Breakout Session Speakers
Daniel Alai joined the University of New South Wales in June of 2010, where he holds a position as senior research associate and casual lecturer in the School of Risk and Actuarial Studies. He is also an associate investigator in the Centre of Excellence in Population Ageing Research (CEPAR). Prior to his post at the University of New South Wales, Daniel obtained his PhD from the Department of Mathematics at ETH Zurich. In 2006, Daniel graduated from the University of Waterloo with a Bachelor of Mathematics, double honours in Actuarial Science and Statistics, where he also spent one semester as a research assistant in the Actuarial Science and Statistics Department of the Faculty of Mathematics. He has also worked for insurance companies such as Sun Life (Waterloo) and Manulife (Waterloo), as well as for consulting companies KPMG (Toronto) and Tillinghast-Towers Perrin (New York City).
Helena Aro is a researcher and PhD candidate at Aalto University, Helsinki (Finland). Her research interests lie in the areas of longevity risk management, including mortality modelling, valuation and hedging of longevity-linked cash flows, and asset-liability management of insurance companies.
Helena holds MScs in Mathematics (Aalto) and Economics (Aalto).
Daniel Bauer is an assistant professor of risk management and insurance in the Robinson College of Business at Georgia State University. He specializes in the development of new mathematical models for the valuation and risk management of insurance products and insurance-linked securities. Other interests include the economics of annuitization and computational finance.
Professor Bauer received his doctorate in Mathematics from Ulm University, from where he also holds a Diploma in Economical Mathematics. Furthermore, he obtained an M.S. degree from San Diego State University where he studied Statistics as a Fulbright scholar. He is a member of the German Society for Actuarial and Financial Mathematics and an immediate candidate of the German Society of Actuaries.
Matthias Boerger works in the field of mortality modeling and longevity risk management as a practitioner as well as an academic. He is a researcher at Ulm University and has published several papers on different aspects of mortality and longevity risk. His research has also earned him the Gauß Prize of the German Society of Actuaries. In his role as a consultant with the Institute for Finance and Actuarial Sciences (ifa) in Ulm, he is responsible for the field of mortality and longevity modeling and risk management.
Wai-Sum Chan, PhD, FSA, CERA is a professor at the CUHK Business School, The Chinese University of Hong Kong. He received a PhD in Applied Statistics from Temple University, USA. His current research interests include nonlinear time series analysis, clinical statistics and longevity risk management.
Dr. Hua Chen is an Assistant Professor of Risk, Insurance, and Healthcare Management and the Director of the M.S. Program in Actuarial Science in the Fox School of Business at Temple University. He holds a Bachelor's degree in Mathematics and a Master's degree in Economics. He received his Ph.D. degree in Risk Management and Insurance from Georgia State University in 2008. His research interests include insurance economics, risk modeling and securitization, and actuarial mathematics. Dr. Chen has publications in top tier journals in insurance and actuarial science, including the Journal of Risk and Insurance, Insurance: Mathematics and Economics, North American Actuarial Journal, and Asia-Pacific Journal of Risk and Insurance. He is an active member of the American Risk and Insurance Association, Asia-Pacific Risk and Insurance Association and Financial Management Association.
Shuo-Li Chuang is currently a PhD candidate of Department of Risk, Information, and Operations Management at University of Texas at Austin. Her expected graduation date is in the fall of 2012. She holds an MBA in finance from National Taiwan University. After two-year PhD training in statistics from University of Minnesota, she transferred to University of Texas to focus on her research in risk management and actuarial science area. Her research interests are applied statistical methods, mortality rate modeling, and pricing financial derivatives.
Prof. Tomas Cipra (1952) is the Head of Dept. of Statistics at the Faculty of Mathematics and Physics of Charles University in Prague (Czech Republic). He deals with finance and insurance mathematics, econometrics, time series analysis and demography. He is cerificated as the responsible actuary in the Czech Republic.
