Longevity 11 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 - 0900	Welcome Coffee
09:00 - 0915	Opening Ceremony Nicole El Karoui & Stephane Loisel  [Video Presentation]
09:15 -10.:00	Ronald Lee,  Berkeley "The Lee-Carter Model: an update and some extensions" [Abstract] [Presentation]
10:00:10:30	Coffee Break
10:30 - 11:00	Pietro Millossovich, Cass Business School "A Comparative Study of Two-Population Mortality Models for the Assessment of Basis risk in Longevity Hedges".  [Presentation]
11:00- 11:30	Alexandre Boumezoued, University Paris 6 "Population Dynamics for Longevity Risk " [Presentation]
11:30 - 12:00	Quentin 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 - 13:30	Lunch Break
13:30 - 14:15	Gilles Pages, University Paris 6 "Multilevel Methods for Nested Monte Carlo Simulation" [Presentation]
14:15 - 16:00	Academic Day Parallel Session Mortality Modelling 1 Longevity Risk Management 1 Mortality Modelling 2 Mortality Modelling 3
16:00 - 16:30	Refreshment 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 - 09:15	Opening Ceremony Stephane Loisel, David Blake & Nicole El Karoui
09:15 - 09;35	Denis Jacquat, Assemblee Nationale "Longevity and Aging Issues in France: a Member of Parliament's Perspective" [Presentation]
09:35 - 10:05	Jessica Mosher, OECD "Mortality Assumptions and Longevity Risk" [Presentation]
10:05 - 10:50	Ronald Lee, Berkeley "Widening socioeconomic Differences in Mortality and the Progressivity of Public Pensions and other Programs for the Elderly" [Presentation]
10:50 - 11:20	Coffee Break
11:20 - 12:05	Tom Kirkwood, Newcastle University "Why and How are We Living Longer?" [Presentation]
12:05 - 12:50	Laurent Schwartz, Ecole Polytechnique "Cancer Mortality: Towards a Structural Change?" [Presentation]
12:50 - 14:20	Lunch Break
14:20 - 14:50	Andre De Vries, RGA "Capital Motivated Longevity Transactions in Practice" [Presentation]
14:50 - 15:20	Guy Coughlan, Universities Superannuation Scheme “Longevity – it’s academic” [Abstract] [Presentation]
15:20 - 15:50	Avery Michaelson, Societe Generale "Indexed vs. Indemnity Longevity Hedges". [Presentation]
15:50 - 16:20	Refreshment Break
16:20 - 17:40	Parallel 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 - 08:30	Welcome Coffee
08:30 - 09:45	Parallel Session II Mortality Modelling 5 Longevity Risk Management 3 Reverse Mortgages 1 Annuities 1
09:45 - 10:15	Coffee Break
10:15 - 10:45	Jean-Marie Robine, INSERM "Update on the Adult Longevity Revolution" [Presentation]
10:45 - 11:15	Michel Denuit, Louvain "Finite Portfolio Approximations" [Presentation]
11:15 - 12:15	Round Table - "Big Data & Longevity" Frederic Planchet, SAF Laboratory Alexander Zhavoronkov, John Hopkins University Pierre-Henri Tavoillot, Paris Philosophy College
12:15 - 13:45	Lunch Break
13:45 - 15:10	Parallel Session III Mortality Modelling 6 Longevity Risk Management 4 Pension Buyouts/Annuity Demand 1 Annuities 2
15:10 - 16:00	Round Table "Longevity and Long Term Care" Jean-Herve Lorenzi, Edmond de Rotschild Serge Guerin, ESG Jean-Micheal Ricard, Siel Blue
16:00 - 16:30	Refreshment Break
16:30 - 17:00	Mark Flint, SCOR "The Impact of Recent Regulatory Change on the UK Individual Annuity Market" [Presentation]
17:00 - 17:30	Philip Simpson, Milliman "Recent Developments in the UK Longevity Market" [Presentation]
17:30 - 18:00	Amy Kessler, Prudential Financial "The Longevity Risk Transfer Market at $250 Billion Innovation, Golobalization and Growth" [Abstract] [Presentation]
18:00 - 18:15	Closing 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 REGIS	Basis 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 ARNOLD	Time-evolution of Age-Dependant Mortality Patterns in Mathematical Model of Heterogeneous Human Population. [Abstract] [Presentation]
Julian TOMAS	A Credibility Approach of the Makeham Mortality Law

	Mortality Modelling 3
Edouard DEBONNEUIL	Do Actuaries Believe in Longevity Deceleration? [Abstract] [Presentation]
Guillaume BIESSY	A 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 LOPEZ	Modelling the Evolution of the Dependence Structure between Two Lifetimes. [Abstract] [Presentation]
Andes VILLEGAS	StMoMo: An R Package for Stochastic Mortality Modelling [Abstract] [Presentation]

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

	Mortality Modelling 4
Yahia SALHI	A Generalized Linear Mixed Modeling Approach for Two-Population Mortality Modelling [Abstract][Presentation]
Martin GENZ	Extension, Compression and Beyond - A Unique Classification System for Mortality Evolution Patterns. [Abstract][Presentation]
Jack C YUE	Mortality Models and Longevity Risk for Small Populations [Abstract] [Presentation]

	Longevity Risk 2
Kenneth ZHOU	On Discrete-time Geek Hedging of Longevity Risk. [Abstract] [Presentation]
Wen-Yen HSU	Multi-Country Mortality Modeling and Hedging Longevity Risk: Time Series vs. Panel Approach.  [Abstract] [Presentation]
Richard MACMINN	The Choice of Trigger in an Insurance Linked Security: The Mortality Risk Case [Abstract] [Presentation]

	Longevity Products 1
Jorge Bravo	Valuation of Longevity Linked Annuities [Abstract]  [Presentation]
Federica TEPPA	Friends, Family and Framing: An International Comparison of Longevity Expectations Formation. [Abstract] [Presentation]
James RISK	Statistical 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 WANG	Using the Taiwan National Health Insurance Database to Design No Claim Discount in Hospitalization. [Abstract] [Presentation]
Farid FLICI	Longevity 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 SCHUPP	Modelling Trend Processes in Parametric Mortality Models [Abstract] [Presentation]
Yanxin LIU	It'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 WAN	Hedging the Longevity Risk: A Study of Longevity Basis Risk in Switzerland [Abstract] [Presentation]

	Reverse Mortgages 1
Adam SHAO	Managing 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 LIU	Profitability 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 MARCEAU	The Impact of Longevity on the Hedge Efficiency of Guaranteed Lifetime Withdrawal Benefit (GLWB) Products. [Abstract][Presentation]
David SMITH	The 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 BAXTER	A Practical Framework for Assessing Basis Risk in Index-Based Longevity Hedges. [Abstract] [Presentation]
Anthony MEFORD	Best 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 HUNT	Pricing Longevity-linked Options. [Abstract][Presentation]
Enareta KURTBEGU	Replicating Inter-generational Risk Sharing in Financial Market   . [Abstract] [Presentation]
Pierre VALADE	Reinsurance, a Solution to Manage Longevity Risk. [Abstract] [Presentation]

	Pension Buyouts/Annuity Demand 1
Yijia LIN	Pension 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 ARIK	Pricing 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]