Tea/coffee - 6pm
The paper will cover:
- Assessment of Risks and Risk Mitigation of Unit Linked Guarantees with a primary focus on Variable Annuities
- Specifically looking at the primary challenges of risk replication covering transaction, funding and collateral costs
- Together with an update on recent regulatory developments under Solvency II, CP41 and CP42
- Closing out with an update on recent developments in hedging and product structures.
An Executive’s Handbook for Understanding and Risk Managing Unit Linked Guarantees, presented by the Variable Annuities Member Interest Group of the UK Actuarial Profession in April 2010, is attached.
Also attached is a paper by James Maher on OTC Option Pricing for Insurers. James will draw on these papers in his presentation