Many insurers currently link Equity-Indexed Annuities (EIAs) to well-known equity indices such as the S&P 500, NASDAQ 100, or Russell 2000. However, some insurers are considering linking their EIAs to volatility control indices instead, such as the S&P 500 Risk Control Index series. By linking to indices that reduce market exposure during periods of high volatility and increase exposure when markets are calm, insurers can offer attractive new investment solutions to clients who value the benefits of volatility risk mitigation.

However, in offering these new products to clients, it is imperative that insurers fully understand the modeling, pricing and risk implications of the products, so as to avoid unintended and undesirable risks in the future.

In this webinar recorded on Wednesday, July 10, 2013, featured speakers from S&P Dow Jones Indices and Numerix discussed the latest trends in linking EIAs to volatility control indices, as well as important pricing and hedging considerations for these new products.

Our four experts discussed the following topics:

  • Macro view of the EIA market, and market outlook for the second half of 2013
  • Challenges insurers face offering attractive returns in a low interest rate environment
  • Deep dive into volatility targeting indexing strategies
    • How they work
    • Effects of using them in EIAs
  • Primer on EIA pricing
    • Popular crediting mechanics and pricing levers
    • Volatility skew’s impact on pricing
  • Pricing EIAs linked to target volatility indices
    • Volatility skew of target volatility indices
  • Model dependence considerations
  • Dynamic hedging of target volatility EIAs
To view the on-demand webinar, just register on the right side of this page.

Featured Speakers:
Alan Grissom, Vice President, Insurance Channel Management, S&P Dow Jones Indices
Alan Grissom works in S&P Dow Jones Indices Channel Management business as the global head of insurance, responsible for the strategic leadership and direction of the insurance lines of business. He has been with the company since 2010 and is based in New York.

Prior to joining S&P Dow Jones Indices, Alan spent 12 years working in the insurance industry with some of the largest insurance carriers in the world. A successful serial entrepreneur, he was a founding partner of a marketing consulting firm and the founder of a software development firm. He also established and led the highly acclaimed Independent Distribution Channel at AIG American General Life and Accident after guiding the annuity products division to record sales and profits for over six years.

Alan has a master’s degree from Vanderbilt University’s Owen School of Management and a bachelor’s degree from The University of Alabama.

Frank Luo, PhD, Global Head of Research and Design, S&P Dow Jones Indices
As the head of Global Index Research and Design at S&P Dow Jones Indices, Frank Luo is responsible for quantitative index research and design efforts across all asset classes.

Dr. Luo joined Standard & Poor’s in 2009. From 2001 to 2009 he was a senior derivatives trader at HSBC Bank USA, New York. Prior to HSBC, he worked as a quantitative analyst with Deutsche Bank, New York, and a derivative analyst with Salomon Brothers, Tokyo, Japan.

Dr. Luo holds a bachelor’s degree in physics from the University of Science and Technology of China and a PhD in physics from the University of Chicago.

Mark Hadley, FSA, CFA, Vice President, Financial Engineering, Numerix
Mr. Hadley has worked with numerous variable annuity insurers across the industry, whose exposure spans all corners of the globe. He specializes on the capital markets side focusing on financial market modeling, hedge strategy design, and hedge execution. In his current role with Numerix, he consults with banks, hedge funds, and insurance companies across the globe on how to manage exotic derivative exposure. Prior to Numerix, Mr. Hadley worked with Milliman’s Financial Risk Management group, where he designed and executed several VA and EIA hedging strategies.

Alex Marion, Financial Engineer, Numerix
Mr. Marion has experience developing and implementing risk management solutions for insurers, banks, and hedge funds whose exposure spans multiple asset classes. He has a deep understanding of both vanilla and exotic derivatives, focusing largely on risk risk-neutral valuation, financial modeling, and dynamic hedging. Prior to joining Numerix, Mr. Marion served as a quantitative analyst for Phoenix Wealth Management where he developed a risk-neutral economic scenario generator with applications in VA and EIA hedging. Before Phoenix, Mr. Marion was a consultant with Milliman’s Financial Risk Management where he executed dynamic hedging strategies for VAs.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

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