Presentations

Friday September 25, 2009 JPMorgan Chase Auditorium

Plenary Session 1
Opening by Professor David Blake - Longevity Risk and Capital Markets Solutions: An Update

Professor James Poterba, MIT and President of the National Bureau of Economic Research
Defined Contribution Plans, Mortality Risk and the Demand for Annuities

Tom Boardman, Prudential UK, and Professor David Blake, Pensions Institute, Cass Business School
Why Governments Should Issue Longevity Bonds

Plenary Session 2
Dr. John Iacovino, Fasano Associates
Longevity Extension: Dissecting Mortality Improvements over the Last Century

Guy Coughlan, Managing Director and Global Head of LifeMetrics and Pensions Solutions, JP Morgan
Population Basis Risk and Hedge Effectiveness

Workshop Session 1
Workshop 1A - Ari Jacobs and Martin Bird, Hewitt Associates. Pensioner Longevity Data Analysis and Applications

Workshop 1B - Anthony Webb, Boston College. Valuing the Longevity Insurance Acquired by Delayed Claiming of Social Security
(Discussant: W Jean Kwon)

Workshop 1C - Edward Whitehouse. Life Expectancy Risk and Pensions: Who Bears the Burden?

Workshop Session 2
Workshop 2A - John Fitzpatrick, Pension Corporation. Aggregating Longevity Risk for the Capital Markets

Workshop 2B - Mike Sherris, University of New South Wales. Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility
(Discussant: Andrew Cairns)

Workshop 2C - Les Mayhew, Cass Business School. Whither Human Survival and Longevity or the Shape of Things to Come
(Discussant: Anthony Webb)

Workshop Session 3
Workshop 3A - Scott Willkomm, Coventry. Micro-Longevity as an Alternative Asset Class

Workshop 3B - Andrew Cairns, Herriott Watt University. Bayesian Stochastic Mortality Modeling for Two Populations
(Discussant: Sam Cox)

Workshop 3C - Richard MacMinn, Illinois State University. The Annuity Puzzle
(Discussant: James Poterba)

Plenary Session 3
Professor Joe Coughlin, AgeLab, MIT. Retriring Retirement: Implications of Longer Worklife on Work, Pensions & Capital Markets

Saturday September 26, 2009 St. John's University, Manhattan Campus

Workshop Session 4
Workshop 4A - Frederik Weber. Mortality Indexed Annuities: Avoiding Unwanted Risk
(Discussant: Jack Yue)

Workshop 4B - Katja Hanewald. Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency
(Discussant: Daniel Bauer)

Workshop 4C - Johnny Li. Measuring Basis Risk Involved in Longevity Hedges
(Discussant: Valeria D'Amato)

Workshop 4D - Ralph Stevens. Longevity Risk and Hedge Effects in Portfolios of Pension Products with Investment Risk
(Discussant: Matthias Borger)

Workshop Session 5
Workshop 5A - Jack Yue. Mortality Compression and Longevity Risk
(Discussant: Yijia Lin)

Workshop 5B - YaWen Hwang. Modifying the Logisitc Model for Mortality Forecasting the Application of Mortality-Linked Securities
(Discussant: Colin O'Hare)

Workshop 5C - Katja Hanewald. Mortality Modeling: Lee-Carter and the Macroeconomy
(Discussant: David Smith)

Workshop 5D - Daniel Bauer. Risk and Valuation of Mortality Contingent Catastrophe Bonds
(Discussant: Pat Brockett)

Workshop Session 6
Workshop 6A - Daniel Bauer. Modeling the Forward Surface of Mortality
(Discussant: Jack Yue)

Workshop 6B - Matthias Borger. Deterministic Shock vs Stochastic Value-at-Risk - An Analysis of the Solvency II Standard Model Approach to Longevity Risk
(Discussant: Katja Hanewald)

Workshop 6C - Raimond Maurer. Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement and Investment Decisions with Lifetime Payouts
(Discussant: Johnny Li)

Workshop 6D - Hua Chen. Pricing Mortality-Linked Securities with Dependent Lives under the Multivariate Threshold Life Table
(Discussant: Ralph Stevens)

Workshop Session 7
Workshop 7A - David Blake. A Gravity Model of Mortality Rates for Two Populations
(Discussant: Jennifer Wang)

Workshop 7B - Valeria D'Amato. The Poisson Log-Bilinear Lee Carter Model: Efficient Bootstrap in Life Annuity Actuarial Analysis
(Discussant: Frederik Weber)

Workshop 7C - Yijia Lin. Mortality Regimes and Pricing
(Discussant: Daniel Bauer)

Workshop Session 8
Workshop 8A - Jack Yue. Modeling Coherent Mortality Forecasts in Lee-Carter Framework
(Discussant: Raimond Maurer)

Workshop 8B - Jennifer Wang. Hedging Longevity Risk by Asset Management - an ALM Approach
(Discussant: Hua Chen)

Workshop 8C - Tzuling Lin. Consumption, Population and the Cross-Section of Stock Returns
(Discussant: Jingjing Chai)