Programme

Programme correct as of 8th September 2015.  Please check the programme regularly for any updates.

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

Conference Agenda

Day 1 Monday 7th September 2015 
 Academic Day   
07:45 -08:30      Registration Opening  
08:30 - 0900Welcome Coffee
09:00 - 0915Opening Ceremony
Nicole El Karoui & Stephane Loisel 
09:15 -10.:00Ronald Lee,  Berkeley
"The Lee-Carter Model: an update and some extensions"
[Abstract] [Presentation]
10:00:10:30

Coffee Break

10:30 - 11:00Pietro Millossovich, Cass Business School
"A Comparative Study of Two-Population Mortality Models for the Assessment of Basis risk in Longevity Hedges". 
[Presentation
11:00- 11:30Alexandre Boumezoued, University Paris 6
"Population Dynamics for Longevity Risk "
[Presentation
11:30 - 12:00Quentin Guibert, SAF Laboratory
"Non-Parametric Inference of Transition Probabilities Based on Aalen-Johansen Integral Estimators for Acyclic Multi-State Models: Application to LTC Insurance" 
[Presentation
12:00 - 13:30Lunch Break
13:30 - 14:15Gilles Pages, University Paris 6
"Multilevel Methods for Nested Monte Carlo Simulation"
[Presentation
14:15 - 16:00Academic Day Parallel Session
Mortality Modelling 1
Longevity Risk Management 1
Mortality Modelling 2
Mortality Modelling 3 
16:00 - 16:30Refreshment Break
16:30 - 17:15                          Henning Bohn, UCSB
"Intergeneral Risk Sharing and Aggregate Longevity Risks"
[Presentation
17:15 - 17:45                                                 Ragnar Norberg, SAF Laboratory
"Risk Sharing within and across Generations"
[Presentation
Day 2    Tuesday 8th September 2015
Longevity 11 Conference 
07:45 - 08:00 Registration Opening 
08:00 - 08:30               Welcome Coffee
08:30 - 09:15Opening Ceremony
Stephane Loisel, David Blake & Nicole El Karoui                                  
09:15 - 09;35Denis Jacquat, Assemblee Nationale
"Longevity and Aging Issues in France: a Member of Parliament's Perspective"
[Presentation] 
09:35 - 10:05Jessica Mosher, OECD
"Mortality Assumptions and Longevity Risk"
[Presentation
10:05 - 10:50Ronald Lee, Berkeley
"Widening socioeconomic Differences in Mortality and the Progressivity of Public Pensions and other Programs for the Elderly"
[Abstract] [Presentation]
10:50 - 11:20Coffee Break
11:20 - 12:05Tom Kirkwood, Newcastle University
"Why and How are We Living Longer?"
[Presentation
12:05 - 12:50Laurent Schwartz, Ecole Polytechnique
"Cancer Mortality: Towards a Structural Change?"
[Presentation
12:50 - 14:20Lunch Break
14:20 - 14:50Andre De Vries, RGA
"Capital Motivated Longevity Transactions in Practice"
[Presentation
14:50 - 15:20Guy Coughlan, Universities Superannuation Scheme
“Longevity – it’s academic”
[Abstract] [Presentation]
15:20 - 15:50Avery Michaelson, Societe Generale
"Indexed vs. Indemnity Longevity Hedges".
[Presentation]
15:50 - 16:20Refreshment Break
16:20 - 17:40Parallel Session 1
Mortality Modelling 4
Longevity Products 1
Longevity Risk Management 2
Other 1
Day 3    Wednesday 9th September
Longevity 11 Conference  
07:45 - 08:00                  Registration Opening    
08:00 - 08:30Welcome Coffee
08:30 - 09:45Parallel Session II
Mortality Modelling 5
Longevity Risk Management 3
Reverse Mortgages 1
Annuities 1
09:45 - 10:15Coffee Break
10:15 - 10:45Jean-Marie Robine, INSERM
"Update on the Adult Longevity Revolution"
[Presentation]
10:45 - 11:15Michel Denuit, Louvain
"Finite Portfolio Approximations"
[Presentation]
11:15 - 12:15Round Table - "Big Data & Longevity"
Frederic Planchet, SAF Laboratory
Alexander Zhavoronkov, John Hopkins University
Pierre-Henri Tavoillot, Paris Philosophy College
                                               
