Participate in this session to learn the essentials and applications of option pricing through a discussion
complemented with small follow-on case studies.
Option pricing is a critical technology in many areas of insurance practice. Variable annuities and
insurance pricing and reserving are among the latest high-profile areas in which option pricing is of
enormous practical importance. Our experts will examine:
• The basics of option pricing: what it is and how it works;
• Basic examples of option pricing including the Black-Scholes formula;
• The relevance of option pricing to the actuarial profession; and
• The role of option pricing in the design, pricing and risk management of insurance products.
The case studies used in the session will include an insurance pricing and reserving case study dealing
with investment risk. This teaching session is designed for those who have no prior knowledge of the
Black-Scholes model.