Hosts
Programme
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 |
|
| 10.00-10.30 | Plenary Session II |
|
| 10.30–11.00 | Refreshment Break |
|
| 11.00–12.30 | Plenary Sessions III-V |
|
| 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 |
|
| 12.30–13.30 | Final Panel and Conclusion: How to make this new asset
class accessible
|
|
| 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, |
Risk |
Modelling I |
Households I |
Pension Plans |
Session II |
Thu, 8 Sept |
Risk Management II |
Modelling II |
Risk Management III |
Annuities |
Session III |
Fri, 9 Sept |
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)