Programme

Longevity 10, Chile 3 - 4 September 2014
Universidad Diego Portales
AV Santa Clara 797, Huechuraba
Santiago, Chile

Conference Organisers:  Marco Morales, David Blake, Richard MacMinn

Programme updated 03rd October 2014.

Wednesday 3rd September 2014

08:00-09:00    Registration and Refreshments
09:00-11:00 Plenary Session I 
Moderator:  David Blake
Conference opened by Carlos Pavez, Head of SVS, the Chilean Insurance Regulator
"Strategies and Prospects for Organ Regeneration in Aging."
Alan Fine (Boston University)
[Presentation]
"Mortality Table Graduation and Unisex Mortality Tables"
Angus Macdonald (Heriot Watt University)
[Presentation]
"Future Capital Requirements that should be imposed on the Companies selling Annuities"
Brent Walder (Chief Actuary, Prudential Retirement)
[Presentation]
"Market Development of Deferred Annuities"
Moshe Milevsky (York University)
[Presentation]
11:00-11:30 Refreshment Break
11:30-13:00 Parallel Session I - Academic Presentations
13:00-14:00 Lunch
14:00-15:30 Parallel Session II - Academic Presentations
15:30-16:00 Refreshment Break
16:00-17:30 Plenary Session 2
Moderator:  Guy Coughlan
"Time to go into production mode.  The beginnings of a standardized replicable capital market in longevity risk transfers"
Jeff Mullholland, (Managing Director and Head of Insurance and Pension Solutions, Americas for Societe Generale).
19:30 Gala Dinner

Thursday 4 September 2014

08:00-09:00    Registration and Refreshments
09:00-10:30 Parallel Session III - Academic Presentations
10:30-11:00 Refreshment Break
11:00-12:30 Plenary Session 3
Moderator: Richard MacMinn
"Longevity Risk and Reinsurance:  Strategies for Managing Annuity Blocks"Amy Kessler (Prudential)
[Presentation]
"Market Products for Longevity Risk Hedging"
Guy Coughlan (Pacific Global Advisors)
[Presentation]
"Joint Forum Report"
John Kiff (IMF)
[Presentation]
12:30-13:30 Lunch
13:30-15:00 Plenary Session 4
Moderator: David Blake
"Longevity Risk Pooling"
  Alejandro Bezanilla (AFP Habitat)
[Presentation] Spanish
[Presentation] English

"Deferred Annuities in Latin America"
Michael Garvin (Chief Financial Officer, Principal Financial Group)
[Presentation]

Panel on Annuities (with Moshe Milevsky, Pablo Antolin, Michael Garvin and Solange Berstein).
15:00-15:30 Refreshment Break
15:30-17:00 Plenary Session 5
Moderator: Jonathan Callund 
Lessons from the failed World Bank Longevity Bond. 

A panel discussion with Patricio Espinoza (SVS), Guy Coughlan (Pacific Global Advisors) Amy Kessler (Prudential Financial) and John Kiff (IMF)
[Presentation]
17:00-17:30 Closing remarks, announcement about the Longevity 11 Conference in Lyon, (France), followed by a refreshment break.

Parallel Sessions

                                     Time            Panel A   Panel B Panel C     Panel D        Panel E
Session   I Wed 3 Sept 11:30-13:00   Annuities 1 Pension Risk 1 Life Expectancy 1 Longevity Risk Management 1 Mortality Modelling 1
Session II Wed 3 Sept 14:30-15:00 Health Care/ Insurance 1 Annuities 2 Mortality Modelling 2 Longevity Risk Management 2 Pension Systems 1
Session III Thur 4 Sept 03:30-10:00 Mortality Modelling 3 Longevity Risk Management 3 Mortality Modelling 4 Longevity Risk Management 4

Parallel Session I - Panel A - ANNUITIES 1
Moderator: 
I-Chien Liu

"Pricing and Risk Management of Variable Annuity Guaranteed Benefits by Analytical Methods"
Ruhan Feng, Hans W Volkmer
[Presentation]

"Impacts of Longevity Risk on the Formula of Mortality Dividend for Participating Policies"
I-Chien Liu, Hong-Chih Huang, Chou-Wen Wang.
[Presentation]

Parallel Session I - Panel B - PENSION RISK 1
Moderator: 
Richard MacMinn

"Pricing Buy-ins and Buy-outs"
Yijia Lin, Tianxiang Shi and Ayse Arik
[Presentation]

"Longevity in US Private Plans and Opportunities for Risk Transfer"
Dale Hall
[Presentation]

"Pension Risk Management in the Enterprise Risk Management Framework"
Yijia Lin, Richard MacMinn, Ruilin Tan and Jifeng Yu
[Presentaton]

Parallel Session I - Panel C - LIFE EXPECTANCY 1
Moderator: 
Les Mayhew

"Explaining the Female Longevity Puzzle"
Carsten Rosenskjold and Malene Kallestrup-Lamb
[Presentation]

"Testing and Valuing Informational Advantage of Life Expectancy Providers"
Nan Zhu and Daniel Bauer
[Presentation]

"On the Decomposition of Life Expectancy and Limits to Life"
Les Mayhew and David Smith
[Presentation]

Parallel Session I - Panel D - LONGEVITY RISK MANAGEMENT 1
Moderator: 
Andrew Hunt

"Robust Longevity Risk Management"
Hong Li, Anja De Waegenaere and Bertrand Melenberg
[Presentation]

