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

Description: This report provides the results of a VA survey on policyholder behavior in the tail on VA products containing guaranteed minimum benefits.

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: A paper demonstrating how to obviate the need for market timing strategies in variable annuity products by judicious use of product design. The paper presents the premise behind the product design, provides numerical examples, then explores possible extensions of the concept to produce more sophisticated variable annuity plans based on guarantees of investment outcomes.

Description: The article compares China's variable annuities with India's NAV guaranteed ULIPs. Both of them mostly working on CPPI. The comparison is mainly focused on market competition landscape, unit-linked business market share, incentives of introducing the product, and the macro-economic environment in the two countries.

Description: This presentation provided an analysis of investment guarantees in equity-linked products. There was an overview of the data and models in use. In addition an actuarial approach to left-tail analysis was presented as well as a dynamic hedging approach. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: This abstract describes a paper that develops a risk-neutral valuation methodology that takes different tax structures into consideration and applies it to a simplified withdrawal guarantee as well as a representative empirical Variable Annuity contract.

Description: This abstract describes a paper that considers the Guaranteed Minimum Withdrawal Benefits (GMWB) variable annuity rider under a static withdrawal strategy but allowing for early surrenders.

Description: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

Description: Discusses how AG 34 provides a clarification of CARVM for variable annuities with MGDB’s.