Programme correct as of 2 September 2013.
Please check the programme regularly for updates
Conference Floor Plan
Friday 6 September 2013
| 08:00-09:00 | Opening Ceremony |
| Moderator: Xiaolin Li (Professor, China Institute for Actuarial Science CUFE) | |
| Hu Shuxiang (Chairman of University Council, Central University of Finance and Economics) David Blake (Director, Pensions Institute, Cass Business School, City University London. | |
| Presentation | |
| Wei Yingning, President, China Association of Actuaries) | |
| 9:00-10:30 | Plenary Session I (Grand Ballroom C): Sponsored by Societie Generale |
| Moderator: David Blake | |
| "How and Why Mortality Change varies between Sexes and Countries." Prof Shripad (Tulja) Tuljapurkar (Dean & Virginia Morrison Professor of Population Studies, Stanford University) [Presentation] | |
| "Mortality Assumptions and Longevity Risk" Pablo Antolin (Principal Economist, Financial Affairs Division, OECD) [Presentation] | |
| "Enhanced Annuities in Asia - A Case study" Cord-Roland Rinke (Managing Director of Hannover Life Re) [Presentation] | |
| 10:30-11:00 | Refreshment Break (Pre-Function Hall) |
| 11:00-12:15 | Parallel Session I |
| 12:15-13:15 | Lunch (City Wall Ballroom) - Sponsored by SCOR Global Life |
| 13:15-13:45 | Plenary Session II - (Grand Ballroom C) |
| Moderator: Ken Seng Tan (Associate director, WatRISQ, University of Waterloo & Hon Director, China Institute for Actuarial Science, CUFE). | |
| "China's Three-Pillar Pension Facing with the Challenge of Longevity Risk". Professor Bingwen Zheng (Director General, Center for International Social Security Studies, Chinese Academy of Social Sciences (CASS), [Presentation] | |
| 13:45-15:00 | Round Table Discussion Forum I: "Longevity Issues in Asia: Challenges and Opportunities" - sponsored by Cathay Life Insurance Co |
| Moderator: Xiaolin Li (Central University of Finance and Economics). | |
| Yu Cai (Director, Policy & Research Department, China insurance Regulatory Commission). | |
| "How China's insurance Industries Play a Greater Role in Longevity Risk Transferring" Meipan Tian (Chief Actuary, China Re Group) [Presentation] | |
| "The Challenges of Longevity Risk in Taiwan and Future Policy Developments" Jennifer Wang (Vice Chairperson, Financial Supervisory Commission and Distinguished Professor of NCCU, Taiwan) [Presentation] | |
| "The Impacts of Longevity Risk on Taiwan Insurance Industry: Risk Management and Product Innovation" Chun-Hung Wu (Senior Vice President, Cathay life Insurance Co). [Presentation] | |
| "Longevity Risk Challenges in China's Public pension & Private Pensions: in the Perspective of Financial Markets Context". Bingwen Zheng. | |
| 15:00-15:30 | Refreshment Break |
| 15:30-16:30 | Plenary Session III (Grand ballroom C) |
| Moderator: Professor Richard MacMinn (Edmondson-Miller Chair in Insurance and Financial Services, Illinois State University). | |
| "The Role of the SOA in Addressing Longevity Risk" Tonya Manning (President, Society of Actuaries) [Presentation] | |
| "Reinsurance Of Longevity: Risk Transfer and Capital management Solutions". Daria Ossipova-Kachakhidze (Head of Longevity and Mortality R&D Cenrre, SCOR. [Presentation] | |
| 16:30-17:45 | Parallel Session II |
| 18:15-19:30 | Reception (Pre-Function Hall B) |
| Gala Dinner - City Wall Ballroom) - Sponsored by Institute and Faculty of Actuaries. Moderator: Professor Ken Seng Tan | |
| Pre-Dinner Presentation | |
| "The Challenges for Actuaries in Dealing with Longevity Predictions" David Hare (President, Institute and Faculty of Actuaries) [Presentation] | |
Saturday 7 September 2013
| 08:00-13:50 | Conference Registration (Pre-Function Hall) |
| 08:20-10:00 | Parallel Session III |
| 10:00-10:30 | Refreshment Break (Pre-Function Hall) |
| Accelerating the Development of a Liquid Risk Transfer Market for Longevity" Moderator: Guy Coughlan (Managing Director, Pacific Global Advisors) Speakers:
