Event Details

Event:

Variable Annuities: A Panel Discussion on Pricing and Risk Management

Date:

Location:

Details:

An evening of drinks, networking and education, discussing the practical challenges of writing and hedging variable annuities in today’s market

Harvard Club of New York City
35 W. 44th St.

5:00pm Cocktail reception
6:00pm Presentation and panel discussion
7:00pm Networking

Confirmed panelists include:

Doug French, Managing Principal & Global Director, Insurance and Actuarial Advisory Services, Ernst & Young
Nicholas Mocciolo, Senior Vice President, Hartford Investment Management Co.
Andrew Rallis, Senior Vice President – ALM, VA Hedging and Marker Risk Analytics, MetLife
Jim Lloyd, Managing Director – Insurance/Reinsurance, Société Générale
Mark Hadley, Actuarial Financial Engineer, Numerix

Discussion topics:

Economic scenario generation in a cross-asset, cross-currency setting using both risk-neutral and real-world measurements
The use of cross-Greeks like rate/gamma to hedge liabilities with derivatives
Projecting hedging strategies into the future
Calculating economic capital requirements using VACARVM
Determining arbitrage-free prices and fair premiums for new products
Addressing FAS 133/157 through the use of market-standard valuations for derivatives
Efficient architectures for complex computations, including “stochastic-on-stochastic” calculations
Explaining day-to-day performance of derivatives positions through performance attributions analysis
Scenario-type solutions for manipulating product features such as roll-ups
Using derivatives instruments to model policyholder behavior