Date
Time

6pm - tea/coffee

6.30pm - meeting

Venue
Chartered Accountants House, Pearse Street

Hedging Variable Annuities

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). 

 

To access podcast please contact the Society: info@actuaries.ie 

Cost (members)
None
Cost (non-members)
€50
Event Type
CPD Event
Speakers/Presenters
Brian Woods, FSAI
File attachments
Date Attachment Size
30/11/2016 140416 Effectiveness of Hedging Strategies - Brian Woods.pdf 1.63 MB Download
30/11/2016 Presentation 1.57 MB Download