Hedging Variable Annuities

Event Type
CPD Event
Date
Time

6pm - tea/coffee
6.30pm - meeting

Venue
Chartered Accountants House, Pearse Street
Description

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). 

 

Speakers/Presenters
Brian Woods, FSAI
Cost (members)
None
Cost (non-members)
€50
Podcast
Attachment Size
Podcast of Hedging Variable Annuities 59.9 MB
File attachments