Welcome

Welcome in Lyon!

conf
Stephane Loisel
conf
Nicole El Karoui
conf
David Blake
conf
Richard MacMinn

Dear participants,

We would like to take the opportunity to thank you for joining us at Longevity Eleven: The Eleventh International Longevity Risk and Capital Markets Solutions Conference. These conferences provide a unique annual global opportunity for practitioners, policy makers and academics to get together to discuss one of the most urgent long-term problems that we face on this planet.

Over the last decade, it has become increasingly apparent that longevity risk is a crucial risk to reco- gnize, quantify, and manage for both pension plan and annuity providers, as well as for governments and individuals. Managing this risk, however, has proven to be difficult. Even official agencies have systematically underestimated mortality improvments. While pension plan and annuity providers are now seriously questioning whether they should continue to assume longevity risk on an unhedged basis, the capital markets are slowly beginning to offer solutions for managing and unloading longe- vity risk.

Over the next three days, we will be discussing in detail how longevity risk can be modelled and projected, as well as the type of instruments needed by pension funds and insurance companies to hedge this risk.

We would particularly like to thank our sponsors for their financial support, without which this event would not have been possible.

Now, we wish you all a thrilling event with inspiring new insight!

The scientific Committee:

Sponsors

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Gold Sponsors
Silver Sponsors

Conference Venue

Talks & Sessions Location

Registration, Talks & Parallel Sessions are located on the 2nd floor - the Gratte-Ciel floor. A Color code is associated with each event, as follow:
This dot stands for Salle Gratte-Ciel 1
This dot stands for Grand Salon Perstige Gratte Ciel
This dot stands for Salle Gratte Ciel 2
This dot stands for Salle Gratte Ciel 3

2d floor map

Breaks & Lunch Location

Coffee & Refreshment breaks, as well as Lunch breaks, are all located on the 1st floor - the Tête d'Or floor.

2d floor map

Speakers are requested to leave their updated keynote files at the Speaker's corner at least 2 hours before the beginning of their session.
The Speaker's Corner is located on the 2nd floor, near the Registration Desk.

Keynotes Files

Presentation files should be made available shortly, twofold:
individually through links added to the program section;
presentation link example
all gathered in this directory

Program

Speakers are requested to leave their updated keynote files at the Speaker's corner at least 2 hours before the beginning of their session.
The Speaker's Corner is located on the 2nd floor, near the Registration Desk.

Day 1: Mon. Sep. 7th - Academic Day

  • 07:45

    Registration

  • 08:30

    coffee Welcome Coffee

  • 09:00

    Opening Ceremony

    Nicole EL KAROUI & Stephane LOISEL

    Opening Ceremony

    conf conf Stéphane LOISEL
    Nicole EL KAROUI Presentation

  • 09:15

    Ronald LEE, Berkeley

    The Lee-Carter model: an update and some extensions

    Plenary Talk

    conf Ronald LEE, Berkeley
    The Lee-Carter model: an update and some extensions

    Presentation
    The Lee-Carter model has become widely used to model and forecast mortality, either in its original form, or with various extensions and modifications. I will explain the underlying logic of the model, and its strengths and weaknesses. I will discuss a number of topics: how well would the model have predicted future developments if it had been used in earlier periods starting in the early 20th century? Now can the model be used when mortality data are available for only a few scattered years as in some developing nations? How can the model be adapted to accommodate the relative quickening of mortality decline at older ages in recent decades? How can the model gather strength from common patterns in mortality change within groups of populations (such as rich industrial nations, or males and females in the same country) while preserving the special patterns of each population?

