Longevity 13 Programme

September 21

Cathay Financial Center

Registration

8:00 – 8:45

Opening Remarks

8:45 – 9:00

Plenary Session 1: Demography, Population Ageing, Medical Advances

9:00 – 10:30

1. Global Trends in Population Aging and Longevity Risk
   Shripad Tuljapurkar (Professor of Biology and the Dean & Virginia Morrison Professor of Population Studies at Stanford University)
2. How Global Aging Will Transform the Economy, Society, and Geopolitical Order of the 21st Century
   Richard Jackson (President of Global Aging Institute)
3. Longevity Black Swans: Looking Beyond Past Trends to What Potential Disruptive Developments in Medicine, Healthcare, Technology and Lifestyle May Mean for Life Expectancy
   Guy Coughlan (Chief Risk officer, USS)

Coffee Break

10:30 – 11:00

6 Parallel Sessions for industry and paper presentation

11:00 – 12:30

Lunch (Bellavita 4F Beata té)

12:30 – 14:00

6 Parallel Sessions for industry and paper presentation

14:00 – 15:30

Tea Break

15:30 – 16:00

Plenary Session 2: Longevity Risk in Asia: A Roadmap for Retirement Security

16:00 –   18:00

1. Defining Retirement Security – The Needs of Real People in Asia
   Dylan Tyson (Executive Vice President and Former Chief Strategy Officer , Prudential Life of Korea)
2. Changing the Environment to Encourage Solutions
   Panel discussion from a public policy perspective
   Moderator: Ronald Klein ( Director of Ageing at The Geneva Association)
   Wonshik Kim ( Professor, Economics, College of International Business, Konkuk University)
   Donghyun Park( Principal Economist, Asian Development Bank)
   Jennifer Wang (Vice President of National Chengchi University, Former Chairman of Financial Supervisory Commission, R.O.C)
3. Providing Retirement Security – Balancing Value and Risk in Lifetime Income Solutions
   Amy Kessler (Senior Vice President and Head of Longevity Risk Transfer, Prudential Retirement [PFI])

Drink Reception (Grand Hyatt 3F)

18:30 - 19:15

Welcome Gala Dinner and Musical Show (Grand Hyatt 3F)

19:15 - 21:30

September 22

Cathay Financial Center

Plenary Session 3: Mortality Modelling and Hedging Longevity Risks for Pension and Insurers

8:30 – 10:30

1. Society of Actuaries Mortality Research: Implications for Insurers and Pensions 
   Dale Hall (Managing Director of Research, Society of Actuaries)
2. One Size Does Not Fit All: The Importance of Granular Mortality Data in Pricing Longevity De-risking Solutions 
   Douglas Anderson (Founder of Club Vita and Life & Financial Service)
3. Mortality Modelling and Longevity Challenges for Taiwan Insurers
   Chao-Ting Lin (Managing Senior Executive Vice President of Cathay Life)
4. Insurance Product Design, Natural Hedging and Longevity Risk
   Cheng-Wei Chang (Product Pricing Dept. Manager of Fubon Life Insurance)

Coffee Break

10:30 - 11:00

Plenary Session 4: Longevity Risk and Market Solutions

11:00 -12:00

1. Evolution of Multi-Asset Strategies and Longevity Risk
   Ricky Chau (Vice President, Portfolio Manager, Franklin Templeton Solutions)
2. Global Market Solutions for Longevity Risk 
   Vanessa Wang (Managing Director, North Asia Amundi Hong Kong Ltd.)

Lunch (Bellavita 4F Beata té)

12:00 - 13:30

5 Parallel Sessions for industry and paper presentation

(Section A: Society of Actuaries Mortality Research)

13:30 – 15:00

Tea Break

15:00 – 15:30

Plenary Session 5: Longevity Risk and FinTech Development

15:30 - 17:00

Plenary Session 5: Longevity Risk and FinTech Development

1. InsurTech Innovation
   James Liu (Chairman of Phew Inc.)
2. Longevity Risk and Fintech Long-term Care Experiences in Japan
   Tetsushi Yamaguchi (General Manager of Reinsurance Dept. of The Gibraltar Life Insurance Company Co., Ltd)
3. New Deployment of Fintech Solutions for Hedging Longevity Risk
   Jennifer Wang (Vice President of National Chengchi University, Former Chairman of Financial Supervisory Commission, R.O.C.)

Closing Remarks

17:00

Jennifer Wang (Vice President of National Chengchi University, Former Chairman of Financial Supervisory Commission, R.O.C.)

