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Longevity 12

Programme

Programme correct as of 28th September  2016.  Please check regularly for any updates.

A full copy of the programme with abstracts is available here [pdf].

Conference Agenda

Longevity 12 Conference

Day Thursday 29th September 2016
07:30 - 09:00 R e g i s t r a t i o n    a n d    R e f r e s h m e n t s
0830Welcome
Dale Hall, Society of Actuaries, and David Blake
 Plenary Session I – The Demographics of Longevity Risk
08:40 - 09:00

Jay Olshansky, University of Illinois at Chicago
"The Rise and Fall of Human Longevity in the 21st Century"

09:00 - 09:20Aubrey de Grey, Chief Science Officer of SENS Research Foundation
“Longevity Escape Velocity: Incorporating Technological Progress into Extrapolation”
09:20 - 09:40

Sam Gutterman, Retired Director and Consulting Actuary, PricewaterhouseCoopers
“Longevity – The Dark Side”

09:40 - 10:00Vladimir Canudas-Romo , Max Planck Odense Center, University of Southern Denmark
“The Past and Future Rise of Human Longevity
10:00 - 10:30

Panel on the Demographics of Longevity Risk.
Chaired by Guy Coughlan, Universities Superannuation Scheme

Jay Olshansky, University of Illinois at Chicago
Aubrey de Grey, Chief Science Officer of SENS Research Foundation
Sam Gutterman, Retired Director and Consulting Actuary, PricewaterhouseCoopers
James W. Vaupel , Max Planck Institute for Demographic Research, Rostock

10:30 - 11:00R e f r e s h m e n t   B r e a k
11:30 - 12:30

Parallel Session I

Mortality Risk in Pensions and Insurance 1
Mortality Modelling 1
Longevity Risk Management 1
Long-Term Care 1
Mortality Forecasting 1
Mortality Data 1

12:30 - 13:30L u n c h     B r e a k
13:30 - 15:00

Parallel Session II

Product Design 1
Mortality Modelling 2
Basis Risk 1
Micro/Macro Longevity Issues
Annuities 1

15:00 - 15:30R e f r e s h m e n t     B r e a k
 Plenary Session II – Product Innovation
15:30 - 16:00

Richard L. Sandor, Founder of the Chicago Climate Exchange (CCX)
“Financial Innovation”

16:00 - 16:30

Amy Kessler, Prudential Financial
“New Solutions To An Age-Old Problem: Innovative Strategies for Managing Pension and Longevity Risk”

16:30 - 17:00Laura Hardy  RGA Life Reinsurance Company
“Longevity Risk Transfer: Where does the Market Turn when all the Cheap Capacity is Gone?”
17:00 - 17:30

Vladimir Nicenko, Willkie Farr & Gallagher
Nicholas Bugler, Wilkie Farr & Gallagher
Amy Kessler, Prudential Financial
Chip Gillis, Athene Life Re
“Sidecars: Alternative Capital or Reinsurance?”

17:30 - 18:00Panel on Innovation.
Chaired by Guy Coughlan, Universities Superannuation Scheme

 
Amy Kessler, Prudential Financial
James Ciamarro, RGA Life Reinsurance Company
Vladimir Nicenko, Willkie Farr & Gallagher
Nicholas Bugler, Wilkie Farr & Gallagher
Chip Gillis, Athene Life Re
Richard Sandor, Founder of the Chicago Climate Exchange (CCX)
18:30 - 22:30

R e c e p t i o n   - Followed by Gala Dinner

 
DayFriday 30th September 2016
08:00 - 09:00R e g i s t r a t i o n   a n d   C o f f e e
09:00 - 10:30

Parallel Session III

Pricing 1
Mortality Modelling 3
Mortality Modelling 4
Product Design 2
Mortality Forecasting 2

10:30 -11:00           R e f r e s h m e n t   B r e a k
 Plenary Session III – Data Reliability Challenges and Timeliness
11:00 - 11:20Magali Barbieri, Associate Director, Human Mortality Database
"Data Quality Issues and Adjustments in the Human Mortality Database"
11:20 - 11:40

Steve Goss, Social Security Administration.
“The Importance of Consistent Data on Deaths and Exposure over Time, by Age, Sex, and Cause of Death”.

11:40 - 12:00

Tom Jones, Prudential.
"The Importance of High Quality Data for Underwriting Pension Risk Transfer and Longevity Reinsurance Transactions: An Insurance Company Perspective"

12:00 - 12:30

Panel on Mortality Data.
Chaired by Andrew Cairns, Heriot-Watt University

Magali Barbieri, Associate Director, Human Mortality Database
Steve Goss, Social Security Administration
Tom Jones, Prudential

12:30 - 13:30L u n c h    B r e a k
 Plenary Session IV –  Mortality Forecasting in Practice
13:30 - 13:35

Steve Goss, Social Security Administration
Introductions.  Challenge in selecting method and assumptions for projections

13:35 - 13:55Karen P. Glenn, Social Security Administration
“Projecting Mortality by Age and Cause: the Importance of Data Source, Expert Judgment, and Unknown Future Challenges”
13:55 - 14:15Laurence Pinzur, Aon Hewitt
“The Continuing Evolution of RPEC’s Mortality Projection Methodology”
14:15 -14:35Vladimir Canudas-Romo, Max Planck Odense Centre on the Biodemography of Aging, at the University of Southern Denmark
“Mortality Expectations by Cause through 2040: Johns Hopkins Clinicians and Researchers”
14:35 - 14:55

Jay Olshansky, University of Illinois at Chicago.
“Understanding Biology: Going Beyond Simple Statistical Extrapolation”

14:55 - 15:15Steve Goss, Social Security Administration
“Projecting Mortality, Different Models for Different Purposes and Views About the Future”
15:15 - 15:30Discussion, questions, and wrap-up moderated by Steve Goss, Social Security Administration.

