The eleventh international Longevity Risk
and Capital Markets Solutions Conference
September 7/8/9, 2015
PLATINUM SPONSORS
GOLD SPONSORS
LYON, Cité Internationale - Centre de Congrès
SILVER SPONSOR
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Day 1 : Monday September 7ACADEMIC DAY
Ronald LEE, BerkeleyUpdate on the Lee-Carter Model
09:15
08:30
Registration Opening07:45
Welcome Coffee
Opening Ceremony
Nicole EL KAROUI & Stéphane LOISEL
09:00
10:00
Pietro MILLOSSOVICH, CAS Business SchoolA comparative study of two-population mortality models for the assessment of basis risk in longevity hedges
10:30
Alexandre BOUMEZOUED, University Paris 6Population dynamics for longevity risk
Quentin GUIBERT, SAF LaboratoryLong-term care with multi-state models
11:30
12:00Lunch Break
Coffee Break
Gilles PAGES, University Paris 6TBA
13:30
Laurent DEVINEAU, MillimanTBA
Academic Day Parallel SessionMortality modelling 1Longevity risk management 1Mortality Modelling 2Mortality Modelling 3
14:45
16:30Refreshment Break
Henning BOHN, UCSBTBA
17:00
Ragnar NORBERG, SAF LaboratoryTBA
18:10
Day 2 : Tuesday September 8LONGEVITY 11 CONFERENCE
Denis JACQUAT, Assemblée NationaleTBA
09:15
08:00
Registration Opening07:45
Welcome Coffee
Opening CeremonyStéphane LOISEL, David BLAKE & Nicole EL KAROUI
08:30
10:50
Tom KIRKWOOD, Newcastle UniversityWhy and how are we living longer ?
11:20
Laurent SCHWARTZ, École PolytechniqueCancer mortality: towards a structural change ?
12:50Lunch Break
Coffee Break
Jeff MULHOLLAND, Société Générale
TBA
14:20
Parallel Session IMortality modelling 4Longevity products 1Longevity Risk Management 2Other 1
16:20
15:50Refreshment Break
17:40
Pablo ANTOLIN, OECDTBA
Ronald LEE, BerkeleySocioeconomic differential in mortality and life expectancy over recent decades
LocationPlenary talks & Round tables : «Grand salon Prestige Gratte-ciel»Breaks : «Tête d’Or» floorParallel sessions :
Grand salon Prestige Gratte-Ciel
Salle Gratte-Ciel 1
Salle Gratte-Ciel 2
Salle Gratte-Ciel 3
11:00
14:10
17:40
09:35
10:05
12:05
André DE VRIES, RGAA longevity risk transfer in practice
14:50
The advantages and disadvantages of indexed vs indemnity longevity hedges
15:20
Guy COUGHLAN, Pacific Global Advisors
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Day 3 : Wednesday September 9LONGEVITY 11CONFERENCE
Jean-Marie ROBINE, INSERMTBA
10:15
08:00
Registration Opening07:45
Welcome Coffee
09:45
Parallel Session IIMortality modelling 5Longevity risk management 3Reverse Mortgages 1Annuities 1
08:30
12:15Lunch Break
Coffee Break
17:30
Michel DENUIT, LouvainTBA
Round TableFrédéric PLANCHET, SAF Laboratory
Edouard DEBONNEUIL, Celtipharm
Pierre-Henri TAVOILLOT, Paris Philosophy CollegeBig Data & Longevity
11:15
Round TableJean-Hervé LORENZI, Edmond de Rotschild
Serge GUERIN, ESG
Jean-Michel RICARD, Siel Bleu
Longevity and long term care
15:10
The impact of recent regulatory change on the UK individual annuity market
16:30
Day 2 : Tuesday September 8GALA
18:45
Cruise and Cocktail on the Rhône to the dinner place at ConfluenceDiscover the architectural heritage of the city of Lyon from one of its two riversBoarding : Quai Charles De GaulleDirection : From the convention center, walk between car parks P1 & P2, cross the road and go down on the dock, right.