  • 10:00

    coffee Coffee Break

  • 0

    Chairman : Pierre THÉROND

  • 10:30

    Pietro MILLOSSOVICH, CASS Business School

    A comparative study of two-population mortality models for the assessment of basis risk in longevity hedges

    Contributed Talk

    conf Pietro MILLOSSOVICH, CASS Business School
    A comparative study of two-population mortality models for the assessment of basis risk in longevity hedges

    joint work with Andres VILLEGAS, Vladimir KAISHEV, Steven HABERMAN
    Presentation
    Longevity swaps have been one of the major success stories of pension scheme de-risking in recent years. However, with some few exceptions, all of the transactions to date have been bespoke longevity swaps based upon the mortality experience of a portfolio of named lives. In order for this market to start to meet its true po- tential, solutions will ultimately be needed that provide protection for all types of members, are cost effective for large and smaller schemes, are tradable, and enable access to the wider capital markets. Index-based solutions have the potential to meet this need; however, concerns remain with these solutions. In particular, the basis risk emerging from the potential mismatch between the mortality of the index reference portfolio and the pension fund/annuity book being hedged is the stand out issue that has, to date, prevented many from progres- sing their consideration of index-based solutions.two-population stochastic mortality models offer an alternative to overcome this obstacle as they allow market participants to compare and project the mortality experience for the reference and target populations and thus assess the amount of demographic basis risk involved in an index-based longevity hedge. In this presentation, we systematically assess the suitability of several multi-popu- lation stochastic mortality models for assessing basis risks and provide guidelines on how to use these models in practical situations paying particular attention to the data requirements for the appropriate calibration and forecasting of such models.

  • 11:00

    Alexandre BOUMEZOUED, University Paris 6

    Population dynamics for longevity risk

    Contributed Talk

    conf Alexandre BOUMEZOUED, University Paris 6
    Population dynamics for longevity risk

    joint work with Nicole EL KAROUI, Stéphane LOISEL
    Presentation
    We propose a model for human population dynamics. This model, inspired by recent advances in the field of mathematical ecology, allows to take into account age but also specific individual characteristics. The population is subject to multiple changes at the level of individuals, who have demographic intensities linked to birth, death and changes of their characteristics: this framework is an extension of traditional birth and death processes. We will present this model, its simulation and also the coherent micro-macro point of view: in a large population framework, i.e. when the size of the population goes to infinity, demographic stochasticity vanishes and the population is described by an equation that extends deterministic equations that are well known in demography. Such model can be used to understand the impact of microscopic rules on aggregate patterns. In this spirit, we will survey several questions linked to longevity purposes that can be addressed by special forms of the model, in particular:
    1. how can individual birth patterns in heterogenous populations create artificial mortality changes (”cohort effect”) ?
    2. how is the age pyramid modified if some causes of death (as cancer) are eliminated?
    3. how to measure mortality when characteristics change over time ?

  • 11:30

    Quentin GUIBERT, SAF Laboratory

    Non-Parametric Inference of Transition Probabilities Based on Aalen-Johansen Integral Estimators for Acyclic Multi-State Models: Application to LTC Insurance

    Contributed Talk

    conf Quentin GUIBERT, SAF Laboratory
    Non-Parametric Inference of Transition Probabilities Based on Aalen-Johansen Integral Estimators for Acyclic Multi-State Models: Application to LTC Insurance

    Joint work with Frédéric PLANCHET
    Presentation
    Studying long term care (ltc) insurance requires to model the lifetime of individuals in presence of both terminal and non-terminal events which are concurrent. In this paper, we analyze this situation with a multi-state approach and we exhibit non-parametric estimators of transition probabilities considering the markov assump- tion does not hold. The proposed estimators can be seen as aalen-Johansen integrals for competing risks data, which are obtained by re-setting the system with two competing risks blocks. As little attention has been given to this issue, we derive asymptotic results for this type of estimator under non-dependent random right-censorship in presence of covariates and discuss their possible outlooks. We also develop a methodology to investigate time dependence association measures between cause-specific failure times. For key transition probabilities, we conduct simulations to analyze the performance of our estimators versus the classical aalen-Johansen estimators. Finally, we propose a numerical application with ltc insurance data, which is traditionally analyzed with semi-markov model.

