeiture interest rate, and companies need to prepare for these changes.

Description: Written from a regulatory perspective, the article covers the purpose of regulation and some regulatory expectations. The topics include the appointed actuary's involvement in corporate governance, reasonability of results when compared to prior results, data quality, familiarity with the company's annual statement and applicable statutes, and areas where appointed actuaries can add value though services provided to smaller life insurance companies.

Description: Introducing the Respresentative Scenarios Method, the Motivation and Goals, how the methodology works, and what key information can be derived.

Description: A discussion of the American Financial case in detail. Also includes background on what the statute requires and the Internal Revenue Service (IRS)’s ruling and litigating positions.

Description: Feature article discussing pending health care reform and the issue of access to care. From The Actuary Magazine, April/May 2010 Vol 7 Issue 2