Hedging Fixed Income Annuities – Strategy Overview and Emerging Trends

Arsen Arutyunov, ASA
Phil Weeber

The topic of this session will focus covering the current practices surrounding hedging the base contract of a Fixed Index Annuity (FIA). The presentation will detail capital market principals employed in the evaluation of embedded derivatives and hedge strategy assessment. Risk assessment through performance attribution will also be covered for common FIA hedge derivatives. The presentation will conclude by reviewing emerging trends in hedge practices that surround FIA products.

Arsen is a Senior Pre-Sales Financial Engineer at Numerix and provides actuarial solutions to clients focusing on hedge strategy design and implementation, liability modeling, and risk-neutral valuation with a focus on Fixed Index Annuities and Variable Annuities.

Prior to joining Numerix, Arsen served as an Associate Actuary for Sammons Financial Group working on experience studies and financial planning models for fixed indexed annuities and indexed universal life. Arsen is an Associate of the Society of Actuaries.

Phil is an Executive Director within Chatham Financial’s Insurance practice which advises on financial risk management and provides outsourced hedging and accounting operations. Previously, Phil was the Executive Director of Chatham’s global Commodity Risk practice where he designed and implemented risk management strategies for airlines, mining companies, and industrial manufacturers. Since joining Chatham in 2003, Phil has worked across asset classes – interest rates, currencies, equities and commodities – advising clients with risk strategy, hedging implementation and execution.

Phil holds a MBA from Emory (Goizueta) University, a Masters in Environmental Engineering from the University of North Carolina, and a BS in Civil Engineering from the University of Michigan.

Leave a Reply