  • 12:00

    coffee Lunch Break

  • 0

    Chairman : Olivier LOPEZ

  • 13:30

    Gilles PAGES, University Paris 6

    Multilevel methods for nested Monte Carlo Simulation

    Plenary Talk

    conf Gilles PAGES, University Paris 6
    Multilevel methods for nested Monte Carlo Simulation

    Presentation
    Nested Monte Carlo simulations play an important role in life insurance, as a method to compute the solvency capital requirement (SCR) in line with the requirements of solvency II. This is a two stage method based on the simulation of (functions of) conditional expectations (outer simulations), themselves approximated by nested Monte Carlo simulations (inner simulations). It can be seen as a biased Monte Carlo simulation and turns out to be considerably time consuming. To speed up such biased simulations, M. Giles introduced in 2008 a first multilevel paradigm which combines cleverly coarse and refined biased simulations in order to dramatically reduce the bias of the resulting estimator while keeping the variance under control. Recently a weighted version of the method involving a new ingredient, namely a multistep Richardson-Romberg extrapolation (Lemaire-Pages, 2013), allows under natural assumptions to still improve the method by increasing the order of decay of the bias. We will present a unified version of these methods as well as examples of applications. As a second step, we will illustrate how such multilevel methods can be extended to compute recursively quantiles of a random variable defined as a conditional expectation by adapting the (weighted) multilevel framework to recursive stochastic algorithms à la Robbins-Monro. Finally, we will present various numerical experiments carried out on the computation of scr in a stylized model.

  • 14:15

    Academic Day Parallel Session

    Mortality Modelling 1

    Longevity Risk Management 1

    Mortality Modelling 2

    Mortality Modelling 3

    Parallel Sessions

    Mortality Modelling 1

    • Chairman Pietro MILLOSSOVICH
    • Yang LU - Modelling spousal mortality dependence: evidence of heterogeneities and implications for valuation of annuity/pension liabilities
      Abstract
    • Ning ZHANG - Analysis on mortality cohort effect of birth year in view of differential geometry and its application
      Joint work with Zhao LIANG
      Abstract
    • Frank Van BERKUM - Bayesian portfolio specific mortality
      joint work with Katrien ANTONIO, Michel VELLEKOOP
      Abstract

    Longevity Risk Management 1

    • Chairman Claude LEVEVRE
    • Xavier MILHAUD - Prediction of lifetimes by tree-based estimators
      Abstract
    • Luca REGIS - Basis risk in static versus dynamic longevity-risk hedging
      joint work with Clemente De ROSAY, Elisa LUCIANO
      Abstract
    • Caroline HILLAIRET - Affine long term yield curves: an application of the Ramsey rule with progressive utility
      joint work with Nicole EL KAROUI, Mohamed MRAD
      Abstract

    Mortality Modelling 2

    • Chairman Etienne MARCEAU
    • Héloïse LABIT HARDY - Cause-of-death mortality: a study of a Heterogeneous portfolio dynamic
      joint work with Séverine ARNOLD (-GAILLE), Alexandre BOUMEZOUED, Nicole EL KAROUI
      Abstract
    • Séverine ARNOLD (-GAILLE) - Time-evolution of age-dependent mortality patterns in mathematical model of heterogeneous human population
      joint work with Demetris AVRAAM, Dyfan JONES, Bakhtier VASIEV
      Abstract
    • Julien TOMAS - A credibility approach of the Makeham mortality law
      joint work with Yahia SALHI, Pierre-E. THÉROND
      Abstract

    Mortality Modelling 3

    • Chairman Michel DENUIT
    • Edouard DEBONNEUIL - Do actuaries believe in longevity deceleration?
      joint work with Stéphane LOISEL, Frédéric PLANCHET
      Abstract
    • Guillaume BIESSY - A continuous time semi-Markov model with 3 states and 4 transition laws to estimate the biometrics laws associated with a long-term care insurance portfolio.
      Abstract
    • Olivier LOPEZ - Modeling the evolution of the dependence structure between two lifetimes
      joint work with P. SAINT PIERRE
      Abstract
    • Andres VILLEGAS - StMoMo: an R Package for Stochastic Mortality Modelling
      joint work with Vladimir KAISHEV, Pietro MILLOSSOVICH
      Abstract
  • 16:00

    coffee Refreshment Break

  • 0

    Chairman : Jean-Louis RULLIÈRE

  • 16:30

    Henning BOHN, UCSB

    Intergenerational risk sharing and aggregate longevity risks

    Plenary Talk

    conf Henning BOHN, UCSB
    Intergenerational risk sharing and aggregate longevity risks

    Presentation
    The presentation focuses on aggregate uncertainty about longevity and on the interaction of private and public insurance mechanisms in this context. While private insurance is well positioned to insure idiosyncra- tic risks, the government’s power to tax future generations allows public systems to share risks across multiple generations. Intergenerational linkages suggest a role for governments as providers of reinsurance against longevity risk, and under some conditions, a role for regulations that support intergenerational risk sharing in private pension systems.