| |
| 10:30-12:00 | Plenary Session IV (Grand Ballroom C) |
Anatomy of a Successful Transaction
| |
| 12:00-13:00 | Roundtable Panel Session 2: Lessons Learned and How to Generate More and Larger Transactions - Guy Coughlan (Managing Director, Pacific Global Advisors) will chair this panel with each of the above participants i.) What are the lessons learned from the transaction? ii.) What were the most effective elements of the transaction? iii.) What could be improved for future transactions to create a more replicable structure and process? iv.) What can be improved to produce more and larger transactions? |
| 13:00-13:15 | Closing Ceremony |
| 13:15-14:30 | Farewell Lunch |
Parallel Sessions
| Panel A | Panel B | Panel C | Panel D | Panel E | ||
| Session I | Fri 6 Sept 10:30-11:45 | Reverse mortgages 1 | Morality-linked securities 1 | Pensions plans 1 | Insurance-linked securities/personal injury 1 | Longevity risk 1 |
| Session II | Fri 6 Sept, 16:30-17:45 | Mortality-linked securities 2 | Pension systems 1 | Mortality forecasting 1 | Modelling 1 | Modelling 2 |
| Session III | Sat 7 Sept, 08:20-10:00 | Annuities 1 | Risk management 1 | Mortality forecasting 2 | Modelling 3 | Modelling 4 |
Parallel Session I - Panel A - Reverse Mortgages
Session Chair - Deng Yinglu
"Reverse Mortgage Pricing and Capital Requirements Allowing for Idiosyncratic House Price Risk and Longevity Risk"
Adam Wenqiang Shao*, Michael Sherris, Katja Hanewald
[Presentation]
"A Study on Pricing of the Reverse Mortgage with an Embedded Redeemable Option: An analysis based on China's market"
Bingzheng Chen, Yinglu Deng, Peng Qin*
[Presentation]
"Contributors to the Potential Demand for Reverse Mortgage in China -An Empirical Investigation Based on a Questionnaire Survey of Residents in Beijing"
Bingzheng Chen, Yinglu Deng*, Xiaofei Liu, Lihong Zhang.
[Presentation]
Parallel session I - Panel B - Mortality-linked Securities 1
(Session Chair - Ning Zhang)
"Mortality Decomposition Model and its Application in the Grade Longevity Bond Building in China" Ning Zhang*, Wei Wang
[Presentation]
"Modelling Infectious Mortality Risk with Application to Mortality Security Pricing" Fen-Ying Chen*, Hong-Chih Huang, Sharon S.Yang
[Presentation]
"Price Bounds of Mortality-Linked Security in Incomplete Insurance Market"
Jeffrey Tzuhao Tsai*, Yu Lieh Huang
[Presentation]
Parallel session I - Panel C - Pensions plans 1
(Session Chair -Jing Ai)
"De-risking Defined Benefit Plans" Yijia Lin*, D MacMinn, Ruilin Tian
[Presentation]
"The Analysis On The Optimal Investment Return For Chinese Personal Pension Account Gap Analysis In The View Of Longevity Risk" Xiaoqian Yuan*, Ning Zhang
[Presentation]
"A New Approach to Pension Risk Management" Jing Ai*, Patrick L Brockett, Allen Jacobson
[Presentation]
Parallel session I - Panel D - Insurance-linked Securities/Personal Injury 1
(Session Chair - Wai-Sum Chan)
"Heterogeneous Expectations and Speculative Behavior in Insurance-linked Securities" Min Zheng
[Presentation]
"Disaggregation of Chinese Life Tables from National to Provincial Level, with an Application to Assessing Personal Injury Liabilities in China"
Felix W.H. Chan, Johnny S.H. Li, Wai-Sum Chan*
[Presentation]
Parallel Session I - Panel E - Modelling 1
(Session Chair - Andrew Cairns)
"Extensions of the Lee-Carter Model For Mortality Projections"
Udi Makov
[Presentation]
"A Two-Stage Linear Regression Approach To Modeling Mortality Rates Of Different Forms"
Cary Chi-Liang Tsai
[Presentation]
"Mortality Modelling: Living With Unreliable Data"
Andrew Cairns*, David Blake, Kevin Dowd, Amy Kessler
[Presentation]
Parallel session II - Panel A - Mortality-linked securities 2
(Session Chair - Hong-Chih Huang)
"A Bayesian Approach to Pricing Longevity Bonds with Interest Rate Risk"
Takahiro Fushimi, Atsuyuki Kogure*, Yoshimitsu Takamatsu
