1. New York, 30th September & 1st October 2015
www.training.risk.net/variableannuitiesusa
Risk
Management
inVariable
Annuities
• Comprehensive overview of the
risks posed byVariable Annuity
products
• Understanding of the
possibilities for risk management
in product design
• Discussion of hedging strategies
and how to implement them
• Insights into howVA products
are affect by low interest rate risk
environments
• Presentations from experienced
industry practitioners
Course highlights
Frank Zhang
Mr. Zhang joined Pacific Life in 2011
as Vice President, Risk Management
in the Retirement Solutions Division.
In this role, Mr. Zhang manages
and directs risk management for
the Division. He manages the
variable annuity and fixed indexed
annuity capital market hedging
programs, fixed product asset
liability management program,
risk management strategies, and
works with the Product Design in
development sustainable products.
Prior to joining Pacific Life, Mr. Zhang
was the practice leader and Executive
Director for Ernst &Young LLP’s
Annuity Financial Risk Management
and Hedging consulting services in
NewYork. He advised global insurers
on risk management and capital
market hedging program. Prior to
E&Y, Mr. Zhang was Director at Equity
Structured Derivatives Desk with
Societe Generale, an investment
bank in NewYork, and Vice President
and Senior Quantitative Derivatives
Strategist with ING, a global insurer.
Mr. Zhang has many years of
experience developing hedging/risk
management and pricing strategies,
conducting quantitative researches
and model/risk reviews, developing
and implementing advanced analytic
risk management systems, and
managing capital market hedging
programs from both the buy side
and the sell side of the insurance
industry. Mr. Zhang also worked with
several other major US life insurance
companies in different actuarial
areas of ALM, product development/
pricing, and valuation/financial
management.
Day one tutor

2. — Ability to identify the risks posed by variable
annuity products
— Understanding of how to mitigate risks in variable
annuities through product design
— Insight into how to manage a hedging programme
for variable annuities
— Awareness of how variable annuities are affected
by low interest rate environments
— Overall appreciation of how the risks associated
with Variable annuities can be managed through;
product design, hedging, and reinsurance
Seminar Prices 2015
Early Bird Rate 1
Before 28 August 2015
Standard Rate
After 28 August 2015
New York $1899 $2199
HOW TO BOOK
Register online: training.risk.net/variableannuitiesusa
Email: donovan.swart@incisivemedia.com
Phone: +44 (0)207 316 9240
New York, 30th September 1st October 2015Risk Management in Variable Annuities
About the course
The course will examine the sources of risks associated with
variable annuity products and offer participants guidance on how
to mitigate these risks through; product design, hedging strategies
and reinsurance. The course will also include discussion on recent
developments, new products, and emerging trends in the Variable
Annuities market.
Day one of the course will be delivered by experience practitioner
Frank Zhang, Frank will provide a comprehensive overview of
the causes of risk in variable annuities and the risk management
solutions at the practitioners disposal. The second day of the event
will be made up of shorter talks from industry professionals who
will look in greater depth at some of the latest developments and
emerging trends in risk management methods for Variable Annuities.
Learning outcomes
Who should attend?
The course will be of benefit
to anyone who is looking to
increase their knowledge
of risk management in
variable annuities. It may be
particularly relevant to those
working in the following
areas;
— Risk Analyst
— Risk Manager
— Risk Officer
— Actuary
— Pricing Actuary
— Product Specialist
— Product Director
— Derivatives Structurer
— Treasurer
— Hedging Analyst
— Liability Manager
— Solutions Manager
By attending this course delegates will gain the following knowledge and expertise:
www.training.risk.net/variableannuitiesusa

3. Risk Management in Variable Annuities
www.training.risk.net/variableannuitiesusa
Day One Wednesday 30 September 2015
Day one will be delivered by Frank Zhang, Vice President
in Risk Management at PACIFIC LIFE
08:30 Coffee and registration
09:00 Introduction to the US Variable Annuities
(VA) market
– VA crisis and recovery
– Renewed popularity of VA products
– Basics of VA product features
09:30 VA risks and pricing
– VA as insurance derivatives
– Market risks - Equity, interest rate, volatility, and basis risks
– Actuarial risks - Policy holder behaviour/optionality risk, and
mortality/longevity risk
– Systemic risk vs. diversifiable risk
– Capital market“pricing”of“traditional”derivatives
– Actuarial“pricing”ofVA as derivatives
11:00 Coffee break
11:30 Different financial valuation metrics forVA business
– Economic - EC, MCEV
– GAAP - SOP 03-1, FAS 133/157
– Statutory - AG43 and C3 Phase 2
13:00 Lunch
14:00 VA risk management
– Risk management options - Product design, reinsurance/captive,
and hedging
– De-risking through product design
– Risk sharing through reinsurance
14:30 VAhedgingprogramandperformancemanagement
– Static vs. dynamic hedging
– Hedging system and trading model
– Hedge ratio and fund basis risk management
– Hedge program performance attribution analysis
15:30 Coffee break
16:00 VA risk management strategies
– Risk appetite and sustainable growth
– Optimizing the financial metrics
– Tools for risk management strategy studies
17:00 Day one recap
17:30 Close of Day One
Day Two Thursday 1 October 2015
08:30 Coffee and registration
09:00 Using multi-asset derivatives forVA risk management
– Adjusting to reference interest rate levels deferred pay outs
– Managing reinvestment rate risk
– Correllation risk
– Sensitivity to pricing assumptions
SPEAKER: Taras Klymchuk, Director, Multi Asset Group, CITI
10:30 Coffee break
11:00 In-force Management Initiatives
– Death living benefit buyouts
– Lump sum option
– Risk reduction and decreasing Greeks
– Premium suspension
– Rider increases
– Introduction of the volatility tool, basis actions, fund substitutions
SPEAKER: Stephen Gruber, Co-Head Lead Actuary of Inforce
Management , AXA
11:30 Case study session – Topic to be confirmed
– Combining insurance concepts and banking capabilities
– Developing new solutions
SPEAKER: Michael Gordon, Managing Director, Head of Retirement,
Insurance, and Strategic Solutions, BNY MELLON INVESTMENT
MANAGEMENT
12:30 Lunch
13:30 Responding to a low interest rate environment
– Industry scan of new VA products in marketplace to combat low
interest rate environment
– Mechanisms in VA products to lower cost of guarantees in low
interest rate environment
– How are VA profit margins/targets impacted in low interest rate
environments?
– Examples of VA products that have worked and have not worked in
low interest rate environment
– QA
SPEAKER: Amit Ayer, Head of Life Solution Group Analytics, WILLIS RE
14:30 Coffee break
15:00 Case Study on the experience of a leading Managed
Risk Strategy
– Volatility Management
– Capital Protection Strategy
– Reducing Downside Exposure
– Achieving Funding Objectives
SPEAKER: Rajeev Dutt, Principal Consulting Actuary, Milliman
15:45 Future of theVA market: discussion
– How far risk management come has, what is still to address?
– Emerging VA products - Rise of Fixed Annuities
– New initiatives in risk management
– Market outlook
– Concluding Questions Thoughts
MODERATER: Frank Zhang,Vice President, Risk Management, Pacific Life
PANELISTS: Taras Klymchuk, Director, Multi Asset Group, CITI
Rajeev Dutt, Principal Consulting Actuary, Milliman
Stephen Gruber, Co-head Lead Actuary of Inforce Management, Axa
16:45 Close of course
New York, 30th September 1st October 2015