  • 17:15

    Ragnar NORBERG, SAF Laboratory

    Risk sharing within and across generations

    Plenary Talk

    conf Ragnar NORBERG, SAF Laboratory
    Risk sharing within and across generations

    Presentation
    The question how to share risk within a cohort of insured has been precisely formulated and answered by a piece of traditional actuarial science known as the with-profit scheme. It was a matter of collecting premiums high enough to be adequate under all likely economic-demographic scenarios and to redistribute the surpluses to the insured in such a manner as to attain equivalence under the realized scenario. This meant that each generation had to live (and die) with the historical conditions it was exposed to. These ideas will be revisited in a modern theoretical framework that admits a general treatment of the with-profit concept and also a more recent idea known as automatic balancing mechanism. The question how to share risk between cohorts is a more vexed one as it is about wealth transfer between groups of people living under era-specific conditions that cannot easily be compared and -- as for the future - are immersed in knightian uncertainty. The problem will be discussed tentatively using the notion of surplus inherited from the with profit-scheme and seeking redistribution rules that do not depend too much on guesswork models about the far future.

  • 17:55

    .

Day 2: Tues. Sep. 8th - L11 Conference

  • 07:45

    Registration

  • 08:00

    coffee Welcome Coffee

  • 08:30

    Opening Ceremony

    Stephane LOISEL, David BLAKE & Nicole EL KAROUI

    Opening Ceremony

    conf conf conf Stéphane LOISEL
    David BLAKE
    Nicole EL KAROUI Presentation

  • 0

    Chairman : Stéphane LOISEL

  • 09:15

    Denis JACQUAT, Assemblée Nationale

    Longevity and aging issues in France: a Member of Parliament’s perspective

  • 09:35

    Jessica MOSHER, OECD

    Mortality Assumptions and Longevity Risk

    Plenary Talk

    conf Jessica MOSHER, OECD
    Mortality Assumptions and Longevity Risk

    Presentation
    Pension funds and annuity providers need to effectively manage the longevity risk they are exposed to. Individuals receiving a lifetime income may live longer than expected or accounted for in the actuarial calculations to provision for these liabilities. Mismanaged longevity risk can deteriorate finances, cause bankruptcy and expose individuals to the risk of losing their retirement income. To safeguard against this risk, pension funds and annuity providers must provision for future improvements in mortality and life expectancy. The regulatory framework can support the effective management of longevity risk. This publication assesses how pension funds, annuity providers such as life insurance companies, and the regulatory framework account for future improvements in mortality and life expectancy. The study then examines the mortality tables commonly used by pension funds and annuity providers against several well-known mortality projection models with the purpose of assessing the potential shortfall in provisions. The final part of the publication identifies best practices and discusses the management of longevity risk, putting forward a set of policy options to encourage and facilitate the management of longevity risk.

  • 10:05

    Ronald LEE, Berkeley

    Widening socioeconomic differences in mortality and the progressivity of public pensions and other programs for the elderly

    Plenary Talk

    conf Ronald LEE, Berkeley
    Widening socioeconomic differences in mortality and the progressivity of public pensions and other programs for the elderly

    Presentation Report
    In the United States and perhaps other rich industrial nations, socioeconomic differences in mortality have been widening in recent decades, whether measured for birth cohorts or periods. In some studies, life expectancy for the bottom half of the income distribution has remained constant or even declined, while it has risen strongly for the top half of the income distribution. Similar results are found for differentials by educational attainment or by income if appropriate measures are used. If lower income people live shorter lives those with higher income then they will receive public pensions, health care and long term care for fewer years. The progressivity of these public programs, that is the present value of old age benefits minus taxes for poor versus rich, might be reduced. This would be a problem if programs are intended to redistribute from higher to lower income groups, as is the US social security system, or if programs are intended to be actuarially fair, as in many european public pension programs including notional defined contribution systems. I will report a study of these matters for the us.