Valeria D'Amato is an actuarial and financial mathematics researcher at University of Salerno (Italy) and member of staff of Cass Business School, City University London (UK), as honorary Visiting Fellow. She received her degree in Economics in 2003 at University of Salerno (Italy) and her PhD in Actuarial and Financial Mathematics at University of Naples, Federico II (Italy). In 2008 she spent her post-doctoral fellowship at Cass Business School, City University London (UK). Her main research interests are longevity risk and solvency for life insurance companies.
Philippe De Donder
Philippe De Donder is Professor of Economics at the Toulouse School of Economics. He has obtained his Ph D in economics 1998 from the University of Namur in Belgium. He has been a visiting professor at the University of Rochester (NY) and at Yale University.
His main academic interests are public economics, political economy and industrial organization. He has published his work in journal such as Journal of Public Economics, Economic Journal, Economic Theory, Social Choice and Welfare and Public Choice.
Colm Doyle is currently a PhD student at the Michael Smurfit School of Business at University College Dublin. His position is funded by the Financial Mathematics and Computation Cluster (FMC^2) under the auspices of Science Foundation Ireland. He received his master's degree in Quantitative Finance in 2010 and bachelor's degree in Mathematical Science in 2008, both from UCD. Colm's research interests centre on risk management in pension plan design and pension fund optimal asset allocation.
Carlo Favero holds a D.Phil. from Oxford University, where he was a member of the Oxford Econometrics Research Centre. He has been professor of Econometrics at Bocconi University from 1994 to 2001 and professor of Economics since 2002. In 2009 he joined the newly formed Dept of Finance at Bocconi University, where he teaches Financial Econometrics. He has published in scholarly journals on the econometric modelling of bond and stock prices, applied econometrics, monetary policy and time-series models for macroeconomics and finance. He is a research fellow of CEPR in the International Macroeconomics programme. He is president of the Innocenzo Gasparini Institute for the Economic Research at Bocconi University and a member of the scientific committee of the Centro Interuniversitario Italiano di Econometria (CIDE). He has been advisor to the Italian Ministry of Treasury for the construction of an econometric model of the Italian economy. He has been consulting the European Commission, the World Bank and the European Central Bank, on monetary policy and the monetary transmission mechanism and bond markets. He is member of the editorial board of the Bocconi Springer Series in Mathematics, Statistics, Finance and Economics.
Professor Jonathan Barry Forman is the Alfred P. Murrah Professor of Law at the University of Oklahoma, where he teaches courses on tax and pension law. Professor Forman recently served in Washington, DC, as the Professor in Residence for the Internal Revenue Service Office of Chief Counsel for the 2009-2010 academic year.
Professor Forman is also active in the American Bar Association, the Association of American Law Professors, and the National Academy of Social Insurance. Professor Forman has lectured around the world, testified before Congress, and served on numerous federal and state advisory committees.
Professor Forman has more than 300 publications including Making America Work (Urban Institute Press 2006). In addition to his many scholarly publications, Professor Forman has published op-eds in Barron's, the Los Angeles Times,and numerous other newspapers and magazines. Professor Forman earned his law degree from the University of Michigan in 1978, and he has Master's degrees in economics and psychology. Also, prior to entering academia, it was his privilege to serve in all three branches of the federal government, most recently as Tax Counsel to the late Senator Daniel Patrick Moynihan (D-NY).
Séverine Gaille is Assistant Professor in Actuarial Science at the University of Lausanne, Switzerland. Besides a PhD in Actuarial Science, she has a Certificate in Population Study from the University of Geneva, Switzerland. Her research focuses on longevity risk and mortality modeling, looking for more efficient models in mortality projections. In a six months research visit in 2009 and a 2 months research visit in 2012 at the University of New South Wales in Sydney, Australia, she has been investigating various causes of death across countries.
In addition to teaching and research, she has been working in various pension and social security organizations. As an external collaborator within the actuarial department of the International Labour Organization, she was involved in several projects related to social security. More recently, as an actuary in a consulting pension fund firm, she was involved in all the steps of this business.