15:30

Closing Ceremony – handover to the L13 team

Parallel Sessions Thursday 29th September 2016
11:00 - 12:30Parallel Session I
 Mortality Risk in Pensions and Insurance 1
Ling-Ni Boon                         Longevity Risk Mitigation in Pension Design:  to Share or to Transfer
[Presentation]
Andrew Hunt                           

Modelling Mortality for Pension Schemes
[Presentation

 Mortality Modelling 1
Liang Chen                      Bayesian Inference for Small Population Longevity Risk Modelling
[Presentation
Petar JevticThe Joint Mortality of Couples in Continuous Time 
Severine Arnold                                On the Heterogeneity  of Human Population as reflected by the Mortality Dynamics
[Presentation
 Longevity Risk Management 1
Stuart Silverman, FSA, MAAA, CERA
Milliman,  Silver Sponsor
Diversification of Longevity and Mortality Risk
[Presentation]                                         
Yijia LinOptimal Longevity Risk Transfer and Investment Strategies.
[Presentation
Carsten RosenskjoldHedge Effectiveness of Index Based Transactions Across Socio-Economic Groups
[Presentation]
 Long Term Care 1
Les MayhewPaying for Long Term Care Insurance:  The Pros and Cons of Different Payment Methods
[Presentation
Jack Yue                      Using Taiwan National Health Care Database to Design Long term Care Insurance
[Presentation
Derek Yach                                Transforming Life Insurance to Promote Longevity.
[Presentation]     
 Mortality Forecasting 1
Jimmy RiskGaussian Process Models for Mortality Improvement Factors
[Presentation]      
Andrew Cairns & Vasil EnchevMulti-population Mortality Models Fitting Forecasting, Comparisons and Applications
[Presentation]
Torsten Kleinow            Parameter Risk in Time-series Mortality Forecasts  
[Presentation]     
 Mortality Data 1
Alexandre Boumezoued   A Reliability Challenge for the Human Mortality Database
[Presentation]  
H C Kevin WangUsing the Select Table to Model Mortality Rates of Domestic Immigrants
[Presentation
13:30 - 15:00Parallel Session II
 Product Design 1
Ming-Hua Hsieh                     The Product Design of the Long-Term Care Annuity
[Presentation]                
Patrick L. Brockett                                       The Impact of Financial Literacy on Long-term Care Insurance and Annuity Decision-making: Product Innovation Implications 
 Mortality Modelling 2
Yahia Salhi                    A Random Field Approach for Modeling Mortality Improvements Surface.
Chengwei QinMulti-population Mortality Modelling with Levy Processes
[Presentation]
Hong LiCo-integrated Mortality Rates: A Spatial-Temporal Approach
[Presentation]
 Basis Risk 1
Yanxin Liu                                  Disentangling Mortality Trend Risk and Population Basis Risk: A Functional Time Series Approach
Andrew Cairns and
Ghali El Boukfaoui

Basis Risk in Index Based Longevity Hedges: A Guide for Longevity Hedgers
[Presentation]  

 Micro/Macro Longevity Issues
Anna RappaportPublic knowledge and perceptions about retirement risk, risk management and longevity
[Presentation
Pawel Rokita

Measures of Risk in Life-long Financial Planning for Households – What Should They Be Like
[Presentation

Justyna Majewska                  

The Impact of Longevity on Long-term Investments Returns: Scenarios for Europe
[Presentation

 Annuities 1

Karin Fröhling

Hannover Re
Silver Sponsor

Deferred annuities at retirement
[Presentation

Min JiEvaluating Hedge Effectiveness for Longevity Annuities
[Presentation]
Ralph Rogalla             Optimal Portfolio Choice in Retirement with Participating Life Annuities
Parallel Sessions

Friday 30th September 2016

09:00 -10:30

Parallel Session III

 Pricing 1
Melvern LeungComparison of Pricing Approaches for Longevity Markets
[Presentation
I-Chien Liu

Pricing Survivor Index Swaps under CBD Models with Multivariate Affine non-Gaussian Processes.

Kenneth Q. Zhou                   Longevity Greeks: What Insurers and Capital Market Investors Should Know About?
 Mortality Modelling 3
Hong Li         Modeling and Forecasting Mortality with Economic Growth: A Multi-Population Approach
[Presentation]
Rui Zhou                                                                      Changes of Long-term Relation in Multi-Population Mortality Modeling
[Presentation]

Malene Kallestrup-Lamb                                            

Explaining the Female Longevity Puzzle: Using Register Data to Analyse Mortality Behaviour of Socio-economic Groups and Exploiting Coherent Relations to Improve Mortality Forecasting.
[Presentation
 Mortality Modelling 4
Pasquale CirilloModeling Joint Mortality and its Impact on Annuity Contracts
[Presentation
Qiheng GuoMortality Trends Implied by Term Insurance Prices
Hua Chen                          Compressing or Expansion of Morbidity?  Ambiguous Beliefs and the Demand for Insurance
 Product Design 2
Wenjun ZhuLongevity Variance Swap
Jason Cheng-Hsien TsaiEmbedding the Natural Hedging of Mortality/Longevity Risks into Product Design
[Presentation
Sharon YangDiscussion on the Natural Hedging of Longevity Risk
 Mortality Forecasting 2
Anthony Medford                           Projecting Maximum Country Life Expectancy using Provincial Data Only
[Presentation
Marius PascariuDeriving Age-specifc Death Rates from Life Expectancy Forecasts
[Presentation
Johnny S.-H. LiThe `Heat Wave' Model for Constructing Two-Dimensional Mortality Improvement Scales with Measures of Uncertainty.