Longevity 8


Programme correct as of 21 August 2012

Please check the programme regularly for any updates.

Day 1 - Friday, 7 September 2012

Venue: Waterloo Inn

08:30 - 08:45        Longevity 8 Welcome (Regent room)
                             David Blake, Pensions Institute

08:45 - 10:30        Plenary Sessions I-III (Regent room)

                            "Secrets of the Oldest Old"
                             Stephen Coles, Gerontology Research Group

                            "Longevity Risk and Retirement Age"
                             Malcolm Hamilton, Mercer

                            "Financial Impact of Longevity Risk"
                             John Kiff, International Monetary Fund

10:30 - 11:00        Refreshment Break (Regent room)

11:00 - 12:30        Plenary Sessions IV-VI (Regent room)

                            "Robust Modelling and Management of Longevity Risk"
                             Andrew Cairns, Heriot-Watt University

                            "Compression of Morbidity and Mortality: Separate or Related?"
                             Eric Stallard, Duke University

                            "Annuities and Out-of-Pocket Medical Expenditures"
                             Eytan Sheshinski, Hebrew University of Jerusalem

12:30 - 13:30        Lunch (Regent room)

13:30 - 15:00        Breakout Session I

15:00 - 15:30        Refreshment Break (Regent room)

15:30 - 17:00        Breakout Session II

19:00 - 20:00        Reception (Viennese Ballroom)

20:00 - 22:30        Gala Dinner (Viennese Ballroom)

Dinner presentation: "Longevity Improvement - What's up with that?"
Tom Terry (TTerry Consulting)

Day 2 - Saturday, 8 September 2012

Venue: Waterloo Inn

08:30 - 10:30        Plenary Sessions VII-X (Regent room)

                            "Longevity risk, LDI and the holistic management of DB pension plans"
                             Guy Coughlan, Pacific Global Advisors

                             "Recent Innovations in Longevity Risk Management - A New Generation of
                             Tools Emerges"
                             Roger Douglas and Pretty Sagoo, Deutsche Bank

                             "Longevity De-Risking a Defined Benefit Pension Plan - Why Plan Sponsors Transact
                             and which Approaches are Available"
                             Amy Kessler, Prudential

                             "Deep-Fried Beaver Tails: A Canadian Perspective on Longevity Risk & Solutions"
                             Brent Simmons, Defined Benefit Solutions, Sun Life Financial

10:30 - 11:00        Refreshment Break (Regent room)

11:00 - 12:30        Breakout Session III

12:30 - 13:30        Final Panel and Conclusion (Regent room)

                            "Leaders in Longevity De-Risking"
                            Guy Coughlan (Pacific Global Advisors, Chair), Geoff Eaton (Uniq),
Richard Farr (BDO)
Amy Kessler (Prudential), Michelle McGregor Smith (British Airways) and Brent
                            Simmons (Sun Life Financial)


13:30 - 14:30       Farewell Lunch (Regent room)

Breakout Session Plan

Session Overview

Panel A
Panel B
Panel C
Panel D
Panel E
Session I
Fri, 7 Sept, 13:30-15:00
Risk Management I
Modeling I (Multi-Population)
Modeling II (By Cause)
The Micro and Macro Longevity Markets in Action
Session  II
Fri, 7 Sept, 15:30-17:00
Risk Management II
Modeling III (Cohort Effects)
Pension Plans I
Human Survival / Long-term Care
Session III
Sat, 8 Sept, 11:00-12:30
Modeling IV (Multi-Population)
Modeling V (Other)
Modeling VI (Other)
Pension Plans II
Reverse Mortgages / Pensions

Session Topics

Breakout Session I - A: Risk Management I

(Session Chair: Hal Pedersen)

"Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk"
Yijia Lin, Ken Seng Tan, Ruilin Tian, Jifeng Yu

"Hedging of Longevity-Linked Instruments"
Helena Aro, Teemu Pennanen

"Market-Based Solutions for the Management of Longevity Risk"
Sam Cox, Sylvain Crom, Chris Madsen, Hal Pedersen

Breakout Session I - B: Modeling I (Multi-Population)

(Session Chair: Cheng-Hsien Tsai)

"It Takes Two: Why Mortality Trend Modeling is more than modeling one Mortality Trend"
Matthias Borger, Jochen Russ

"Modeling Mortality of Multiple Populations with Vector Error Correction Models: Applications to
Solvency II"
Rui Zhou, Yujiao Wang, Kai Kaufhold, Johnny Li, Ken Seng Tan

"Relational Modeling on Mortality Rates: International Tests and Hedging"
Linus Fang-Shu Chan, Cary Chi-Liang Tsai, Cheng-Hsien Tsai

Breakout Session I - C: Modeling II (By Cause)

(Session Chair: Severine Gaille)

"Are Mortality and Health Marriage Related? A Study based on Taiwan Experience"
Kevin Wang, Jack C. Yue

"On the Modeling and Estimation of Health Changes in the United States"
Ying Yang, Anja De Waegenaere, Bertrand Melenberg

"Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence"
Severine Gaille, Michael Sherris

Breakout Session I - D: Annuities

(Session Chair: Moshe A. Milevsky)

