The Case for Dynamic Replication of Indexed Annuities

Insurers have traditionally managed the market risk exposure from Index Annuities through static hedging programs, purchasing structured hedges OTC. Sustained lower rates and increased competition have led insurers to look for more cost-effective means of providing this market exposure to their policyholders. Dynamic hedging is one promising avenue to reduced costs.

On Wednesday, May 14th featured speaker Mark Hadley, VP of Financial Engineering, explored different strategies for the dynamic hedging of Index Annuities.

Mr. Hadley covered:

  • Popular Index Annuity designs
  • The mechanics of delta/vega/gamma dynamic hedging strategies
  • The many premia of volatility arbitrage, which drive the cost savings seen in dynamic hedging strategies
  • Quantify the expected savings and risk from various dynamic hedging strategies

Featured Speakers


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