  • 10:50

    coffee Coffee By EY

  • 0

    Chairman : Christian ROBERT

  • 11:20

    Tom KIRKWOOD, Newcastle University

    Why and how are we living longer ?

    Plenary Talk

    conf Tom KIRKWOOD, Newcastle University
    Why and how are we living longer ?

    Presentation
    Until the last few decades, the common view was simply that the human body is programmed to die after a certain period. The previous increase in life expectancy was caused almost entirely by preventing deaths in the early and middle years of life – a process that in high income countries leaves little room for further improvement. The surprising continuation of the increase in longevity is driven by something new: death rates at advanced ages that are now falling fast. At the same time, scientific research has established that ageing is more malleable than we used to think. What governs this malleability, how far can it extend, and how do the intrinsic biological processes that drive the ageing process interact with the social and lifestyle factors that influence our individual trajectories of health in old age?

  • 12:05

    Laurent SCHWARTZ, École Polytechnique

    Cancer mortality: towards a structural change ?

    Plenary Talk

    conf Laurent SCHWARTZ, École Polytechnique
    Cancer mortality: towards a structural change ?

    Presentation
    In this talk, we discuss the potential structural change in a cancer mortality trends due to current and future medical progresses.

  • 12:50

    coffee Lunch By RGA

  • .

    SOGE

  • 0

    Chairman : David BLAKE

  • 14:20

    André DE VRIES, RGA

    Capital motivated longevity transactions in practice

    Plenary Talk

    conf André DE VRIES, RGA
    Capital motivated longevity transactions in practice

    Presentation
    An introduction to capital motivated longevity solutions, referring to the transactions implemented in the netherlands to date, covering:
    • Main characteristics of these transactions
    • Comparison with longevity swaps as implemented mainly in the United Kingdom
    • Implications of indemnity versus general population based transactions
    • Assessing the impact of these transactions on a life insurer’s capital position under Solvency II

  • 14:50

    Guy COUGHLAN, Universities Superannuation Scheme

    Longevity – it’s academic

    Plenary Talk

    conf Guy COUGHLAN, Universities Superannuation Scheme
    Longevity – it’s academic

    Presentation
    This presentation analyses the mortality and longevity characteristics of the members of the largest funded uk pension plan. The membership of the plan is large, geographically diverse, and yet reasonably homogeneous in terms of demographic profile. As such it provides a unique case study and interesting comparisons with other populations.

  • 15:20

    Avery MICHAELSON, Société Générale Corporate & Investment Banking

    Indexed vs indemnity longevity hedges

    Plenary Talk

    conf Avery MICHAELSON, Société Générale Corporate & Investment Banking
    Indexed vs indemnity longevity hedges

    Presentation
    Indexed longevity hedges are becoming the transaction of choice for hedging tail longevity outcomes, and receiving economic, rating agency and regulatory capital relief. The primary reasons for this are:
    1. the indexed longevity hedges can be executed at a lower all-in cost of capital than indemnity hedges (typi- cally for a cost of capital of half what an indemnity hedge costs) to the extent an effective auction process is run across derivatives, reinsurance and note execution;
    2. if counterparty credit risk is properly managed, and a note is offered to unconstrain the required credit wor- thiness of capital markets risk takers, capital markets risk takers typically price more aggressively than reinsurers given the correlation benefits of the asset class; and
    3. the basis risk for a properly structured index (one that mimics the liability and captures its path dependency) only introduces a small loading to the cost of capital, which is overwhelmed by the pricing benefit of drawing a much broader spectrum of risk takers into the auction.
    What do we still need to accomplish to increase the efficiency of this market:
    1. continue to educate regulators and potential transaction sponsors about the benefits of the approach; and
    2. continue to develop liquidity in the market, first through reverse inquiry, and then through banks providing market-making.