"Internal Transfer of Longevity Risk in Households and its Impact on Household ability to Participate in Pension-related Capital Market"
Pawel Rokita and Radoslaw Pietrzyk
[Presentation]

"Forward Mortality Rates:  Applications to Securities Pricing and the Hedging of Longevity Risk"
Andrew Hunt and David Blake
[Presentation]

Parallel Session I - Panel E - MORTALITY MODELLING 1
Moderator: 
Julian Tomas

"Mortality Granger-Causality" 
Andreas Milidonis & Maria Efthymiou
[Presentation]

"Constructing Entity Specific Projected Mortality Table Adjustment to a Reference"
Julian Tomas and Fredric Planchet
[Presentation]

Parallel Session II - Panel A - HEALTH CARE/INSURANCE 1
Moderator:
Sharon Yang

"Paying for Care Costs in Later Life using the Value in People's Homes"
Les Mayhew and David Smith
[Presentation]

"Using Taiwan National Health Care Database to Model Cancer Research"
Sharon Yang
[Presentation]

Parallel Session II - Panel B - ANNUITIES 2
Moderator: 
Ruhan Feng

"Annuity Choices and Longevity Bonds: A Developing Country Application"
Jose Luis Ruiz
[Presentation]

"Pricing an Inflation-Linked Annuity Considering Interest Rate and Longevity Risk in the HJM Framework"
Fen-Ying Chen,  Hong Chih Huang and Sharon Yang
[Presentation]

Parallel Session II - Panel C - MORTALITY MODELLING 2

Moderator: Hua Chen

"Approximate Factor Models in Mortality Modelling"
Chengsien Tsai, Richard MacMinn, Ko-Lun Kung, & Weiyu Kuo.
[Presentation]

"Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model with the GAS Structure"
Hua Chen, Richard MacMinn and Tao Sun
[Presentation]

Parallel Session II - Panel D - LONGEVITY RISK MANAGEMENT 2

Moderator: Johnny Siu-Huang Li

"On the Failure (Success) of the Market for Longevity Bonds"
Richard MacMinn & Patrick Brockett
[Presentation]

"Hedging Longevity Risk in Life Settlements using Biomedical RBOs"
Nan Zhu & Richard D. MacMinn
[Presentation]

"Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis from Technical and Economic Perspectives"
Johnny Siu-Hang Li & Kenneth Q. Zhou
[Presentation]

Parallel Session II - Panel E - PENSION SYSTEMS 1
Moderator: 
Jose S. Rosillo

"Optimal Net Contribution and Investment Rules for a Pension Fund Reserve"
Pablo Castaneda, Ruben Castro, Luis Cespedes, Eduardo Fajnzylber, Felix Villatoro & Michael Sherris
[Presentation]

"Pension Forecasting Colombia Model"
Jose S. Rosillo and Patricia Borbon.
[Presentation]

Parallel Session III - Panel A - MORTALITY MODELLING 3
Moderator: 
Chensien Tsai

"All things considered: An Integrated Framework for Multidimensional Longevity Risk Concerns".
Patrick Brockett, Linda Golden, Wei Zhu & Jing Ai
[Presentation]

"Modelling Multi-Population Longevity Risk with Mortality Dependence: A Levy Subordinated Hierarchical Archimedean Copula Approach".
Ken SengTan, Chou-Wen Wang & Wenjun Zhu.
[Presentation]

"Exploring the Modelling on Company-Specific Mortality Rate Experiences"
Chengsien Tsai, Ming-Hua Hsieh, Jin-Lung Peng, Jennifer L. Wang & Hui-Heng Cheng.
[Presentation]

Parallel Session III - Panel B - LONGEVITY RISK MANAGEMENT  3
Moderator: 
Andreas Milidonis

"The Impact of Joint Mortality Modelling on Hedging Effectiveness of Mortality Derivatives".
Chong It Chan, Jackie Li and  Michel Dacorogna
[Presentation]

"Value Hedging of Annuities with an Uncertain Market Price of Longevity Risk"
Ralph Stevens
[Presentation]

"The Cross Section of Asia-Pacific Mortality Dynamics: Implications for Longevity Risk Sharing".
Andreas Milidonis, Yijia Lin & Enrico Biffis
[Presentation]

Parallel Session III - Panel C - MORTALITY MODELLING 4
Moderator: 
Yahia Salhi

"The Locally Linear Cairns-Blake-Dowd Model:  A Note on Delta-Nuga Hedging of Longevity Risk"
Johnny Siu-Hang Li and Yanxin Liu
[Presentation]

"Semi-Coherent Multi-Population Mortality Modelling: The Impact on Longevity Risk Securitization".
Johnny Siu-Hang Li, Wai-Sum Chan and Rui Zhou
[Presentation]

"Fast Change Detection on Proportional Two-Population Hazard Rates"
Yahia Salhi, N. El Karouni, S. Loisei & C Mazza.
[Presentation]

Parallel Session III - Panel D - LONGEVITY RISK MANAGEMENT 4
Moderator: 
Sharon Yang

"Optimal Longevity Hedging Strategy for Insurance Companies Considering Basis Risk"
Hong Chih Huang, Sharon Yang & Jin Kuo Jung
[Presentation]

"Mortality Compression and its Impact on Managing Longevity Risk"
Sharon Yang, Jack C. Yue & Pei-Wen Hsieh
[Presentation]