A mathematics graduate of Cambridge, he obtained his PhD and DSc in actuarial science from City University and is a qualified FIA. He has co-authored five books and written over 160 research papers. A member of the FRC's Board for Actuarial Standards and Legal and General's Longevity Science Advisory Panel, he has recently consulted for Deutsche Bank, Swiss Reinsurance, FSA and National Audit Office.
Andrew Hunt is studying for a PhD in longevity modelling, projection and risk management at Cass Business School in London. He qualified as a Fellow of the Institute of Actuaries in 2009 and is now researching into the development of stochastic mortality models and their application to longevity risk management and securitisation. Prior to this, Andrew has worked for five years as a pension consultant, helping to advise a number of companies on their funding and risk strategy regarding legacy defined benefit obligations and including assisting on the modelling of a large longevity swap transaction. He also has a Masters in Mathematics from the University of Cambridge, specialising in theoretical physics.
Petar Jevtic is a third-year PhD student in Economics, specializing in Statistics and Applied Mathematics, at the Faculty "Vilfredo Pareto" at the University of Torino, Italy, in the Department of Economics and Statistics. Currently, he is a visiting researcher at The Wharton School, University of Philadelphia, at the Department of Statistics. In 2006, he received a joint M. Sc in Economics degree from the Faculty of Economics, University of Belgrade and HEC Paris. In 2004, he received a Dipl. Ing. degree from The School of Electrical Engineering, University of Belgrade. His research interests include: Stochastic Mortality Models, Mathematical Finance, Optimal Control in Pension Schemes, and Marked Point Processes.
Dr. Min Ji is an Assistant Professor in the department of Mathematics at Towson University. She received her Ph.D. degree in Actuarial Science in July 2011 from the University of Waterloo. Her research interest is developing mortality and longevity risk models for quantities of interest involved in insurance and financial products. Dr. Ji is a Fellow of the Faculty and Institute of Actuaries and the Society of Actuaries.
Kai Kaufhold is an independent consultant in the field of actuarial modeling and reinsurance, building on 16 years' experience in the life reinsurance market, latterly running the European life retrocession business for Manulife Reinsurance. His interest in longevity and mortality projection models stems from working in the UK longevity reinsurance market for a number of years.
Kaufhold holds the designation Aktuar DAV of the German actuarial association Deutsche Aktuarvereinigung. He has a degree in physics from the Universität zu Köln.
Michael Kisser is an Assistant Professor of Finance at the Norwegian School of Economics (NHH) in Bergen, Norway. His research activities focus on corporate financing and investment decisions, corporate pension risk and financial stability issues relating to securitization and credit rating agencies. He obtained his Ph.D. in Finance in 2010 from the Vienna Graduate School of Finance. During his studies, he has visited both the European Central Bank and the International Monetary Fund and, since then, has worked as a co-author on several of the IMF's Global Financial Stability Reports.
Atsuyuki Kogure is a Professor of Statistics and Finance in the Faculty of Policy Management at Keio University, Japan. He holds a Ph.D. in statistics from Yale University. His previous academic experiences include visiting researchers at the Institute for Monetary and Economic Studies in Bank of Japan and at Nanyang Business School in Singapore. His main interest lies in the areas of risk modeling in insurance and finance. His recent research has focused on Bayesian methods for modeling multivariate risks and their applications to mortality-linked derivative pricing.
Mikhail Krayzler is a PhD student at the Department of Mathematics at the Technische Universität München. He is working under the supervision of Professor Rudi Zagst in collaboration with risklab, a subsidiary of Allianz Global Investors. His research interests lie at the intersection of finance and insurance. In particular, he is currently working on pricing and risk management of equity-linked insurance and pension products. Mikhail graduated with M.Sc. in "Finance and Information Management" from TU Munich and University of Augsburg. Mikhail also holds a Bachelor degree in "Applied Mathematics and Informatics" from the Technical University Nizhny Novgorod (Russia).
Yijia Lin is an Assistant Professor of Finance at the University of Nebraska - Lincoln. She earned BA degree in insurance and MA degree in finance and insurance both at Beijing Technology and Business University. Dr. Lin earned her Ph.D. in Risk Management and Insurance at Georgia State University. She is also a Chartered Financial Analyst (CFA®) Charterholder.