Parallel Sessions

Thursday 21st September 2017

Parallel Session I 11:00 - 12:30

Mortality Models 1

• Han Li.  Semi-Parametric Extensions of the Cairris-Blake-Dowd Model: A One-Dimensional Kernel Smoothing Approach
  [Presentation]
• Kenneth Zhou.  Improving the Distinction between Sampling Risk and Trend Risk: A Fay Herriot Extension of Stochastic Mortality Models
• Andrew Cairns.  A Robust Approach to to Modelling Single Population Mortality

Valutation

• Tianxiang Shi.  On the Valuation of Reverse Mortgages with Surrender Options.
  [Presentation]
• I-Chien Liu.  Valuation Guaranteed Lifetime Withdrawal Benefits / Guaranteed Minimum Withdrawal Benefits in Presence of Longevity Risk

Longevity-Linked Products

• Piet de Jong.  SM Bonds - a New Product for Managing Longevity Risk
  [Presentation]
• Petar Jevtic.  Longevity  Bond Pricing in Equilibrium
• Jeffrey Tsai.  Valuation on Mortality-linked Security: An Application Stochastic Mortality Rate with Levy Jump

Marriage, Suicide and Housing

• Malene Kallestrup-Lamb.  The Effect of Marital Status on Life Expectancy: Is Cohabitation as Protective as Marriage                      
  [Presentation]
• Mengyi Xu.  Housing, Long-Term Care Insurance, and Annuities with Recursive Utility
  [Presentation]

Financial Plans and Pension Plans

• Radoslaw Pietrzyk & Pawel Rokita.  Life-time Financial Plan Optimization with Separate Aversion Against Risk of Short-term and Long-term Goals
  [Presentation]
• Chin-Kai Chang.  Unifying the Public Pension Plans - A Case Study in Taiwan
  [Presentation]

Longevity Risk and Insurance

• Richard Marshall.  Pricing Latest Generation Insurance Linked Securities: A Disease-Based Modelling Approach
  [Presentation]
• Jin Gao.  Health and Mortality Immunization Strategies: A Revisit of he Optimal Product Mix of Life Insurers
  [Presentation]

Parallel Session II 14:00 - 15:30

Life Expectancy and Socio-Economic Status

• Anthony Webb.  Rising Inequality in Life Expectancy by Socioeconomic Status
  [Presentation]
• David Smith.  An Investigation into Inequalities in Human Lifespan
  [Presentation]
• Soren Kjaergaard.  Longevity Forecasting by Socio-Economic and Regional Groups Using Compositional Data Analysis
  [Presentation]

Small Population Modelling

• Liang Chen.  Bayesian Method for Small Population Longevity Risk Modelling
  [Presentation]
• Hsin-Chung Wang.  Using Graduation to Model Mortality of Small Areas
  [Presentation]

Annuities

• Han Lin ShangReconciling Forecasts of Age Distribution of Death Counts: An Application to Annuity Pricing
  [Presentation]
• Cuixia ChenOptimal Risk-Tasking and Risk Management Decisions of Annuity Insurers Under Prospect Theory
  [Presentation]

Mortality Forecasting

• Atsuyuki Kogure.  A Bayesian Approach to Forecasting Mortality Rates for Long-Term Care Sub-Populations
  [Presentation]
• Marius Pascariu.  Forecasting Mortality by Using Statistical Moments
  [Presentation]
• Ugoflippo Basellini.  Modelling and Forecasting Age-at-Death Distributions
  [Presentation]

Hedging Longevity Risk

• Jingong Zhang.  Optimal Dynamic Longevity Hedge with Basis Risk
  [Presentation]
• Nan Zhu.  Hedging Longevity Risk: Does the Structure Matter?
  [Presentation]
• Johnny S.H Li.  An Efficient Method for Mitigating Longevity Value-at-Risk

Friday 22nd September 2017

Parallel Session III 13:30 - 15:00

Mortality Forecasting and Healthy Life Expectancy in China

• Katja Hanewald.  Modelling Multi-State Health Transactions in China: A Generalized Linear Model with Time Trends
  [Presentation]
• Han Li.  Estimating Healthy Life Expectancy: A Province-by-Prince Study for China
  [Presentation]
• Pinato LyuA Multi-Population Approach to Forecasting All-Cause Mortality Using Cause-Specific Mortality Data
  Presentation

High-Age Mortality Model for the Elderly Effect

• Karen C SUA Synthesis Mortality Model for the Elderly Effect
  [Presentation]
• Yen-Chih Chen.  The Consumer Benefit and Innovative Design of the Long-Term Care Annuity Product
• Fen-Ying Chen.  Pricing Inflation-Linked Longevity Bonds in the HJM Framework
  Presentation

Mortality Models 2

• Chenghsien Tsa.i.  Multi-Population Mortality Modeling: When the Data is Too Much and Not Enough
• Johannes Schupp.  A Set of New Stochastic trend Models
  [Presentation]

Cause of Death Models and Period-Cohort Effect

• David McCarthy.  A Lost Generation? Results From a Bayesian-Based Period-Cohort Model of US Male and Female Adult Mortality
  [Presentation]
• Polin Wang.  An Investigation of Period and Cohort Effects in Adult Mortality Across 38 Countries
  Presentation
• Andrew Cairns.  Socio-Economic Differences in Mortality by Cause of Death
  [Presentation]