The following presentations have been accepted for the
Longevity 15 Conference
Thursday 12th September 2019
Parallel Session I
11:00 - 12:30
STRUCTURED PRODUCTS - Meeting Room:Auditorium
- "Reverse Mortgage with Surrender Options: An Application of Intensity-Governed Modelling"
Tianxiang Shi & Yung-Tsung Lee
- "Life Settlement Pricing and Evaluating Optimal Asset Allocation Considering Life Settlements in Presence of Longevity Risk"
Sharon Yang & Yu-Yun Yeh
- "Behavioral Factors for Mortality Risk: Evidence from Structured Settlements"
Nan Zhu, Daniel Bauer & Jochen Russ
MORTALITY MODELLING - Meeting Room: A
- "Waste Not - Calibrating Mortality Models using All Information"
- "Stochastic Mortality Models - The Missing Ingredients"
- "Mortality Accelerations - Modelling Improvements in Spain"
Andrew Hunt & Giulia Padovan
LONGEVITY RISK - SHARING AND INEQUALITIES - Meeting Room: B
- "The Economics of Sharing Macro-Longevity Risk"
Annick Vvan Ool, Dirk Broeders & Roel Mehlkopf
- "The 100 - Year Family"
Les Mayhew & David Smith
- "Linking Retirement Age to Life Expectancy does not Lessen the Demographic Consequence of Unequal Lifespans"
Jesus-Adrian Alvarez, Malene Kallestrup-Lamb, Soren Kjaergaard & James Vaupel
DATA SCIENCE 1 - Meeting Room: C
- "How Neighbourhood Characteristics can Predict Your Longevity"
Andrew Cairns, Jie Wen & Torsten Kleinow
- "Assessing Longevity Inequality in the US: What can be said about the Future?"
Thursday 12th September 2019
Parallel Session II
14:00 - 16:00
LONG TERM CARE - PRODUCTS AND PROJECTIONS - Meeting Room: Auditorium
- "Immediate Needs Annuity"
- "Prospective Modelling in a Long Term Care Insurance Portfolio"
- "An Investigation into the Suitability of using the SHARE and ELS Databases for the Creation of Long Term Care Projection Models"
David Smith, Ben Rickayzen, N Bannerman & Martin Karlsson
- "Health Status and Functional Disability with Systematic Trends: A Comparison between China and US"
Mengyi Xu, Yu Fu, Michael Sherris & Zixi Li
PRODUCTS FOR LONGEVITY RISK SHARING POOLING - Meeting Room: A
LONGEVITY RISK MANAGEMENT 1 - Meeting Room: B
"A Combined Analysis of Hedge Effectiveness and Capital Efficiency in Longevity Hedging"
Arne Freimann, Matthias Borger, Jochen Russ
"Incorporating the Association between Socioeconomic Status and Mortality Index-Based Longevity Hedges"
Pintao Lyu, Johnny Li, Kenneth Zhou
"Recent Declines in Life Expectancy: Implication on Longevity Risk Hedging"
Johnny S-H Li & Yanxin Liu
"Index Based Longevity Hedging as a Practical Risk Mitigation Tool for Deferred Pension Liabilities"
Andrew Cairns & Alan Rae
PENSIONS AND LONGEVITY RISK - Meeting Room: C
"A Tale of Two Pension Plans: Measuring Pension Plan Risk from an Economic Capital Perspective"
Pradip Tapadar, D Andres, S Bonnar, L.J. Curtis, J.S. Oberio and A Pittea
"The Move towards Riskier Pensions: The Impact of Financial Risk and Longevity"
Anne Balter & Malene Kallestrup-Lambe
"Logical Sustainability Theory for Pension Systems: Immunization of Longevity Risk"
Massimo Angrisani & Cinzia Di Palo
"The Role of a Longevity Insurance for Defined Contribution Pension Systems in Latin America"
Marco Morales & Solange Bernstein.