20:30
Gala dinner at the ConfluenceRestaurant Le SelciusFrench gastronomy in the new trendy district of Lyon
23:00 Several organized trips back to the convention center hotelsOptional stops in Lyon city center00:00
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Welcome speech by Dale HALL, SoA
Parallel Session IIIMortality modelling 6Longevity risk management 4Pension Buyouts/Annuity Demand 1Annuities 2
13:45
10:45
Amy KESSLER, Prudential Financial
Mark FLINT, SCOR
17:00TBA
18:00
TBA
16:00Refreshment Break
18:10
Closing Ceremony
Philip SIMPSON, Milliman
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CONTENT OF
PARALLEL SESSIONSMonday Sept 7 / 14:45 / ACADEMIC DAY PARALLEL SESSION
Longevity Risk Management 1
Hong LI Dynamic hedging of longevity risk: the effect of trading frequency
Estelle LIU Hedging and immunization of longevity risk
Philippe CLARK De-risking longevity
Caroline HILLAIRET Affine long term yield curves: an application of the Ramsey rule with progressive utility
Mortality Modelling 2
Heloise LABIT HARDY Cause-of-death mortality: A study of a heterogeneous portfolio dynamic
Séverine ARNOLD Time-evolution of age-dependant mortality patterns in mathematical model of heterogeneous human population
Wen-Yen HSU Multy-country mortality modeling and hedging longevity risk using a panel approach
Najat EL MEKKAOUI DE FREITAS Valuation of longevity linked annuities
Jimmy RISK Statistical emulators for pricing and hedging longevity risk products
Yahia SALHI Excess-of-loss swap for longevity and mortality cross-hedging
Longevity Products 1
Farid FLICI Longevity and life annuities reserving in Algeria: Comparison of some mortality models
Kevin WANG Using the Taiwan national health insurance database to design no claim discount in hospitalization
Pawel ROKITA Longevity and other types of risk - an integrated approach to measuring risk of household financial plan
Other 1
Tuesday Sept 8 / 16:20 / PARALLEL SESSION I
Federica TEPPA
Martin GENZ Extension, compression, and beyond - A unique classification system for mortality evolution patterns
Jack C. YUE Mortality models and longevity risk for small populations
Mortality Modelling 4
Friends, family and framing: An international comparison of longevity expectations formation
Mortality Modelling 1
Yang LU Large duration asymptotics in bivariate survival models with unobserved heterogeneity
Ning ZHANG Analysis on mortality cohort effect of birth year in view of differential geometry and its application
Frank Van BERKUM Bayesian portfolio specific mortality
Luca REGIS Basis risk in static versus dynamic longevity risk hedging
Mortality Modelling 3
Edouard DEBONNEUIL Do actuaries believe in longevity deceleration?
Guillaume BIESSY A continuous time semi-markov with 3 states and 4 transition laws to estimate the biometrics laws associated with a long-term care insurance portfolio
Olivier LOPEZ Modeling the evolution of the dependence structure between two lifetimes
Andres VILLEGAS StMoMo: An R package for stochastic mortality modelling
Kenneth ZHOU On discrete-time geek hedging of longevity riskJason CHENG HSIEN TSAI Embedding the natural hedging of mortality/longevity risks into product design
Longevity Risk Management 2
Richard MACMINN The choice of trigger in an insurance linked security: The mortality risk case
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CONTENT OF
PARALLEL SESSIONSWednesday Sept 9 / 08:30 / PARALLEL SESSION II
Wednesday Sept 9 / 13:45 / PARALLEL SESSION III
Mortality Modelling 6
Steven BAXTER A practical framework for assessing basis risk in index-based longevity hedges
Anthony MEDFORD Best practice life expectancy: An extreme value approach
Marius PASCARIU The double-gap life expectancy forecasting model
Pension Buyouts/Annuity Demand 1
Yijia LIN Pension risk management with funding and buyout options
Patrick BROCKETT Understanding longevity risk annuitization decision-making: An interdisciplinary investigation of financial and nonfinancial triggers of annuity demand
Ayse ARIK Pricing of pension buy-outs under dependence assumption
Annuities 2
Min JI Model and parameter uncertainty in pricing deep-deferred annuity
Li-Ling WANG Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefit: A variance reduction approach
Jakob KLEIN Managing longevity risk: Tontines vs. annuities
Longevity Risk Management 3
Sharon YANG Optimal hedging strategy for catastrophic mortality risk considering life settlements
Ljudmila BERTSCHI Hedging the longevity risk: A study of longevity basis risk in Switzerland
Jerry HUANG A practical approach of natural hedging for insurance companies
Reverse Mortgages 1
Adam SHAO Managing retirement risks with reverse mortgage loans and long-term care insurance
Yung-Tsung LEE Valuation of reverse mortgage portfolio - A dynamic copula approach
I-Chien LIU Profitability analysis and risk profile for reverse annuity mortgages
Annuities 1
Etienne MARCEAU The impact of longevity on the hedge efficiency of guaranteed lifetime withdrawal benefit (GLWB) products
Barbara KASCHUTZKE Unisex princing of german participating life annuities - boon or bane for custormer and insurance company ?
Mortality Modelling 5
Johannes SCHUPP Modeling trend processes in parametric mortality models
Yanxin LIU It’s all in the Hidden States : A hedging method with an explicit measure of population basis risk
Andrew CAIRNS Multi-population mortality modelling
Longevity Risk Management 4
Andrew HUNT Pricing longevity-linked options
Enareta KURTBEGU Replicating inter-generational risk sharing in financial market
Pierre VALADE Reinsurance, a solution to manage longevity risk