Professional Development
 
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2017 CIA Annual Meeting

June 21–22, 2017
Québec City Convention Centre, Québec


Session 42 • Basis Risk Effect on Segregated Funds Hedging

Hedging risk associated with segregated funds guarantees is a difficult problem as it involves diverse risks such as equity, interest rate, mortality, basis, and withdrawal. The basic risk effect driven by the imperfect correlation between the underlying and the hedging assets was one of the main causes of losses for insurers during the recent financial crisis of 2008. The speakers will present an approach to optimize hedging strategies with basic risk in mind and to quantify its effect. 

Sponsors

Patron

Elliot Bauer


Partner Re


SCOR Logo

Benefactor

Manulife Logo


Moody's Analytics Logo


Prudential


Oliver Wyman


RGA Logo


Society of Actuaries

Contributor

Hannover Re


KPMG Logo


Quebec City