12:15 - 13:45Lunch Break
13:45 - 15:10Parallel Session III
Mortality Modelling 6
Longevity Risk Management 4
Pension Buyouts/Annuity Demand 1
Annuities 2
15:10 - 16:00Round Table "Longevity and Long Term Care"
Jean-Herve Lorenzi, Edmond de Rotschild
Serge Guerin, ESG
Jean-Micheal Ricard, Siel Blue
16:00 - 16:30Refreshment Break 
16:30 - 17:00Mark Flint, SCOR
"The Impact of Recent Regulatory Change on the UK Individual Annuity Market"
[Presentation
17:00 - 17:30Philip Simpson, Milliman
"Recent Developments in the UK Longevity Market"
[Presentation]
17:30 - 18:00Amy Kessler, Prudential Financial
"The Longevity Risk Transfer Market at $250 Billion Innovation, Golobalization and Growth"
[Abstract] [Presentation]
18:00 - 18:15Closing Ceremony

Parallel Sessions - Monday 7th September 2015
Academic Day Parallel Session - 14:15

 Mortality Modelling 1    
Yang LU

Large Duration Asymptotics in Bivariate Survival Models with Unobserved Heterogeneity.
[Abstract] [Presentation]

Ning ZHANG        Analysis on Mortality Cohort Effect of Birth Year in View of Differential Geometry and its Application
[Abstract] [Presentation]
Frank Van BERKUM         Bayesian Portfolio Specific Mortality  
[Abstract]  [Presentation]     
 Longevity Risk Management   1
Hong LI                  Dynamic Hedging of Longevity Risk: The Effect of Trading Frequency.  
[Abstract] [Presentation]
Luca REGISBasis risk in Static Versus Dynamic Longevity Risk Hedging.  
[Abstract] [Presentation]
Caroline HILLAIRET     Affine Long Term Yield Curves: An Application of the Ramsey Rule wih Progressive Utility  
[Abstract] [Presentation]  
 Mortality Modelling 2  
Heloise LABIT HARDY             Cause-of-Death Mortality: A Study of a Heterogeneous Portfolio Dynamic
[Abstract] [Presentation
Severine ARNOLDTime-evolution of Age-Dependant Mortality Patterns in Mathematical Model of Heterogeneous Human Population.
[Abstract] [Presentation]
Julian TOMASA Credibility Approach of the Makeham Mortality Law
 Mortality Modelling 3    
Edouard DEBONNEUIL                              Do Actuaries Believe in Longevity Deceleration?
[Abstract] [Presentation]
Guillaume BIESSYA Continuous Time Semi-Markov with 3 States and 4 Transition Laws to Estimate the Biometrics Laws Associated with a Long-term Care Insurance Portfolio.
[Abstract] [Presentation]       
Olivier LOPEZModelling the Evolution of the Dependence Structure between Two Lifetimes.
[Abstract] [Presentation]
Andes VILLEGASStMoMo: An R Package for Stochastic Mortality Modelling
[Abstract] [Presentation]

Parallel Sessions - Tuesday 8th September 2015
Parallel Session I - 16:20

 Mortality Modelling 4
Yahia SALHIA Generalized Linear Mixed Modeling Approach for Two-Population Mortality Modelling
[Abstract][Presentation]
Martin GENZExtension, Compression and Beyond - A Unique Classification System for Mortality Evolution Patterns.
[Abstract][Presentation
Jack C YUEMortality Models and Longevity Risk for Small Populations
[Abstract] [Presentation]
 Longevity Risk 2    
Kenneth ZHOUOn Discrete-time Geek Hedging of Longevity Risk.
[Abstract] [Presentation]
Wen-Yen HSUMulti-Country Mortality Modeling and Hedging Longevity Risk: Time Series vs. Panel Approach. 
[Abstract] [Presentation]        
Richard MACMINNThe Choice of Trigger in an Insurance Linked Security: The Mortality Risk Case
[Abstract] [Presentation] 
 Longevity Products 1  
Jorge BravoValuation of Longevity Linked Annuities
[Abstract]  [Presentation]       
Federica TEPPAFriends, Family and Framing: An International Comparison of Longevity Expectations Formation.
[Abstract] [Presentation]
James RISKStatistical Emulators for Pricing and Hedging Longevity Risk Products.
[Abstract] [Presentation]
 Other 1          
Pawel ROKITA                       Longevity and other types of Risk - an Integrated Approach to Measuring Risk of Household Financial Plan.
[Abstract] [Presentation]
Kevin WANGUsing the Taiwan National Health Insurance Database to Design No Claim Discount in Hospitalization.
[Abstract] [Presentation]
Farid FLICILongevity and Life Annuities Reserving in Algeria: Comparison of some Mortality Models.
[Abstract] [Presentation]

