Valuing Insurance Liabilities with Embedded Financial Guarantees
Why Attend
Learn how Numerix CrossAsset can be used to value insurance products with benefits such as a Guaranteed Minimum Death Benefit (GMDB).
Presenter
Mario Bonino, Senior Financial Engineer, Numerix
Date
July 24, 2024 at 10am EDT
Many insurance firms offer insurance products with optional living and death benefits, which make them attractive to customers but also increase the complexity of the contracts. From an insurer’s perspective, these are essentially sophisticated structured products with embedded options, and it can be challenging to value and manage the risk of these contracts.
While some insurers choose to develop in-house solutions to value these products, many others turn to quantitative modeling experts like Numerix for flexible off-the-shelf software capable of accommodating these complex structures.
Join Mario Bonino of Numerix as he showcases how Numerix’s CrossAsset software can be utilized to value liabilities with embedded financial guarantees, focusing on an example of a Guaranteed Minimum Death Benefit (GMDB) and outlining how to:
- Project future cash flows
- Estimate the embedded guarantee’s value
- Quantify sensitivities to risk factors
Featured Speakers
Mario Bonino
Mario joined Numerix in 2022, where he currently works as a Senior Financial Engineer. He is based in Italy and helps clients leverage Numerix products across different use cases.
Mario has extensive experience in insurance and ESGs, both Real World and Risk Neutral, through his previous experience in the insurance industry. Prior to Numerix, he worked at UnipolSai, where he worked in Model Validation in the Risk Management department, and before that he worked as a Quantitative Analyst at Assicurazioni Generali.
Mario holds bachelor’s and master’s degrees in mathematics from Università degli Studi di Padova (Italy).
Udi Sela
Udi Sela has been active in foreign exchange derivatives markets for over 25 years. As a senior derivatives trader and trading manager at Citibank and JPMorgan, he developed expertise in derivatives spanning both vanilla and complex FX options. After his trading career, he has led product development, pre-sales and business development functions within a range of financial software vendors. Mr. Sela is currently responsible for product and field marketing at Numerix.