SOA ILA LAMIndividual Life & Annuities — Life ALM & Modeling

Fellowship (FSA)

5 hours·≈10 written-answer questions·≈400 study hours

Score 0/0 · 4 MC

ILA LAM · Q1
Multiple choice
Hedging guarantees (GMxB, FIA)
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:
ILA LAM · Q2
Written answer
Hedging guarantees (GMxB, FIA)
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.