Longevity 7

Programme

Programme correct as of 6 September 2011

Please check the programme regularly for any updates.

A copy of the programme is available here [pdf]

Day 1 - Thursday, 8 September 2011

9.00-10.00  

Longevity Seven Welcome
Prof. David Blake, Cass Business School
[Presentation]
Plenary Session I
"Longer and longer lives: Some remarkable new research findings"
Prof. Jim Vaupel, Max Planck Institute for Demographic Research, Rostock
[Abstract] [Presentation]

10.00-10.30  

Plenary Session II
"Longevity bonds and the Financial Stability of retirement systems"
Ivan Zelenko, World Bank
[Abstract] [Presentation]

10.30-11.00  

Refreshment Break

11.00-12.30  

Plenary Sessions III-V
"The role of reinsurers in longevity risk transfer"
Cord-Roland Rinke, Hannover Re
[Abstract] [Presentation]
"Index-based longevity risk transfer to capital markets"
Hendrik Rogge / Stefan Sachsenweger, Deutsche Börse
[Abstract] [Presentation]
"Crossing the pond: UK risk transfer techniques have reached the US"
Amy Kessler, Prudential Retirement / Tim Gordon, Aon Hewitt
[Abstract] [Presentation]

12.30-13.30  

Lunch

13.30-15.00  

Breakout Session I

15.00-15.30  

Refreshment Break

15.30-17.00  

Breakout Session II

19.15-20.00  

Reception

20.00-22.30  

Gala Dinner



Day 2 - Friday, 9 September 2011

9.00-11.00  

Breakout Session III

11.00-11.30   Refreshment Break
11.30-12.30  

Plenary Sessions VI-VII
"Longevity as the new asset class"
Guy D. Coughlan, Pacific Global Advisors
[Abstract] [Presentation]
"Micro vs. macro longevity indices"
Jeff Mulholland, Société Générale
[Abstract] [Presentation]

12.30-13.30  

Final Panel and Conclusion: How to make this new asset class accessible
to investors (Chair: Guy D. Coughlan)

Participants:

  • Klaus Mössle (Fidelity)
  • Marcus Mecklenburg (BVI)
  • Axel Gerling (Commerzbank)
  • Terry Simmons (Ernst & Young)
  • Jeff Mulholland (Société Générale)
  • Ivan Zelenko (World Bank)
13.30-14.30   Farewell Lunch


Breakout Session Plan

Session Overview

   
Panel A
Panel B
Panel C
Panel D
 
Time\Location
'DZ Bank'
'Paris'
'Commerzbank'
'Deutsche Bank'
Session I

Thu, 8 Sept,
13:30-15:00h

Risk
Management
I

Modelling
I
Households
I
Pension
Plans
Session II

Thu, 8 Sept
15:30-17:00h

Risk
Management
II
Modelling
II
Risk
Management
III
Annuities
Session III

Fri, 9 Sept
09:00-11:00h

Modelling
III
Pricing
Households
II
Modelling
IV

Session Topics

Breakout Session I - A: Risk Management I
(Session Chair: Andrew Cairns)

"Delta and Gamma Hedging of Mortality and Interest Rate Risk"
Elisa Luciano, Luca Regisz, Elena Vigna
[Abstract] [Presentation]
(Discussant: M. Martin Boyer)

"Longevity Risk Management in Incomplete Markets using a Least Squares Monte-Carlo Approach"
Lars Stentoft, M. Martin Boyer, Amélie Favaro
[Abstract] [Presentation]
(Discussant: Andrew Cairns)

"Robust Hedging of Longevity Risk"
Andrew Cairns
[Abstract] [Presenatation]
(Discussant: Elisa Luciano)


Breakout Session I - B: Modelling I
(Session Chair: Malene Lamb)

"A Time-Dependent Age-Factor Extension to the Lee-Carter Model for Mortality Reduction Factors"
Ralph Stevens
[Abstract] [Presentation]
(Discussant: Yefu Kou)

"Fuzzy Formulation of the Lee-Carter Model Forecasting with Age-specific Enhancement "
Yefu Kou, Hongjun Li, Ken Seng Tan
[Abstract] [Presentation]
(Discussant: Malene Lamb)