Friday 13th September 2019
Parallel Session III
08:30 - 10:30
HEALTH CARE ISSUES - Meeting Room: Auditorium
- "Lifetime Healthcare Expenditure across Socioeconomic Groups"
Malene Kallestrup-Lamb & Alexander Marin
- "Climate Change and Health Insurance Purchases: Evidence from Heatwaves in the US"
Yuxin Zhang & Dafeng Xu
- "Financial Literacy and Retiree Health Care Cost"
Brent Davis, Robert Clark, David Richardson
- "An Equilibrium Model for Health and Mortality Immunisation"
Hua Chen, Jin Gao & Wei Zhu
CAUSE OF DEATH MODELLING AND FORECASTING - Meeting Room: A
- "Cause of Death Specific Cohort Effects in US Mortality"
Cristian Redondo Loures & Andrew Cairns
- "Coherent Causes of Death Mortality Extrapolation at High Ages with Compositional Time Series"
Samuel Piveteau & Julian Tomas
- "Cause-Specific Mortality Rates: Common Trends and Differences"
Viktoria Glushko & Severine Arnold
- "Mortality Forecasting by Cause of Death and Experts Judgements Integration with Compositional Data"
Julian Tomas & Samuel Piveteau
PENSIONS AND SOCIAL SECURITY - Meeting Room: B
- "On the Welfare of Pension Decumulation Strategies"
Najat El Mekkaoui de Freitas & Jorge M. Bravo
- "Addressing Life Expectancy Gap in Pension Policy"
Jorge Bravo, Mercedes Ayuso, Robert Holzmann
- "How Diversifiable are Eurozone State Pension Liabilities? An Application of a Multi-Country Bayesian Cohort-Based Approach with a Vector Error-Correction Model Prior"
- "The Impact of a Social Security Proposal for Catch-up Contributions"
Anthony Webb, Wei Sun, Teresa Ghilarducci & Michael Papadopoulos
LONGEVITY RISK MANAGEMENT 2 - Meeting Room: C
- "Pricing Longevity Swaps via Option Decomposition"
Jorge Bravo & J.P. Nunes
- "The Interplay between Longevity and Mortality Risks: Joint or Stand-alone Pricing"
Hamza Hanbali & Andres Villegas
- "Modeling and Pricing Longevity Derivatives using Skellam Distribution"
I-Chien Liu, Ko-Lun Kung & Chou-Wen Wang
- "Dynamic Vine Copula in Mortality Modelling"
Rui Zhou & Min Ji
Friday 13th September 2019
Parallel Session IV
14:30 - 15:30
ANNUITIES - Meeting Room: Auditorium
- "Risk-Seeking Behavior and its Implications for the Optimal Decision Making of Annuity Insurers"
Yijia Lin, Cuixia Chen & Ming Zhou
- "Longevity and Decomposition of the Cost of Annuities"
Cinzia Di Palo
- "The Impact of Systematic Longevity Risk on Optimal Lifecycle Portfolio Choice with Participating Annuities under Intertemporal Correlation Aversion"
DATA SCIENCE 2 - Meeting Room: A
- "A Data Analytic Paradigm for the Construction, Selection and Evaluation of Mortality Models"
Andres Villegas, Dilan Sridaran, Michael Sherris & Jonatha Ziveyi
- "A Statistical Method for Mortality Data Correction in the Absence of Fertility Data"
- "A Deep Learning Approach to Forecast Life Expectancy"
CANCER - MODELLING AND INSURANCE - Meeting Room: B
- "Trends and Differences in Cancer Morbidity and Mortality Risk in England"
Ayse Arik, A Dodd, A. Cairns, and G. Stretfaris
- "Cancer Insurance and Longevity Risk"
- "Cancer Insurance Longevity Risk Management - A Natural Hedging Approach"
Karen Su & Jack C. Yue.
MORTALITY FORECASTING - Meeting Room: C
- "Gompertz Law Revisited: Forecasting Mortality in a Multi-Factor Framework"
Hong Li, Ken Tan, Shripad Tuljapurkar & Wenjun Zhu
- "It Takes Two: Why Mortality Trend Modeling is more than Modeling one Mortality Trend"
Johannes Schupp, Matthias Borger & Jochen Russ
- "Killing off Cohorts: Forecasting Mortality of Non Extinct Cohorts with the Penalized Composite Link Model"
Soren Kjaergaard, S Rizzi, M Bergeron Boucher, C.G. Camarda, R. L. Jacobson & James Vaupel