  • 15:50

    coffeeBreak SOGE

  • 16:20

    Parallel Session I

    Mortality Modelling 4

    Longevity Risk Management 2

    Longevity Products 1

    Other 1

    Parallel Sessions

    Mortality Modelling 4

    • Chairman Séverine GAILLE-ARNOLD
    • Yahia SALHI - A generalized linear mixed modeling approach for two-population mortality modelling
      Abstract
    • Martin GENZ - Extension, compression, and beyond - a unique classification system for mortality evolution patterns
      joint work with Matthias BÖRGER, Jochen RUß
      Abstract
    • Jack C. YUE - Mortality models and longevity risk for small populations
      Abstract

    Longevity Risk Management 2

    • Chairman Nicole EL KAROUI
    • Kenneth ZHOU - On discrete-time geek hedging of longevity risk
      joint work with Johnny Siu-Hang LI
      Abstract
    • Wen-Yen HSU - Multi-country mortality modeling and Hedging longevity risk: time series vs. panel approach
      joint work with Sharon S. YANG, Jr-WeI HUANG
      Abstract
    • Richard MACMINN - The choice of trigger in an insurance linked security: the mortality risk case
      joint work with Andreas RICHTER
      Abstract

    Longevity Products 1

    • Chairman Caroline HILLAIRET
    • Jorge BRAVO - Valuation of longevity linked annuities
      joint work with Najat EL MEKKAOUI DE FREITAS
      Abstract
    • Federica TEPPA - Friends, family and framing: an international comparison of longevity expectations formation
      joint work with Hazel BATEMAN, Susan THORP
      Abstract
    • James RISK - Statistical emulators for pricing and hedging longevity risk products
      joint work with Michael LUDKOVSKI
      Abstract

    Other 1

    • Chairman Xavier MILHAUD
    • Pawel ROKITA - Longevity and other types of risk - an integrated approach to measuring risk of household financial plan
      joint work with Radoslaw PIETRZYK
      Abstract
    • Kevin WANG - Using the taiwan national health insurance database to design no claim discount in hospitalization
      joint work with Hsin Chung WANG, Jack C. YUE, Yi CHUN CHOU
      Abstract
    • Etienne MARCEAU - The impact of longevity on the hedge efficiency of guaranteed lifetime withdrawal benefit (GLWB) products
      Abstract
  • 17:40

    .

Day 2: Tues. Sep. 8th - GALA

  • 18:45

    Cruise and Cocktail on the Rhône to the dinner place at Confluence

    Discover the architectural heritage of the city of Lyon from one of its two rivers
    Boarding: Quai Charles De Gaulle
    Direction: From the convention center, walk between car parks P1 & P2, cross the road in front of the bear and go down on the dock, to the right. Cruise

  • 20:30

    Gala dinner at confluence
    Le Selcius Restaurant

    French gastronomy in the new trendy district of Lyon

    Welcome speech by Dale HALL, SoA

  • .

    Sponsored by SoA

  • .

    Selcius Selcius Selcius
    Selcius Selcius Selcius
    Selcius Selcius Selcius

  • 23:00 to 00:00

    Several organized trips back to the convention center hotels

    Optional stops in Lyon city center




Day 3: Wed. Sep. 9th - L11 Conference

  • 07:45

    Registration

  • 08:00

    coffee Welcome Coffee

  • 08:30

    Parallel Session II

    Mortality Modelling 5

    Longevity Risk Management 3

    Reverse Mortgages 1

    Annuities 1

    Parallel Sessions

    Mortality Modelling 5

    • Chairman Yahia SALHI
    • Andrew CAIRNS, - Multi-population mortality modelling
      joint work with David BLAKE, Kevin DOWD, Malene KALLESTRUP-LAMB, Carsten RROSENSKJOLD
      Abstract
    • Johannes SCHUPP - Modeling trend processes in parametric mortality models
      joint work with Matthias BÖRGER
      Abstract
    • Yanxin LIU - It’s all in the Hidden states: a hedging method with an explicit measure of population basis risk
      joint work with Johnny Siu-Hang LI
      Abstract