"Longevity Risk in Last Survivor Annuities"
Min Ji, Mary Hardy and Johnny Li

"Can the Longevity Risk Alleviate the Annuitization Puzzle? Empirical Evidence from Dutch data"
Federica Teppa

"The Annuity Duration Puzzle"
N. Charupat, M. Kamstra, Moshe A. Milevsky

Breakout Session I - E: The Micro and Macro Longevity Markets in Action

(Session Chair: David Blake)

"The Developing Role of the Investment Bank in the Risk Transfer Market for Pension Longevity"
Jeff Mulholland

"Advances in the Life Settlements Market and Their Relevance to the Macro Longevity Investor"
Matthew Sheridan

Breakout Session II - A: Risk Management II

(Session Chair: Mohamed Talfi)

"Single and Cross-Generation Natural Hedging of Longevity and Financial Risk"
Elisa Luciano, Luca Regis, Elena Vigna

"A Natural Examination of the Natural Hedging Approach"
Nan Zhu, Daniel Bauer

"Mortality Collar"
Mohamed Talfi, Viou Alain Ainou

Breakout Session II - B: Modelling III (Cohort Effects)

(Session Chair: Steven Haberman)

"Forward Mortality Models: Newborn Cohort Effects, Mortality Spikes, and Beyond"
Daniel Bauer, Enrico Biffis

"Mortality Surface by Means of Continuous-Time Cohort Models"
Petar Jevtic, Elisa Luciano, Elena Vigna

"Parametric Mortality Improvement Rate Modelling and Projecting"
Steven Haberman, Arthur Renshaw

Breakout Session II - C: Pricing

(Session Chair: Jennifer Wang)

"Modeling Trades in the Life Market as Nash Bargaining Problems: Methodology and Insights"
Rui Zhou, Johnny Li, Ken Seng Tan

"Modeling and Pricing Longevity Derivatives with Stochastic Mortality Using Esscher Transform"
Patrick L. Brockett, Shuo-Li Chuang

"Explaining the Risk Premium of Life Settlements"
Ming-Hua Hsieh, Jin-Lung Peng, Chenghsien Tsai, Jennifer Wang

Breakout Session II - D: Pension Plans I

(Session Chair: Jonathan Barry Forman)

"Longevity Risk of Pensions in Czech Republic"
Tomas Cipra

"The Impact of Longevity Improvements on U.S. Corporate Defined Benefit Pension Plans"
Michael Kisser, John Kiff, Erik Oppers, Mauricio Soto

"Optimal Distribution Rules for Defined Contribution Plans: What Can We Learn from Other Countries?"
Jonathan Barry Forman

Breakout Session II - E: Human Survival / Long-Term Care

(Session Chair: Les Mayhew)

"Private, Social and Self Insurance for Long-Term Care: A Political Economy Analysis"
Philippe De Donder, P. Pestieau

"A Political Economy Approach to Long-Term Care with Sophisticated or (In)Consistently Myopic Voters"
Philippe De Doner, Marie-Louise Leroux

"Gender convergence in human survival and the postponement of death"
Les Mayhew, David Smith

Breakout Session III - A: Modeling IV (Multi-Population)

(Session Chair: Valeria D'Amato)

"A Model for the Forecasting of Socioeconomic Mortality Differentials"
Andres Villegas, Steven Haberman

"Detecting Longevity Common Trends by Multiple Population Approach"
Valeria D'Amato, Steve Haberman, Gabriella Piscopo, Maria Russolillo, Lorenzo Trapani


Breakout Session III - B: Modeling V (Other)

(Session Chair - Wai-Sum Chan)

"A Spatial Cluster Modification of the Lee-Carter Model"
Yin-Yee Leong, Jack C. Yue

"General Procedure for Building Mortality Models"
Andrew Hunt, David Blake

"The CBD Mortality Indexes: Modeling and Applications"
Wai-Sum Chan, Jackie Li, Johnny Li

Breakout Session III - C: Modelling VI (Other)

(Session Chair: Daniel Alai)

"Systemic Risk, Diversification and the Securitization of Longevity Risk"
Ramona Meyricke, Michael Sherris

"Case Study: Modelling Longevity Risk for Solvency II"
Stuart Silverman, Philip Simpson

"Lifetime Dependence Modelling using the Truncated Multivariate Gamma Distribution"
Daniel Alai, Zinoviy Landsman, Michael Sherris

Breakout Session III - D: Pension Plans II

(Session Chair: Carlo A. Favero)

"Stochastic Lifestyling with Uncertain Mortality Rates: How Longevity Risk can Impact the Replacement Ratio"
Colm Doyle, John Cotter

"Measuring the Impact of longevity risk on pension systems: the case of Italy"
Emilio Bisetti, Carlo A. Favero

Breakout Session III - E: Reverse Mortgages / Pensions

(Session Chair: Atsuyuki Kogure)

"Longevity Risk in the Pension Context"
Helmut Artinger, Mikhail Krayzler, Bernhard Brunner, Rudi Zagst

"Developing Equity Release Markets: Risk Analysis for Reverse Mortgage and Home Reversion"
Daniel Alai, Hua Chen, Katja Hanewald, Michael Sherris

"A Bayesian Approach to Pricing Reverse Mortgages in Japan"
Atsuyuki Kogure, Jackie Li, Shinichi Kamiya