Parallel Sessions - Wednesday 9th September 2015
Parallel Session II - 08:30

 Mortality Modelling 5  
Andrew CAIRNS         Multi-Population Mortality Modelling: A Danish Case Study.
[Abstract] [Presentation]
Johannes SCHUPPModelling Trend Processes in Parametric Mortality Models
[Abstract] [Presentation]
Yanxin LIUIt's All in the Hidden States: A Hedging Method with an Explicit Measure of Population Basis Risk. 
[Abstract] [Presentation]
 Longevity Risk Management 3
Sharon YANG       Optimal Hedging Strategy for Catastrophic Mortality Risk Considering Life Settlements
[Abstract] [Presentation]
Jerry HUANG A Practical Approach of Natural Hedging for Insurance Companies
[Abstract] [Presentation]
Cheng WANHedging the Longevity Risk: A Study of Longevity Basis Risk in Switzerland
[Abstract] [Presentation]
 Reverse Mortgages 1      
Adam SHAOManaging Retirement Risks with Reverse Mortgage Loans and Long-term Care Insurance.
[Abstract] [Presentation
Yung-Tsung LEE       Valuation of Reverse Mortgage Portfolio - A Dynamic Copula Approach.
[Abstract] [Presentation]
I-Chien LIUProfitability Analysis and Risk Profile for Reverse Annuity Mortgages.
[Abstract] [Presentation]
 Annuities 1        
Sandy BRUSZAS        Unisex Pricing of German Participating Life Annuities - Boon or Bane for Customer and Insurance Company?
[Abstract] [Presentation]
Etienne MARCEAUThe Impact of Longevity on the Hedge Efficiency of Guaranteed Lifetime Withdrawal Benefit (GLWB) Products.
[Abstract][Presentation
David SMITHThe Effect of Longevity Drift and Investment Volatility on Income Sufficiency in Retirement.
[Abstract] [Presentation

Parallel Sessions - Wednesday 9th September 2015
Parallel Session III - 13:45

 Mortality Modelling 6    
Steven BAXTERA Practical Framework for Assessing Basis Risk in Index-Based Longevity Hedges.
[Abstract] [Presentation]
Anthony MEFORDBest Practice Life Expectancy: An Extreme Value Approach.
[Abstract] [Presentation]
Marius PASCARIU  The Double-Gap Life Expectancy Forecasting Model.
[Abstract][Presentation]
 Longevity Risk Management 4 
Andrew HUNTPricing Longevity-linked Options.
[Abstract][Presentation]   
Enareta KURTBEGUReplicating Inter-generational Risk Sharing in Financial Market   .
[Abstract] [Presentation]                          
Pierre VALADEReinsurance, a Solution to Manage Longevity Risk.
[Abstract] [Presentation]
 Pension Buyouts/Annuity Demand 1        
Yijia LINPension Risk Management with Funding and Buyout Options
[Abstract] [Presentation]
Patrick BROCKETT                              Understanding Longevity Risk Annuitization Decision-making: An Interdisciplinary Investigation of Financial and Non Financial Triggers of Annuity Demand.
[Abstract] [Presentation]
Ayse ARIKPricing of Pension Buyouts under Dependence Assumption.  
[Abstract] [Presentation]
 Annuities 1
Jakob KLEIN     Managing Longevity Risk: Tontines vs. Annuities.
[Abstract] [Presentation]               
Jennifer Li-Ling WANG                          Valuation of Variable Long-term Care Annuities with Guaranteed Lifetime Withdrawal Benefit: A Variance Reduction Approach.
[Abstract] [Presentation]  
Min JI   Model and Parameter Uncertainty in Pricing Deep-deferred Annuity
[Abstract] [Presentation]