Modern Portfolio Management

Modern Portfolio Management

Risk Model Validation 3rd edition

Risk Model Validation 3rd edition

Non-traditional Life Insurance Products with Guarantees


This new book by the best-selling editors of Variable Annuities analyses all investment products with guarantees - such as VAs, index linked products, CPPI-based products - from the perspective of product design, pricing, reserving value management and risk management.  It examines issues that are faced by both insurance and mutual fund companies.

Availability: In stock

Non-traditional Life Insurance Products with Guarantees provides an overview of all of the relevant aspects of these investment and retirement products from an insurer’s and pension plan’s perspective and offers practical and theoretical advice.  The editors have brought together a team of authors from the industry, resulting in a practical and essential text for any insurer.

Chapters feature:

  • Low Interest Rate Environments and the Consequences
  • Capital-light Products
  • The Need for Modern Forms of Annuities
  • How did VAs Fare in the Crisis?
  • Valuation as Basis for any Risk Management
  • Life Insurance Products are Exotic Derivatives
  • Models Used to Value Equity and Interest Rate Derivatives
  • Stochastic Cash-flow Modelling
  • Policyholder Behavioral models
  • Mortality/Longevity Modelling
  • Capital Markets Risks
  • Managing the Risks Underlying a VA Liability
  • Measuring and Monitoring Hedge Efficiency
More Information
ISBN 9781782722038
Navision code MNTL
Publication date 14 Oct 2016
Size 155mmx235mm
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Tigran Kalberer and Kannoo Ravindran

Tigran Kalberer has pioneered the application of market-consistent valuation techniques in life insurance during the last 20 years. He has applied risk management and notably ALM techniques for life insurance companies in a wide variety of situations. Having previously been at KPMG, Tigran is currently Principal and Consulting Actuary at Milliman.

Kannoo Ravindran (Ravi). Since pioneering the use of derivatives to manage market risks embedded in variable annuities at a time when writers of such risks used only traditional reinsurance/retrocession or took on the risks naked, Ravi has been working on all aspects of variable annuity risk-management (including managing such risks on a total account value exceeding USD 100 billion) and product development. Ravi is currently President and CEO of Annuity Systems.



Part 1:  Environment

Low Interest Rate Environments and consequences

Risks faced by writers of investment guarantees

Variable Annuity in Asia post 2008

How did Variable Annuities Fare in the Crisis?

Capital light products - the holy grail (title tbc)

An overview of regulatory requirements 

Part 2 - Modelling


Economic Scenario Generators and Variable Annuities

Modelling and Managing policyholder behavioral risks

Modelling and Managing mortality and longevity risks

Valuation of Variable-Annuity Guarantees

Part 3 - Risk Management

Understanding and using reinsurance treaties for guaranteed products

Hedging of Long Term Fund Linked Exotic Options

Overview of commonly used risk-management strategies

Taxinomy of equity, interest rate, hybrid and customised derivatives used for risk management

Managing risks underlying a VA liability

Basis Risk

Measuring hedge Effectiveness

Measuring and reporting hedge efficiency

8 Important Questions Practitioners Should Ask When Managing Equity Linked Insurance Guarantee Risks