Dr. Lin's research interests are in insurance securitization, enterprise risk management and actuarial science. She has published papers in the Journal of Risk and Insurance, the North American Actuarial Journal, the Insurance: Mathematics and Economics, the Geneva Papers on Risk and Insurance, the Variance and others. Dr. Lin won the Harold D. Skipper Best Paper Award for the best paper at the 2006 Annual Meeting of Asia-Pacific Risk and Insurance Association, the Ernst Meyer Prize for University Research Work by the Geneva Association in 2007, and the North American Actuarial Journal Annual Prize for the Best Paper Published in 2007 in 2009.
Les Mayhew is a Professor at Cass Business School, Faculty of Actuarial Sciences and Insurance. He is a former senior civil servant and graduate of the UK Government's Top Management Programme, with nearly 20 years of experience in the Department of Health, Department of Social Security (DSS), Treasury (CSO), and ONS, where he was also a director. He is a long-standing Associate Research Scholar at the International Institute for Applied Systems Analysis (IIASA), Vienna. He is a former Director of Operational Research in the DSS, a Fellow of the Faculty of Public Health and Honorary Fellow of the Institute of Actuaries and a member of the Royal Economic Society. He is Director of Mayhew Harper Associates Ltd., a research consultancy company working mainly in the public sector. He publishes in several areas including, demography, pensions, long-term care, and health care systems and has two books to his credit.
Ramona is a research fellow at the University of New South Wales, within the Centre of Excellence in Population Ageing Research. Her research focuses on financial risk management for pension plans and life insurers and methodologies for modelling longevity risk. Prior to her current position, Ramona worked for PwC Australia as a pensions actuary. She is a Fellow of the Institute of Actuaries Australia and has completed a PhD in Financial Economics at the University of Cambridge.
Moshe A. Milevsky, Ph.D. is a tenured finance professor at the Schulich School of Business and a member of the graduate faculty in the Department of Mathematics and Statistics at York University. Prof. Milevsky has lectured at the Wharton School of Business at the University of Pennsylvania, the London School of Economics, University of New South Whales, ORT University in Montevideo, University of Cyprus, University of Leuven, and Goethe University.
He has written 10 books, over 60 peer-reviewed white papers, and more than 200 popular magazine and newspaper articles on all aspects of personal finance. He is a 2002 Fellow of the Fields Institute for Research in Mathematical Sciences. He received 2 National Magazine awards in 2003 for his popular writing and received a Graham and Dodd scroll award from the CFA Institute for a 2006 article in the Financial Analysts Journal. In 2008 he was honored with a lifetime achievement award by the Retirement Income Industry Association. In 2009 he was an MDRT Main Platform speaker. His most recent book, The 7 Most Important Equations for Your Retirement: The Fascinating People and Ideas Behind Planning Your Retirement Income was published by John Wiley & Sons in Spring 2012.
Jeff is the Managing Director and Head of Insurance and Pension Solutions for SG Americas Securities, LLC. Jeff has been involved in the derivatives and securitization markets with premier investment banks and hedge funds since 1991 including:
- Leading a hedge fund strategy which received the first preliminary rating from Moody's for a life settlements securitization
- Leading the capital markets activities for one of the largest originators of life settlements, as its President
- Heading Citigroup's Structured Insurance Products Group
- Leading the team at Goldman Sachs that created Arrow Re, their offshore reinsurance company designed to facilitate the securitization of insurance risk
- Heading Goldman Sachs' fixed income derivatives business for the insurance and reinsurance industries in North America.
Prior to working on Wall Street, Jeff was an actuarial consultant for 5 years. Jeff is a Fellow of the Society of Actuaries and a Member of the American Academy of Actuaries. He graduated magna cum laude from the Wharton School in 1986.
