Basis Risk Variable Annuities

Capital Requirements For Variable Annuities - Discussion Paper
Variable Annuities - Discussion Paper August 2009 Insurance Supervision Department . Contents Basis Risk We define basis risk as that which exists because the guarantees are applied to investment funds that do not perform exactly as hedging ... Access Document

It's Your Money: Pros And Cons Of A Variable Annuity
A variable annuity is an investment contract with an insurance company where you invest money into your choice of a variety of sub-accounts. Sub-accounts are similar to mutual funds, where money from a large number of investors is pooled and invested in accordance with specific investment ... Read News

Korean Variable Annuities Market - Milliman.com
Korean Variable Annuities Market Ji Eun Choi, Peter Sun, Dongkuk Kim, and Chihong An March 2010 Milliman Research Report Korean Variable Annuities Market Prepared by: basis risk, and model risk. Before the global market downturn, the ... Get Doc

RECORD, Volume 30, No. 3 - SOA - Society Of Actuaries
Proportion of the risk in variable annuities associated with these writers can effectively, realistically in the practical world be hedged out? terms of basis risk, insurance companies, for fund transfers and this type of thing, ... View This Document

Understanding Variable Annuities
Note: Variable annuities involve investment risk and may lose value. Therefore, you should consider your ability to sustain investment losses during periods of market downturns. cost basis (i.e., the value of the account at the owner’s death). ... Content Retrieval

Variable Annuities - SIAS
Introduces basis risk. Therefore other greeks such as gamma and vega are often used as well. Additionally an expert trader may make decisions based on his/her views of the Variable Annuities – Tamsin Abbey & Catherine Henshall – 16/10/2007 40 Appendix: US GAAP ... Fetch Content

Implementing Risk Appetite For Variable Annuities
Liability-side transactions are the basis of economic loss, and economic loss is the basis of economic capital. All three of these items can be managed with a company-wide Implementing Risk Appetite for Variable Annuities Author: Nick Jacobi ... Read More

INTEREST RATE RISK AND MARKET RISK - AmericanAcademyOfActuaries
Basis of Factors The interest rate risk is the risk of losses due to changes in interest rate levels. The interest rate risk component for Variable Annuities and Similar Products should be determined on a pre-tax basis and added to the interest rate risk component for ... View This Document

AXA EQUITABLE VARIABLE ANNUITY GUARANTEED BENEFITS DYNAMIC ...
Variable annuities have sophisticated guarantees ¾Based on AXA Equitable experience to date and back testing, basis risk is immaterial ¾Regular adjustment to funds mapping captures performance difference and style drift ... Access Content

Variable Annuity Risk Management And Hedging Effectiveness
Source: Variable Annuities by Ledlie et al (2008) Source: Milliman Research. 19. Section 5 Performance of Hedging Programs since • Control of basis risk is important. 27. The Future • Product innovation continues • Product prices will be more sensitive to market ... Read More

Recommended Approach For Setting Regulatory Risk-Based ...
Hedge positions expected to be held in the future introduce basis, gap, price, or assumption risk, a suitable reduction for effectiveness of hedges should be made. formula does not recognize this risk for other variable annuities with guaranteed fund ... Retrieve Here

Variable Annuity: Risk Management Through Breakthrough ...
To increased basis risk and high volatilities. The cur-rent market meltdown with soared volatility and low design of variable annuities. The primary feature of the new product is to offer the policyholder access to nega-tively correlated funds. ... Get Document

Static Hedging Effectiveness For Longevity Risk With ...
Several sources of basis risk were also analysed and were found variable annuities, the initial payment is assumed to be $100,000. For deferred annuities, individuals will generally require a signi cant amount of their savings for consumption ... Access Doc

Variable Annuities - Issues Relating To Dynamic Hedging ...
Nevertheless, it constitutes a basis risk which should also be monitored. 2.1 Simulation of a liquidity crisis : liquidity horizon and liquidity cost The risk management of variable annuities portfolios relies on sophisticated strategies for managing the hedging ... Retrieve Content

Variable Annuities Brunner Krayzler - Risklab
3 Risk Management for Variable Annuities Because of increasing sales volumes and rising product profitability in the United States such as high prices, basis risk between the underlying index and longevity risk faced by insurances or pension funds. ... Document Viewer

Variable Annuities And Decomposition - Welcome To Q Group
Managing the Risk of Variable Annuities: a Decomposition Methodology. Introduction. Variable annuities are retirement products sold by insurance companies to individuals, qualified and non-qualified accounts. on the pathwise basis. Specifically, ... Retrieve Here

Robustly Hedging Variable Annuities With Guarantees Under ...
E.g., S&P 500; the issue of basis risk is not addressed here. For a derivative contract, the most frequently used hedging strategy in the financial For risk management of variable annuities, one is interested in risk quantification and risk ... Access Document