"Mortality Forecasting at Advanced Ages: Applying the Lee-Carter Model to an Economic Panel"
Malene Lamb
[Abstract] [Presentation]
(Discussant: Ralph Stevens)


Breakout Session I - C: Households I
(Session Chair: M.A. Milevsky)

"Managing Systematic Mortality Risk with Group Self-Pooling and Annuitisation Schemes"
Michael Sherris, Chao Qiao
[Abstract] [Presentation]
(Discussant: Ralph Rogalla)

"Life Cycle Portfolio Choice with Stochastic Longevity and Variable Investment-Linked Deferred Annuities"
Raimond Maurer, Vasily Kartashov, Olivia S. Mitchell, Ralph Rogalla
[Abstract] [Presentation]
(Discussant: M.A. Milevsky)

"Yaaris LifeCycle Model in the 21st Century: Consumption Under a Stochastic Force of Mortality"
M.A. Milevsky, H. Huang, T.S. Salisbury
[Abstract] [Presentation]
(Discussant: Michael Sherris)


Breakout Session I - D: Pension Plans
(Session Chair: Don Yeo)

"Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan"
Yijia Lin, Samuel H. Cox, Ruilin Tian, Jifeng Yu
[Abstract] [Presentation]
(Discussant: Marek Szczepanski)

"The Design of Supplementary Pension Schemes in Poland and Longevity Risk: Current Situation and Proposed Changes"
Marek Szczepanski
[Abstract] [Presentation]
(Discussant: Don Yeo)

"Mandating Life Annuities in Singapore"
Don Yeo, Yanying Chen, Daphne M. Wee
[Abstract] [Presentation]
(Discussant: Yijia Lin)


Breakout Session II - A: Risk Management II
(Session Chair: Henri Louberge)

"Using Life Settlements to Hedge the Mortality Risk of the Life Insurers: An Asset-Liability Management Approach"
Jennifer Wang, Ming-Hua Hsieh, Cheng-Hsien Tsai
[Abstract] [Presentation]
(Discussant: Nadine Gatzert)

"The Impact of Natural Hedging on a Life Insurer's Risk Situation"
Nadine Gatzert, Hannah Wesker
[Abstract] [Presentation]
(Discussant: Henri Louberge)

"Reinsurance and Securitization: Application to Life Risk Management"
Henri Louberge, Pauline Barrieu
[Abstract] [Presentation]
(Discussant: Jennifer Wang)


Breakout Session II - B: Modelling II

(Session Chair: Patrick Brockett)

"Modelling Mortality Trend Under Modern Solvency Regimes"
Matthias Boerger, Daniel Fleischer, Nikita Kuksin
[Abstract] [Presentation]
(Discussant: Daniel H. Alai)

"Rethinking Age-Period-Cohort Mortality Trend Models"
Daniel H. Alai, Michael Sherris
[Abstract] [Presentation]
(Discussant: Patrick Brockett)

"Life Settlement Pricing"
Patrick Brockett, Yinglu Deng, Richard D. MacMinn
[Abstract] [Presentation]
(Discussant: Matthias Boerger)


Breakout Session II - C: Risk Management III
(Session Chair: Enrico Biffis)

"Bargaining for Over-The-Counter Risk Redistributions: The Case of Longevity Risk"
Tim Boonen, Anja De Waegenaerez, Henk Nord
[Abstract] [Presentation]
(Discussant: Colin O'Hare)

"Death and its Determinants"
Colin O'Hare, Declan French
[Abstract] [Presentation]
(Discussant: Enrico Biffis)

"Informed Intermediation of Longevity Exposures"
Enrico Biffis, David Blake
[Abstract] [Presentation]
(Discussant: Tim Boonen)


Breakout Session II - D: Annuities
(Session Chair: Mark Warshawsky)

"Profit Participation Annuities: A Business Profitability Analysis within a Demographic Risk Sensitive Approach"
Valeria D'Amato, Emilia Di Lorenzo, Albina Orlando, Maria Russolillo, Marilena Sibillo
[Abstract] [Presentation]
(Discussant: Andreas Hubener)