Hal W. Pedersen is Director, Quantitative Finance (GEMS) with Conning & Company. Dr. Pedersen is one of the principal architects of GEMS, Conning's economic scenario generator and he plays a key role in risk modeling projects as well as in the development of ongoing enhancements to Conning's economic and capital market scenario generator. He is an Associate of the Society of Actuaries and has more than 15 years academic and industry experience in the application of financial economics to insurance. He was L.A.H. Warren professor of actuarial science at the University of Manitoba from 2003 through 2011 and served on the actuarial faculty at Georgia State University from 1996 through 2001. A significant focus of his research has been on the securitization of insurance risk and its role in capital markets.
Luca Regis is Post-Doctoral Fellow at the University of Torino, Italy. He is also Deputy Director of the postgraduate program in Insurance and Risk Management at University of Torino and Collegio Carlo Alberto. Luca holds a Ph.D. in Applied Mathematics and he has been visiting scholar at the Université Paris 6 and Ecole Polytechnique. His research interests include solvency capital requirements for insurance companies, longevity risk measurement and hedging, ALM.
Matt is the co-founder of Circadian Capital. Circadian was set up in Spring 2011 by Donal Carville and Matthew Sheridan to provide consultancy expertise in the life settlements space with a view to, ultimately, managing capital. Prior to Circadian, Matt joined Mizuho International in May 2005 where he helped establish, build and run the life settlements and longevity business. His role was primarily to build policy pricing models, help design the infrastructure that enabled life settlements to be booked and managed as a tradable security within the bank, and to actively manage the risks of the book. Prior to joining Mizuho, Matt worked at the Royal Bank of Scotland (formerly Natwest Markets / Greenwich Natwest) for over ten years, largely in Proprietary Credit Trading but also in Structured Solutions, Capital Structure Trading and Risk Management. He is FSA registered and has a degree in Business Information Technology from Kingston University.
Stuart Silverman - Principal, Consulting Actuary
FSA, MAAA, CERA
Fellow, Society of Actuaries
Member, American Academy of Actuaries
Stuart is a principal and consulting actuary in the New York office of Milliman. He co-manages the Life consulting practice in New York. He joined the firm in 1999.
Stuart consults on life insurance and annuity products. Over the past several years, he has advised insurance companies, banks, hedge funds, and financial guarantors on capital market securitizations and private structured transactions relating to reserve redundancies, embedded values, and longevity risk. Stuart also has experience in reinsurance, demutualizations, asset liability management, mergers and acquisitions, market-conduct lawsuit settlements, product development, reserve valuation, and dividend determination.
BS, Computer Science, Binghamton University, New York
Mohamed TALFI is a financial mathematics lecturer at ESDES Business School in the Catholic University of Lyon. His research area is the Risk Management in finance and actuarial sciences. He is now Head of the Department of Information Technology and Quantitative Methods and member of the Finance Department of ESDES Business School.
Federica Teppa is an economist at the Economics and Research Division of the Dutch central bank. She is affiliated to the Network for Studies on Pensions, Aging and Retirement (Nestpar). She is part of the Eurosystem Household Finance and Consumption Network at European Central Bank. She earned her PhD in Economics at Tilburg University and worked at the University of Turin and Erasmus University Rotterdam. Her research interests include longevity and pensions, individual financial decision making, household finance.
Kapteyn, A. and F. Teppa (2011), Subjective measures of risk aversion, fixed costs and portfolio choice, Journal of Economic Psychology, 32, 564-580.
Alessie, R. and F. Teppa (2010), Saving and habit formation: Evidence from Dutch panel data, Empirical Economics 38(2), 385-407.
Buetler, M. and F. Teppa (2007), The choice between an annuity and a lump sum: Results from Swiss pension funds, Journal of Public Economics 91, 1944-1966.
Kapteyn, A. and F. Teppa (2003), Hypothetical intertemporal consumption choices, Economic Journal 113, 140-152.
Jason Cheng-Hsien Tsai is a professor of the Risk Management and Insurance Department and Director of Risk and Insurance Research Center at National Chengchi University. Jason's research interests lie at the intersection of insurance and finance. He has published in the Journal of Risk and Insurance, Insurance: Mathematics and Economics, European Journal of Operational Research, among others. Jason has led and participated in many projects for insurance supervisors, organizations, and companies in Taiwan. He was a Fulbright Scholar visiting Santa Clara University. Jason's doctoral degree is in Risk Management and Insurance from Georgia State University. He got his Master's and Bachelor's of Business Administration from Carnegie Mellon University and National Taiwan University, respectively.
