6pm - tea/coffee
6.30pm - meeting
Using a simple example of a Put Option, this paper explores such matters as the significance of Realised Volatility risk, Underlying Volatility risk and choice of hedged formula on the effectiveness of applying a hedging strategy to Variable Annuity contracts. It also briefly considers the stress tests proposed by the Central Bank of Ireland and Solvency II in this simplified context.
This meeting will appeal to anyone working in the VA area, either as a product provider or a regulator. It will also appeal to anyone with a general interest in the subject – note that prior knowledge / experience is not necessary, though it would be a good idea to read the paper beforehand (this will be posted here before the meeting).