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
[Presentation]
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]
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