SOA ILA LAMIndividual Life & Annuities — Life ALM & Modeling

Assets 1,000 with duration 6; liabilities 900 with duration 8. Surplus duration is:

Which application requires a risk-neutral scenario set?

A GMAB block has a delta of −40M per 1.00 of index. To delta-hedge with index futures (multiplier 250, index 4,000) the insurer should:

Under ASOP 56, which is NOT a required consideration when relying on a model developed by others?

A single-premium deferred annuity block has a 5-year surrender charge schedule and a book-value surrender option. Assets are 7-year corporate bonds. (a) Describe the ALM risks in both rising and falling rate environments. (b) Recommend three actions to manage the mismatch. (c) Explain why modified duration understates the liability's rate sensitivity.

Compare a dynamic delta-rho hedging programme with static reinsurance for a block of variable annuities with guaranteed lifetime withdrawal benefits, covering cost, residual risks, capital and accounting effects. Recommend one for a mid-sized insurer with limited derivatives infrastructure.

Design a validation plan for a new stochastic VA reserving model before its first production use. Structure your answer by inputs, methodology, implementation, outputs and governance.