Aymeric Kalife
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6 publications
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Financial risk management and the rational lapse strategy in life insurance policies
Aymeric Kalife , Saad Mouti , Lihang Wang -
Understanding guaranteed minimum withdrawal benefit: a study on financial risks and rational lapse strategy
Lihang Wang , Aymeric Kalife , Xiaolu Tan , Bruno Bouchard , Saad Mouti -
Minimizing market impact of hedging insurance liabilities within risk appetite constraints
Aymeric Kalife , Saad Mouti , Xiaolu Tan -
Managing investment and liquidity risks for derivatives within a market impact perspective
Aymeric Kalife doi: http://dx.doi.org/10.21511/ins.08(1).2017.06Insurance Markets and Companies Volume 8, 2017 Issue #1 pp. 59-73
Views: 715 Downloads: 124 TO CITE АНОТАЦІЯThe recent period has experienced many instances when market volatility suddenly increased even when there were no well-known fundamental catalysts, as illustrated by the short-lived but sharp transitions from low volatility to high volatility, as many in the last six years as we have had in the prior two decades ‒ increasing evidence that we are in a new volatility-of-volatility regime. Fundamentally, market impact is an illustration of market inefficiency: theories of efficient markets typically expect that investors buy and sell assets based on assessments of their intrinsic value, in contrast with large derivative players who often act based on market price movements which may not be linked to fundamentals. Market impact risk refers to the degree to which large size transactions can be carried out in a timely fashion with a minimal impact on prices. As a result, managing investment and liquidity risks for large players requires introducing an explicit market impact function, and applying to derivatives significantly depends on whether there is or not significant delta hedging activity: in case of no significant delta hedging activity, the risk appetite has significant influence on the optimal execution strategy, while in case of significant delta hedging activity the optimal trading involves feedback hedging effects translating into a modified Black ‒ Scholes hedging strategy.
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Optimal behavior strategy in the GMIB product
Aymeric Kalife , Gabriela López Ruiz , Saad Mouti , Xiaolu Tan doi: http://dx.doi.org/10.21511/ins.09(1).2018.05Insurance Markets and Companies Volume 9, 2018 Issue #1 pp. 41-69
Views: 675 Downloads: 297 TO CITE АНОТАЦІЯGuaranteed Minimum Income benefit are variable annuities contract, which offer the policyholder the possibility to con- vert the guarantee level into an annuities income for life. This paper focuses on the optimal customer behavior assuming the maximization of the discounted expected future cash flows over the full life of the contract duration. Using convenient scaling properties of the contract value enables to reduce the complexity (dimension) of the problem and to characterize the policyholder’s decision as a function of the contract moneyness across four main choices: zero withdrawals, guaranteed withdrawals, lapse and the income period election. Sensitivities to key drivers such as the market volatility, the interest rate and the roll-up rate illustrate how crucial are not only the environment, but also the product design features, in order to ensure a fair and robust pricing for both customer and life insurer. In particular, the authors find that most empirical contracts are usually underpriced compared to mean optimal behavior pricing, which empirically translated into multiple updates of behavior assumptions and re-reserving by life insurers in the recent years.
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