tailieunhanh - Investment Guarantees the new science phần 8

GMDB ngày càng tăng là một nguy cơ đáng kể hơn, với một CTE 95% của khoảng 3% phí bảo hiểm ban đầu bằng cách sử dụng quản lý rủi ro tính toán bảo hiểm. Một lần nữa, các chiến lược bảo hiểm rủi ro đáng kể làm giảm nguy cơ đuôi. Các so sánh được cung cấp trong hình và giữa các chuyên viên thống kê bảo hiểm | Risk Measures for VA Death Benefits 175 TABLE Risk measures for VA-type GMDB benefits 30-year contract percentage of initial fund value. Guarantee Risk Management Strategy Quantile CTE 90 95 90 95 Fixed Actuarial Fixed Hedging 5 . increasing Actuarial 5 . increasing Hedging The increasing GMDB is a more substantial risk with a 95 percent CTE of around 3 percent of the initial single premium using actuarial risk management. Again the hedging strategy significantly reduces the tail risk. The comparisons provided in Figures and between actuarial and dynamic-hedging strategies give rise to the question Which is better The CTE curves show that on average . at CTE0 the actuarial approach is substantially more profitable than the dynamic-hedging approach. On the other hand at the right tail the risk associated with the actuarial approach is greater than the dynamic-hedging approach in some cases very substantially so. If solvency capital is to be determined using for example the 95 percent Alpha continued FIGURE Risk measures for 30-year VA-GMDB benefits comparing actuarial and dynamic-hedging risk management. Alpha 176 RISK MEASURES -10 -20 Guarantee Increasing at 5 per year Quantile Risk Measure Alpha Continued FIGURE 0 CTE then the actuarial approach will require considerably more solvency capital to be maintained than the dynamic-hedging approach and the cost of retaining this capital needs to be taken into consideration in determining whether to hedge or not. Indeed it needs to be considered for all aspects of the management of equity-linked contracts including decisions about commercial viability and pricing. Such decisions are the topic of the next chapter. __JM10 Emerging Cost Analysis DECISIONS In this chapter we show how to use the results of the analysis described in previous chapters to make strategic .