Andrés Villegas is a PhD student at Cass Business School in London. Before starting his doctoral studies he obtained a MSc degree in Industrial Engineering from Universidad de Los Andes Colombia and worked as a risk analyst at the biggest Colombian life insurance company. Andrés research interests include mortality modelling, longevity risk management and the application of optimisation techniques in actuarial science and finance.
Professor Jennifer Wang is the Associate Dean and the Distinguish Chair Professor at National Cheng-Chi University in Taiwan. She is the associate editor of Journal of Insurance Issue published by Western Risk and Insurance Association in U.S.A. Professor Wang serves as the board member of both the American Risk and Insurance Association and the Asia-Pacific Risk and Insurance Association. She is the president and board of governors for Pension Funds Association in Taiwan, and a research fellow of China Center for Insurance and Social Security Research in Peking University, China. With extensive research in the risk management for insurance companies and pension fund management, professor Wang has served for years as the board of director and consultant for many Life Insurance Companies, and as the board member to various committees in major pension funds, including National Annuity Insurance Fund, Labor Insurance Fund, and Public Service Pension Fund in Taiwan. Her main area of research interest are in risk management and insurance, pension fund management, and annuity market and social insurance, especially in the asset liability management issues for pension fund and insurance companies.
Hsin-Chung Wang had 8 years work experience at Cathay Life Insurance Co. in Taiwan. He received his Ph.D. degree in Department of Statistics, National Chengchi University in Taiwan. He is an assistant professor in the Department of Statistics and Actuarial Science, Aletheia University in Taiwan. He also serve as director in Chung Hua Senior High School in Taiwan. His research focuses on statistics and actuarial science.
I am a PhD student in econometrics at Tilburg University, The Netherlands. After completing my undergraduate degree in Finance at Zhejiang University in China, I have obtained two master degrees from Tilburg University. The first one was a Master of Science degree in Mathematical Economics and Econometric Methods, the second is the Research Master degree in Econometrics. During the study period of the first master, I did an internship in APG (All Pensions Groups), the biggest pension fund in the Netherlands. As of September 2010, I started my PhD studies in the department of Econometrics and Operation Research of Tilburg University, and also became a research fellow at Netspar (Network for Studies on Pensions, Aging and Retirement). My primary research interests include applied econometrics, health economics, and aging. My current research focuses on the modeling and estimation of health changes. I am also working on the analysis of expenditure changes of health care in the U.S.
Ching-Syang Jack Yue is a consultant and actuary, as well as a professor of Statistics Department at College of Commerce, National Chengchi University. In 1997, Jack formed the Statistical Consulting Center at College of Commerce, National Chengchi University. He served as the Chair of Statistics Department in 2003-05 and the director of Survey Center in 2008-10, at the College of Commerce, National Chengchi University. Jack has been a consultant and advisor in life table construction for the Taiwan government (Ministry of Interior) and Taiwan Insurance Institute. He was also a reviewer of the Review Committee of Life insurance Products of Financial Supervisory Commission, Taiwan government. Right now, Jack focuses his research on the longevity study, especially on the mortality models and its impact on retirements.
Rui Zhou is an Assistant Professor in Warren Centre for Actuarial Studies and Research at the University of Manitoba. Her research interest includes longevity risk modeling, mortality-linked security pricing and mortality rates modeling.
Dr. Nan Zhu is an Assistant Professor of Actuarial Science at Illinois State University. He earned his BS and MS in Financial Mathematics, and BA in Economics, all at Peking University. Dr. Zhu received his Ph.D. in Risk Management and Insurance from Georgia State University in 2012. He is also an Associated of the Society of Actuaries.
Dr. Zhu's research interests include stochastic mortality modeling and forecasting, applications of contract theory in insurance market, quantitative risk management, and the economics of life settlements. He won the Research Grant by the Geneva Association in 2011.