Variable Annuities
Variable Annuities
A Global Perspective
Edited by Tigran Kalberer and Kannoo Ravindran
Published by Risk Books, a Division of Incisive Financial Publishing Ltd
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2009 Incisive Media
ISBN 978-1-906348-21-2
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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.