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Hedge Cost Index January 201702 February 2017 - By Adam Schenck and Daren Lockwood and Ram Kelkar and Xiaohong Mo - Article

The expected hedge cost for a hypothetical lifetime GMWB block is estimated to be 123 bps as of the end of January 2017, down 1 bps from the previous month, driven by an increase in long-term swap interest rates.

How effective is variable annuity guarantee hedging?08 December 2016 - By Peter H. Sun and Ram Kelkar and Victor Huang and Jing Dai - Article

This paper examines the effectiveness of the hedging programs for a wide variety of Variable Annuity writers.

Hedge Cost Index November 201606 December 2016 - By Adam Schenck and Daren Lockwood and Ram Kelkar and Xiaohong Mo - Article

The expected hedge cost for a hypothetical lifetime GMWB block is estimated to be 135 bps as of the end of November 2016, down 18 bps from the previous month, driven by an increase in long-term swap interest rates.

Hedge Cost Index October 201604 November 2016 - By Adam Schenck and Daren Lockwood and Ram Kelkar and Xiaohong Mo - Article

The expected hedge cost for a hypothetical lifetime GMWB block is estimated to be 153 bps as of the end of October 2016, down 17 bps from the previous month, driven by an increase in long-term swap interest rates.

Hedge Cost Index September 201605 October 2016 - By Adam Schenck and Daren Lockwood and Ram Kelkar and Xiaohong Mo - Article

The expected hedge cost for a hypothetical lifetime GMWB block is estimated to be 170 bps as of the end of September 2016, down 2 bps from the previous month, driven by an increase in long-term swap interest rates.

Hedge Cost Index August 201608 September 2016 - By Adam Schenck and Daren Lockwood and Ram Kelkar and Xiaohong Mo - Article

The expected hedge cost for a hypothetical lifetime GMWB block is estimated to be 172 bps as of the end of August 2016, up 4 bps from the previous month, driven by a decrease in long-term swap interest rates.

Hedge Cost Index July 201603 August 2016 - By Adam Schenck and Daren Lockwood and Ram Kelkar and Xiaohong Mo - Article

The expected hedge cost for a hypothetical lifetime GMWB block is estimated to be 168 bps as of the end of July 2016, up 3 bps from the previous month, driven by a decrease in long-term swap interest rates.

Hedge Cost Index June 201605 July 2016 - By Adam Schenck and Daren Lockwood and Ram Kelkar and Xiaohong Mo - Article

The expected hedge cost for a hypothetical lifetime GMWB block is estimated to be 165 bps as of the end of June 2016, up 17 bps from the previous month, driven by a large decrease in long-term swap interest rates.

Milliman Derivatives Survey 201529 June 2016 - By Chunpu Song and and Neil Dissanayake and Ram Kelkar and Victor Huang - Article

Our annual global survey of life insurance companies explores trends in risk management practices and derivatives usage within the insurance industry.

Hedge Cost Index May 201603 June 2016 - By Adam Schenck and Daren Lockwood and Ram Kelkar and Xiaohong Mo - Article

The expected hedge cost for a hypothetical lifetime GMWB block is estimated to be 148 bps as of the end of May 2016, up 2 bps from the previous month, driven by a slight decrease in long-term swap interest rates.


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