Presentation - Society of Actuaries in Ireland

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Regulatory Constraints (Section 11)• HMRC limits on income drawdown (know asGAD limits) complicate market in the UK• Can limit income payout when markets fall• Can force higher income when markets rise• Undesirable and lobbying for change• Not an issue in Ireland – though 3% ARFminimum withdrawal could cause similar issues
Market ConditionsFTSE 10010 Year Equity ImpliedVolatility20 Year Swap RateSwaption Volatility(10 year option on 10 year swaps)Cost of Guarantee30/06/07660820.0%5.49%12.0%0.49 %07/03/08570027.1%4.90%11.4%0.96%
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 and 24: Hedging Techniques• Dynamic Hedgi
Page 25 and 26: Impact of Hedging - Examples• We
Page 27 and 28: Projection over time - Unhedged
Page 29 and 30: Measures of Economic Capital at Ris
Page 31: Solvency Margin• Products carry i
Page 35: Discussion Topics (2)• Will hedgi

Presentation - Society of Actuaries in Ireland

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