Workshop Sessions 1
Thursday 9 September 2010: 11.00 - 12.30pm
Session 1A - Pavilion Room 1
Moderator: Raimond Maurer (Goethe University, Frankfurt)
Patricia Berry (Swiss Re, Australia), Lawrence Tsui (Swiss Re, Hong Kong),
Gavin Jones (Swiss Re UK)
Our New 'Old' Problem - Pricing Longevity Risk in Australia
[Abstract] [Presentation] [Paper]
Jeff Mulholland (Fasano Associates), Michael Fasano (Fasano Associates)
The Fasano Longevity Index: Using a Longevity Index to Develop
Liquidity in the U.S. Cash and Synthetic Life Settlement Markets
[Abstract] [Presentation] [Paper]
Murmann, Wolfgang (Commerzbank AG)
Pricing Life Expectancy - A Framework for Longevity Options
[Abstract] [Presentation]
[Paper]
Session 1B - Pavilion Room 2
Moderator: Ralph Stevens (CentER and Netspar, Tilburg University)
Stephane Loisel (Université de Lyon, ISFA)
Understanding, Modeling and Managing Longevity Risk; Key Issues
and Main Challenges
[Abstract] [Presentation] [Paper]
Eckhard Platen (University of Technology, Sydney)
Real World Pricing of Long Term Contracts
[Abstract] [Presentation] [Paper]
Daniel Bauer (Georgia State University)
Gaussian Forward Mortality Factor Models: Specification, Calibration,
and Application
[Abstract] [Presentation]
[Paper]
Session 1C - Promende Room 1
Moderator: Andrew Cairns (Heriot-Watt University)
Patrick Brockett (The University of Texas at Austin), Yinglu Deng (The
University of Texas at Austin) and Richard D MacMinn (Illinois State University)
Longevity/Mortality Risk Modeling and Securities Pricing
[Abstract] [Presentation]
[Paper]
Jeffrey Tzu-hao Tsai (National Tsing Hua University, Taiwan)
Pricing of Mortality-linked Contingent Claims: an Equilibrium
Approach
[Abstract] [Presentation]
[Paper]
Rui Zhou (University of Waterloo, Canada) and Johnny Li (University
of Waterloo, Canada)
Economic Pricing of Mortality-Linked Securities: A Tatonnement
Approach
[Abstract] [Presentation]
[Paper]
Session 1D - Promenade Room 2
Moderator: Jennifer Wang (National Chengchi University, Taipei)
Anthony Webb (Boston College)
The Impact of a DROP program on the age of Retirement and employer
Pensions
[Abstract] [Presentation]
[Paper]
Enrico Biffis (Imperial College London), David Blake (Pensions Institute,
Cass Business School) and Ariel Jingjing Sun (Risk Management Solutions)
Risk aggregation and collateral in longevity swaps
[Abstract] [Presentation]
[Paper]
Yahia Salhi (University of Lyon)
Longevity Basis Risk Modeling: A Co-integration Based Approach
[Abstract] [Presentation] [Paper]