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Tigran Kalberer - Variable Annuities

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Variable Annuities will provide an overview of all the relevant aspects of Variable Annuities (VA) products from an insurers perspective. It will be a collection of contributions from several authors, co-ordinated in such a way that it covers all relevant areas with minimal overlap and a consistent level of detail. The market is of huge interest for US, European and Japanese insurers. For several hundred years, the insurance industry has offered a tremendous variety of life insurance products. Some of these life insurance products are aimed at providing investment possibilities, such as with-profits endowments and annuity products. These products typically provide substantial investment guarantees, which is one of their main advantages, along with tax privileges and the fact that the assets are managed prudently. The success of these products can be traced back to the fact that together with the distribution model, directly approaching potential customers, these products are ideal for the clients that are either less sophisticated in planning for their retirement, or do not want to invest efforts in this planning or have avoided to address this topic at all. But there are some clear disadvantages, which may not be relevant to all, but to some customers and the forces of competition lead companies to develop new products, which addressed these disadvantages, which are: The opaqueness of the investment process The lack of customer-control over the investment process The not sufficient profit sharing of returns above the investment guarantee and the opaqueness of this profit sharing mechanism Over time it has become apparent that there is an additional disadvantage from a company perspective, which is the substantial required risk capital these products generate due to the guarantees they provide. All these problems can be addressed with so-called unit linked products at the expense of not providing investment guarantees any more. Unit-linked products invest the savings part of the premiums of the policyholder transparently in investment vehicles, mostly internal or external funds and let the policyholder participate fully in the investment returns of these funds the upside as well as the downside. While these products clearly address the issues mentioned above they typically do not provide any investment guarantees any more. The obvious step now is to build investment guarantees into unit-linked products this is what Variable Annuities provide. Variable Annuities combine the advantages of traditional life insurance products long term investment guarantees, with the advantages of unit-linked products transparency of the investment and full upside participation. This of course comes with a price: The policyholder has to pay a premium for the additional investment guarantee The shareholder has to manage the substantial risks generated by such products Nevertheless these products have had a tremendous success in the US and in the past few years we have seen these products being offered in the European markets. These products are new to Europe, except in some locations, where they have been widespread, e.g., Switzerland, and have generated a lot of interest as they can address the weaknesses of the traditional life products. New sales volumes are encouraging and we can witness the creation of a new product class, after the unit-linked products have entered the European market some decennia ago. This book will cover: * History of the VA market * Current VA market environment in North America, Europe, Australasia * Valuation of VA contracts * Risks and Risk Management of VAs * An analyst and rating agency s view of a VA writer * Insurance regulations governing VAs * Liquidity in global derivatives markets * Effectiveness of hedging programs during the market turm

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Variable Annuities - image 1
Variable Annuities
Variable Annuities
A Global Perspective
Variable Annuities - image 2
Edited by Tigran Kalberer and Kannoo Ravindran
Variable Annuities - image 3
Published by Risk Books, a Division of Incisive Financial Publishing Ltd
Haymarket House
2829 Haymarket
London SW1Y 4RX
Tel: + 44 (0)20 7484 9700
Fax: + 44 (0)20 7484 9797
E-mail: books@incisivemedia.com
Sites: www.riskbooks.com
www.incisivemedia.com
2009 Incisive Media
ISBN 978-1-906348-21-2
British Library Cataloguing in Publication Data
A catalogue record for this book is available from the British Library
Publisher: Nick Carver
Managing Editor: Jennifer Gibb
Designer: Lisa Ling
Copy-edited and typeset by T&T Productions Ltd, London
Printed and bound in the UK by PrintonDemand-Worldwide
Conditions of sale
All rights reserved. No part of this publication may be reproduced in any material form whether by photocopying or storing in any medium by electronic means whether or not transiently or incidentally to some other use for this publication without the prior written consent of the copyright owner except in accordance with the provisions of the Copyright, Designs and Patents Act 1988 or under the terms of a licence issued by the Copyright Licensing Agency Limited of 90, Tottenham Court Road, London W1P 0LP.
Warning: the doing of any unauthorised act in relation to this work may result in both civil and criminal liability.
Every effort has been made to ensure the accuracy of the text at the time of publication, this includes efforts to contact each author to ensure the accuracy of their details at publication is correct. However, no responsibility for loss occasioned to any person acting or refraining from acting as a result of the material contained in this publication will be accepted by the copyright owner, the editor, the authors or Incisive Media.
Many of the product names contained in this publication are registered trade marks, and Risk Books has made every effort to print them with the capitalisation and punctuation used by the trademark owner. For reasons of textual clarity, it is not our house style to use symbols such as TM, , etc. However, the absence of such symbols should not be taken to indicate absence of trademark protection; anyone wishing to use product names in the public domain should first clear such use with the product owner.
