Parallel Sessions

The following presentations have been accepted for the

Longevity 15 Conference

Thursday 12th September 2019

Parallel Session I

11:00 - 12:30

STRUCTURED PRODUCTS

  • "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

  • "Waste Not - Calibrating Mortality Models using All Information"
    Tim Gordon
  • "Stochastic Mortality Models - The Missing Ingredients"
    Kishore Ananda
  • "Mortality Accelerations - Modelling Improvements in Spain"
    Andrew Hunt & Giulia Padovan

LONGEVITY RISK - SHARING AND INEQUALITIES

  • "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

  • "How Neighbourhood Characteristics can Predict Your Longevity"
    Andrew Cairns, Jie Wen & Torsten Kleinow
  • "Local Modeling of Mortality Rates: A Multiscale Geographically Weighted Regression Approach"
    Kyran Cupido, Stewart Fotheringham &  Petar Jevtic
  • "Assessing Longevity Inequality in the US: What can be said about the Future?"
    Han Li

Thursday 12th September 2019

Parallel Session II

14:00 - 16:00

LONG TERM CARE - PRODUCTS AND PROJECTIONS

  • "Immediate Needs Annuity"
    Karin Frohling
  • "Prospective Modelling in a Long Term Care Insurance Portfolio"
    Guillaume Biessy
  • "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

  • "Pricing and Hedging of GMBs in Variable Annuities under Stochastic Volatility and Interest Rates using Power Series Approximation Techniques"
    Jonathan Ziveyi & Nikolay Gudkov
  • "Individual Tontine Accounts"
    Richard Fullmer & Michael Sabin
  • "Tontines in the UK"
    Tyrone Fouche

LONGEVITY RISK MANAGEMENT 1

"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

"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

  • "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

  • "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

  • "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"
    David McCarthy
  • "The Impact of a Social Security Proposal for Catch-up Contributions"
    Anthony Webb, Wei Sun, Teresa Ghilarducci & Michael Papadopoulos

LONGEVITY RISK MANAGEMENT 2

  • "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

  • "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"
    Ralph Rogalla

DATA SCIENCE 2

  • "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"
    Alexandre Bouezoued
  • "A Deep Learning Approach to Forecast Life Expectancy"
    Andrea Nigri

CANCER - MODELLING AND INSURANCE

  • "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"
    Jack Yue
  • "Cancer Insurance Longevity Risk Management - A Natural Hedging Approach"
    Karen Su & Jack C. Yue.

MORTALITY FORECASTING

  • "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