"Optimal Purchase of Life and Longevity Risk Insurance Products for Retired Couples"
Andreas Hubener, Raimond Maurer, Ralph Rogalla
[Abstract] [Presentation]
(Discussant: Mark Warshawsky)

"The Life Care Annuity: A New Empirical Investigation of an Insurance Innovation"
Mark Warshawsky, Jason Brown
[Abstract] [Presentation]
(Discussant: Valeria D'Amato)


Breakout Session III - A: Modelling III
(Session Chair: Cheng-Hsien Tsai)

"A Two-Population Mortality Model with Transitory Jump Effects"
Rui Zhou, Johnny Siu-Hang Liy, Ken Seng Tan
[Abstract] [Presentation]
(Discussant: Matthias Boerger)

"Coherent Projections of Age, Period and Coherent Dependent Mortality Improvements"
Matthias Boerger, Marie-Christine Kohler
[Abstract] [Presentation]
(Discussant: Chou-Wen Wang)

"Mortality Modelling with Levy Processes: A Cox Process with Leptokurtic Intensity"
Chou-Wen Wang, Hong-Chih Huang, I-Chien Liu
[Abstract] [Presentation]
(Discussant: Cheng-Hsien Tsai)

"Modeling the Dynamics of Mortality Rates as Transformations"
Cheng-Hsien Tsai, Fang-Shu Linus Chan, Cary Chi-Liang Tsai
[Abstract] [Presentation]
(Discussant: Rui Zhou)


Breakout Session III - B: Pricing
(Session Chair: Hsin Chung Wang)

"Coherent Pricing of Life Settlements under Asymmetric Information"
Nan Zhu, Daniel Bauer
[Abstract] [Presentation]
(Discussant: Hua Chen)

"Living with Ambiguity: Pricing Mortality-Linked Securities with Smooth Ambiguity Preferences"
Hua Chen, Michael Sherris, Wenge Zhu
[Abstract] [Presentation]
(Discussant: Tzuling Lin)

"Population and Asset Pricing"
Tzuling Lin, Richard MacMinn, Larry Y. Tzeng
[Abstract] [Presentation]
(Discussant: Hsing Chung Wang)

"Regular Discount Sequence and Longevity Bond"
Hsin Chung Wang, Jack C. Yue
[Abstract] [Presentation]
(Discussant: Nan Zhu)


Breakout Session III - C: Households II

(Session Chair - Anthony Webb)

"Longevity Risk, Subjective Survival Expectations, and Individual Saving Behaviour"
Thomas Post, Katja Hanewald
[Abstract] [Presentation]
(Discussant: Jyun-Ji Tien)

"How the Households Adjust their Consumption and Investment Plans under Longevity Risk"
Jyun-Ji Tien
[Abstract] [Presentation]
(Discussant: Katja Hanewald)

"Individual Post-Retirement Longevity Risk Management under Systematic Mortality Risk"
Katja Hanewald, John Piggott, Michael Sherris
[Abstract] [Presentation]
(Discussant: Anthony Webb)

"How has the Financial Crisis Affected the Incomes of Households Entering and in Retirement?"
Anthony Webb, Richard W. Kopcke
[Abstract] [Presentation]
(Discussant: Thomas Post)


Breakout Session III - D: Modelling IV
(Session Chair: Sharon Yang)

"Modelling Dependent Data for Longevity Projections"
Gabriella Piscopo, Valeria D'Amato, Steven Haberman, Maria Russolillo
[Abstract] [Presentation]
(Discussant: Jack C. Yue)

"Modelling Mortality for Countries with Small Populations"
Jack C. Yue, Hong-Chih Huang, Hui-Ting Wang
[Abstract] [Presentation]
(Discussant: Yahia Salhi)

"Quickest Detection of Changes on the Mortality Index Trend"
Yahia Salhi, Nicole El Karoui, Stephane Loisel, Christian Mazza
[Abstract] [Presentation]
(Discussant: Sharon Yang)

"Panel Co-integration Analysis of Short-run and Long-run Relationship for a Multi-cultural Mortality Index"
Sharon Yang, Jr-Wei Huang
[Abstract] [Presentation]
(Discussant: Gabriella Piscopo)