While best efforts have been intended for the preparation of this book, neither the publisher, the editor nor any of the potentially implicitly affiliated organisations accept responsibility for any errors, mistakes and or omissions it may provide or for any losses howsoever arising from or in reliance upon its information, meanings and interpretations by any parties.
Dedicated to the Memory of Hubert Mueller
(November 22, 1960November 18, 2009)
It is our sad duty to note to the readers of this book that our good friend and colleague, Hubert Mueller (author of Chapter 2, North American Variable Annuities ), died unexpectedly just prior to publication of this book. Hubert was a principal of Towers Perrin and was a consummate professional.
The editors of this book knew Hubert as a very energetic, friendly and deeply committed individual and he was a pleasure to work with. He was a recognised actuarial thought leader in Germany and the US, a tireless supporter of the advancement and development of the variable annuities industry and practice. We will most certainly miss him, his ongoing participations, honest opinion and valuable contributions.
Contents
Kannoo Ravindran
Annuity Systems Inc and Hsklinn Reykjavk
Marianne Purushotham; Michael L. Kaster
Watson Wyatt; Kaster Actuarial Resources, LLC
Hubert Mueller
Towers Perrin
Michael Winkler
New Re
Lukas Ziewer; Yves Lehmann
Oliver Wyman; Socit Gnrale/Catalyst Re
Tigran Kalberer
KPMG
Tigran Kalberer
KPMG
Vinay Kalro, Jay Blumenstein and Joe Zhao
Swiss Re
Kirk Evans
Samsung Life
Daniel Heyer
Nationwide Financial
Tze Ping Chng, Matthew Wion
Ernst & Young
Kannoo Ravindran
Annuity Systems Inc and Hsklinn Reykjavk
Rajeev Dutt
Milliman
Adam Stolz
AXA
Michael Winkler
New Re
Yves Lehmann
Socit Gnrale/Catalyst Re
Kannoo Ravindran
Annuity Systems Inc and Hsklinn Reykjavk
Kannoo Ravindran
Annuity Systems Inc and Hsklinn Reykjavk
Mark Evans
AEGON
Jorg Sauren
ING
Mun Kurup, Warren Manners
ING
Kannoo Ravindran
Annuity Systems Inc and Hsklinn Reykjavk
Tigran Kalberer
KPMG
Sam Gutterman
PricewaterhouseCoopers LLP
Stefan Engelnder
KPMG
Tigran Kalberer
KPMG
Pin Chung
Allianz Investment Management
Tigran Kalberer
KPMG
Darin Arita
Deutsche Bank Securities Inc
Scott Robinson
Moodys Investors Service
Edward K. Tom, Naveed Choudri and James Masserio
Credit Suisse
Tigran Kalberer pioneered the application of market-consistent valuation and risk-based capital techniques in life insurance during the past 20 years. He has applied risk management and, notably, asset-liability management techniques for life insurance companies in a wide variety of situations. He has supported several companies in developing VA products, ensuring that the policyholder behaviour risks, volatility risks and basis risks are well under control. Tigran is a partner in the actuarial practice of KPMG.
Kannoo Ravindran pioneered the use of derivatives to manage market risks embedded in variable annuities at a time when writers of such risks used only traditional reinsurance or retrocession or took on the risks naked. Since then, Ravi has been working on all aspects of variable annuity risk management (including managing such risks on a total account value exceeding US$100 billion) and product development. He chairs the Equity Based Insurance Guarantee Conference Series held annually by the Society of Actuaries. Ravi is also a visiting professor at Hsklinn Reykjavk.
Darin Arita is an analyst for Deutsche Bank Securities Inc, equity research in New York.
Jay Blumenstein received a Bachelors degree in mathematics from Brown University in 1994 and a PhD in mathematics from Columbia University in 1999. He then joined the derivatives research group at JP Morgan, where he spent six years as an equity derivatives desk quantitative analyst. He joined Swiss Re in 2005 and, with Vinay Kalro, built an in-house grid computing solution for the pricing, hedging and risk management of variable annuities to help launch their multi-billion-dollar reinsurance effort in that space.
Tze Ping Chng is senior manager of actuarial services at Ernst & Young. Based in Hong Kong, he has spoken at various events on the topic of variable annuities.
Naveed Choudri is a marketer on the Equity Derivatives desk at Credit Suisse, covering insurance companies. Prior to joining Credit Suisse, Naveed worked in various positions at BNP Paribas, Goldman Sachs and KPMG. Naveed holds a BSc from the University of Birmingham and is a fellow of the Institute of Chartered Accountants in England and Wales.
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