[Presentation]
"Modeling Mortality Dependence and Pricing a Basis Survivor Swap: a Dynamic Copula" Approach"
Sharon S. Yang, Hong-Chih Huang*, Chou-Wen Wang
[Presentation]
Parallel Session II - Panel B - Pension systems 1
(Session Chair - Zaigui Yang)
"Urban Public Pension, Longevity and Population Growth Rate in China"
Qiang Cui
"Rural Public Pension, Uncertain Lifetime, Family Transfers And Economic Growth"
Zaigui Yang
Parallel Session II - Panel C - Mortality Forecasting 1
(Session Chair - Andrew Hunt)
"The Choice of Sample Size for Mortality Forecasting: A Bayesian Approach"
Anja De Waegenaere, Hong Li*, Bertrand Melenberg
"Forecasting ESRD Incidence and Mortality Based on Taiwan's Population Data"
Shing-Her Juang*, Chih-Hua Chiao, Yin-Ju Lin
"Projecting Mortality: Coherence and Co-integration in Multi-Population Projections"
Andrew Hunt*, David Blake
Parallel Session II - Panel D - Longevity Risk 1
(Session Chair - Tom Terry)
"Longevity Risk Existence Analysis: Case in Beijing"
Zan Zhao
[Presentation]
"Longevity Risk in China and its Financial Impact: Evidence from Model Test"
Wei Xiao*, Chenzhe Liu
[Presentation]
"Communicating Longevity Risk: Beyond the Definitions "
Liaw Huang*, Tom Terry
[Presentation]
Parallel Session II - Panel E - Modelling
(Session Chair - Johnny Li)
"Comparative Assessment of Fuzzy Regression Methods in Lee-Carter Model"
Diheng Huang
[Presentation]
"Methods of Improving Lee-Carter Model - Based on China's Mortality Data"
Lifeng Yang, Xiuye Meng*
[Presentation]
"A Step-by-Step Guide to Building Two-Population Stochastic Mortality Models"
Johnny Li*, Rui Zhou, Mary R. Hardy
[Presentation]
Parallel Session III - Panel A - Annuities
(Session Chair - Ralph Rogalla)
"A Regime-Switching Framework For The Valuation Of A Guaranteed Annuity Option"
Xiaoming Liu, Huan Gao, Rogemar Mamon, Anton Tenyakov
[Presentation]
"Efficient Valuation of GMWB Annuities: A Variance Reduction Approach"
Li-Ling Wang*, Ming-hua Hsieh
[Presentation]
"Research on Annuity Puzzle in China from Institutional Perspective"
Wei Wang*, Ning Zhang
[Presentation]
"Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection"
Ralph Rogalla*, Raimond Maurer, Olivia Mitchell, Vanya Horneff
[Presentation]
Parallel Session III - Panel B - Mortality Forecasting
(Session Chair - Julien Tomas)
"Prediction Intervals for Future Mortality Rates"
Ah Pooi*, W.Y. Pan and Y.C. Wong
[Presentation]
"Developing Longevity De-risking Solutions for Swiss Pension Funds: An Application with Swiss Coherent Mortality Model"
Ljudmila Bertschi, Cheng Wan
[Presentation]
"Forecasting Mortality in the Presence of Missing Data: An Application to Chinese Population"
Ping An*, Ken Seng Tan, Johnny Li
[Presentation]
"A New Non-Parametric Approach to Smoothing and Forecasting of Mortality"
Julien Tomas*, Frederic Planchet
[Presentation]
Parallel Session III - Panel C - Modelling 3
(Session Chair - Jack C Yue)
"A Study of Measuring the Mortality Compression"
Jack C Yue
[Presentation]
"Bayesian Stochastic Modelling Of Longevity Improvement And Lifespan Extension"
Ramona Meyricke*, Michael Garratt & Michael Sherris
[Presentation]
"Longevity Bonds Pricing Model Driven by OU Jump Process of Mortality Index and Affine Stochastic Interest Rate Model"
Jianwei Gao*, Le Yang, Lizhi Wang
[Presentation]
"A Relational Model Approach to Deal with the Longevity Risk"
Kevin Hsin Chung Wang*, Jack C Yue
[Presentation]
Parallel Session IV - Panel D - Modelling 4
(Session Chair - Hua Chen)
"A Common Age Effect Model for the Mortality of Multiple Populations"
Torsten Kleinow
[Presentation]
"Love and Death : A Freund Model with Frailty"
C Gourieroux , Yang Lu*
[Presentation]
"Longevity Hedges across Populations: A Two-Factor Model Approach"
Linus Fang-Shu Chan*, Cary Chi-Liang Tsai
[Presentation]
"Multi-Population Mortality Model: A Factor Copula Approach"
Hua Chen*, Richard MacMinn, Tao Sun
[Presentation]
