Presentation - Society of Actuaries in Ireland

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Market Risk Management – Reinsurance• Growing market in reinsurance• Risk appetite varies – market,mortality/longevity, lapse, election• Limited availability of full risk transfer• Provides alternative for smaller books or newentrants• Reinsurance company may have minimum sizeand other limitations
Impact of Hedging - Examples• We examine the implications of various marketstresses on the option value• With no hedging and different hedge strategies• Then look at longer term profit and lossdistribution projections• This gives us some possible input for economiccapital
Page 1 and 2: Variable AnnuitiesSociety of Actuar
Page 3 and 4: Introduction (Section 1)• Variabl
Page 5 and 6: Definitions (Section 2)• GMDB - G
Page 7 and 8: US Variable Annuity Sales ($bn)Sour
Page 9 and 10: European and Asian Developments•
Page 11 and 12: Customer Outcomes (Section 6)• St
Page 13 and 14: Simulation 81 - Fund Value and Guar
Page 15 and 16: Probability Distribution - Income f
Page 17 and 18: Key Market Risks (Section 9)• Equ
Page 19 and 20: Pricing (Section 7)• Key elements
Page 21 and 22: Price to the customer• Range of f
Page 23: Hedging Techniques• Dynamic Hedgi
Page 27 and 28: Projection over time - Unhedged
Page 29 and 30: Measures of Economic Capital at Ris
Page 31 and 32: Solvency Margin• Products carry i
Page 33 and 34: Market ConditionsFTSE 10010 Year Eq
Page 35: Discussion Topics (2)• Will hedgi

Presentation - Society of Actuaries in Ireland

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