    Longevity Risk Management 3

    • Chairman Yijia LIN
    • Sharon S. YANG - Analysis of optimal Hedging strategies for dealing longevity risk and catastrophic mortality risk
      joint work with Hong-Chih HUANG, Jin-Kuo JUNG
      Abstract
    • Jerry HUANG - A practical approach of natural hedging for insurance companies
      joint work with Hong-Chih HUANG, Chou-Wen WANG
      Abstract
    • Cheng WAN - Hedging the longevity risk: a study of longevity basis risk in switzerland
      Abstract

    Reverse Mortgages 1

    • Chairman Jennifer WANG
    • Adam WENQIANG SHAO - Managing retirement risks with reverse mortgage loans and long-term care insurance
      joint work with Hua CHEN, Michael SHERRIS
      Abstract
    • Yung-Tsung LEE - Valuation of reverse mortgage portfolio - a dynamic copula approach
      joint work with Chin-Wen WU, I-Chien LIU
      Abstract
    • I-Chien LIU, - Profitability analysis and risk profile for reverse annuity mortgages
      joint work with Yung-Tsung LEE, Ko-Lun KUNG
      Abstract

    Annuities 1

    • Chairman Andrew HUNT
    • Sandy BRUSZAS - Unisex pricing of german participating life annuities - boon or bane for custormer and insurance company ?
      joint work with Barbara KASCHÜTZKE, Raimond MAURER, Ivonne SIEGELIN
      Abstract
    • Farid FLICI - Longevity and life annuities reserving in algeria: comparison of some mortality models
      Abstract
    • David SMITH - The effect of longevity drift and investment volatility on income sufficiency in retirement
      joint work with Les MAYHEW, Douglas WRIGHT
      Abstract
  • 09:45

    coffee Coffee SCOR

  • .

    By SCOR

  • 0

    Chairman : Fredéric PLANCHET

  • 10:15

    Jean-Marie ROBINE, INSERM

    Update on the adult longevity revolution

    Plenary Talk

    conf Jean-Marie ROBINE, INSERM
    Update on the adult longevity revolution

    Presentation
    Using the most recent data from france and Japan, this paper updates our knowledge on the adult longevity revolution. Beyond the most extreme cases (centenarians and supercentenarians), it will focuses on the whole adult life spans and discusses several scenarios such as the rectangularization of the survival curve, the compression of mortality and the shifting mortality scenario. It will introduce some new research avenues relating longevity with climate factors, including the climate warming.

  • 10:45

    Michel DENUIT, University of Louvain

    Finite portfolio approximations

    Plenary Talk

    conf Michel DENUIT, University of Louvain
    Finite portfolio approximations

    Presentation
    This talk discusses stochastic approximations for the random numbers of survivors up to different ages. These approximations account for the systematic longevity risk as well as for the diversifiable fluctuations around the unknown life table due to the limited number of policies in the portfolio. They provide the actuary with a useful tool to reduce the time needed to simulate portfolio experience. Numerical illustrations show that the proposed approximations perform well with different mortality projection models.

  • 11:15

    Round Table

    Big Data & Longevity

    Chairman : Frédéric PLANCHET

    Alexander ZHAVORONKOV, Johns Hopkins University

    Olivier CABRIGNAC, SCOR

    Laura LANGE, Philosopher

  • 12:15

    coffeeLunch Milliman

  • 13:45

    Parallel Session III

    Mortality Modelling 6

    Longevity Risk Management 4

    Pension Buyouts/Annuity Demand 1

    Annuities 2

    Parallel Sessions

    Mortality Modelling 6

    • Chairman Johnny LI
    • Steven BAXTER, - A practical framework for assessing basis risk in index-based longevity hedges
      joint work with Steven HABERMAN, Vladimir KAISHEV, Pietro MILLOSSOVICH, Andres VILLEGAS, Andrew GACHES, Sveinn GUNNLAUGSSON, Mario SISON
      Abstract
    • Anthony MEDFORD - Best practice life expectancy: an extreme value approach
      Abstract
    • Marius PASCARIU - The double-gap life expectancy forecasting model
      joint work with Vladimir CANUDAS-ROMO
      Abstract

