Faculties and research


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)
"Mortality Table Graduation and Unisex Mortality Tables"
Angus Macdonald (Heriot Watt University)
"Future Capital Requirements that should be imposed on the Companies selling Annuities"
Brent Walder (Chief Actuary, Prudential Retirement)
"Market Development of Deferred Annuities"
Moshe Milevsky (York University)
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)
"Market Products for Longevity Risk Hedging"
Guy Coughlan (Pacific Global Advisors)
"Joint Forum Report"
John Kiff (IMF)
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)

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)
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
I-Chien Liu

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

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

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

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

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

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

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

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

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

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

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

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

"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

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

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

"Mortality Granger-Causality" 
Andreas Milidonis & Maria Efthymiou

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

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

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

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

Parallel Session II - Panel B - ANNUITIES 2
Ruhan Feng

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

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

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.

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

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

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

"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

Parallel Session II - Panel E - PENSION SYSTEMS 1
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

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

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

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

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

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

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

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

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

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

Parallel Session III - Panel C - MORTALITY MODELLING 4
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

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

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

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

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

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