    Longevity Risk Management 4

    • Chairman Vladimir KAISHEV
    • Andrew HUNT - Pricing longevity-linked options
      joint work with David BLAKE
      Abstract
    • Enareta KURTBEGU - Replicating inter-generational risk sharing in financial market
      Abstract
    • Pierre VALADE - Reinsurance, a solution to manage longevity risk
      Abstract

    Pension Buyouts/Annuity Demand 1

    • Chairman Ragnar NORBERG
    • Yijia LIN - Pension risk management with funding and buyout options
      joint work with Samuel H. COX, Tianxiang SHI
      Abstract
    • Patrick BROCKETT, - Understanding longevity risk annuitization decision-making: an interdisciplinary investigation of financial and nonfinancial triggers of annuity demand
      joint work with Jing AI, Linda L. GOLDEN, Wei ZHU
      Abstract
    • Ayse ARIK, - Pricing of pension buy-outs under dependence assumption
      joint work with Sule SAHIN, Yeliz Yolcu OKUR
      Abstract

    Annuities 2

    • Chairman Richard MacMINN
    • Jakob KLEIN - Managing longevity risk: tontines vs. annuities
      joint work with An CHEN, Peter HIEBER
      Abstract
    • Jennifer Li-Ling WANG - Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefit: a variance reduction approach
      joint work with Yu-Fen CHIU, Ming-Hua HSIEH, Yen-Chih CHEN
      Abstract
    • Min JI - Model and parameter uncertainty in pricing deep-deferred annuity
      joint work with Rui ZHOU
      Abstract
  • 15:10

    Round Table

    Longevity and long term care

    Chairman : Stéphane LOISEL

    Hélène XUAN, Chaire Transitions Démographiques

    Jean-michel RICARD, Siel Bleu

  • 16:00

    coffee Break PFI

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    By PFI

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    Chairman : Andrew CAIRNS

  • 16:30

    Mark FLINT, SCOR

    The impact of recent regulatory change on the UK individual annuity market

    Plenary Talk

    conf Mark FLINT, SCOR
    The impact of recent regulatory change on the UK individual annuity market

    Presentation
    In his budget speech in april 2014 george osborne, chancellor of the exchequer for the uk, said “let me be clear. No one will have to buy an annuity”. Thus he announced the removal of a tax regime that drove life time annuity purchases worth around £12 billion p.a. The new rules applied from april 2015 and mark’s presentation will summarise the annuity market prior to the announcement, the implementation of the changes, and the immediate impact on the uk retirement market. There is little doubt that the announcement was a great political success for george osborne, but what will the long-term consequences be?

  • 17:00

    Philip SIMPSON, Milliman

    Recent developments in the UK longevity market

    Plenary Talk

    conf Philip SIMPSON, Milliman
    Recent developments in the UK longevity market

    Presentation
    This session will look at how recent changes in expectation of longevity and the retirement income market in the uk are shaping the market for both pure longevity products and retirement income products. The impact on the market of younger age mortality, the change in european regulation through solvency ii and the rapid recent decline of the uk annuity market will also be considered.

  • 17:30

    Amy KESSLER, Prudential Financial

    The longevity risk transfer market at $250 billion - innovation, globalization and growth

    Plenary Talk

    conf Amy KESSLER, Prudential Financial
    The longevity risk transfer market at $250 billion - innovation, globalization and growth

    Presentation
    In the us, uk and canada, $250 billion in pension liabilities have been transferred to insurers and reinsurers since 2007. Today, all kinds of companies are benefiting from flexible risk transfer solutions that secure member benefits and help corporate sponsors achieve a lower risk future. Innovation has been crucial to recent growth as insurers and reinsurers have broken through the early barriers to large transactions by perfecting a full range of solutions for pension funds of all shapes and sizes. Globalization is just beginning with activity spreading quickly from the us, uk, canada and the netherlands to france, germany, switzerland, the nordics, australia and beyond in the coming years. Continued growth in the longevity risk transfer market is inevitable. join us to bring longevity 11 to a close and hear what might be coming next.

  • 18:00

    Closing Ceremony

  • 18:15

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