Programme
Programme correct as of 8th September 2015. Please check the programme regularly for any updates.
A copy of the programme is available here [pdf].
Conference Agenda
Day 1 | Monday 7th September 2015 Academic Day |
---|---|
07:45 -08:30 | Registration Opening |
08:30 - 0900 | Welcome Coffee |
09:00 - 0915 | Opening Ceremony Nicole El Karoui & Stephane Loisel [Video Presentation] |
09:15 -10.:00 | Ronald Lee, Berkeley "The Lee-Carter Model: an update and some extensions" [Abstract] [Presentation] |
10:00:10:30 | Coffee Break |
10:30 - 11:00 | Pietro Millossovich, Cass Business School "A Comparative Study of Two-Population Mortality Models for the Assessment of Basis risk in Longevity Hedges". [Presentation] |
11:00- 11:30 | Alexandre Boumezoued, University Paris 6 "Population Dynamics for Longevity Risk " [Presentation] |
11:30 - 12:00 | 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" [Presentation] |
12:00 - 13:30 | Lunch Break |
13:30 - 14:15 | Gilles Pages, University Paris 6 "Multilevel Methods for Nested Monte Carlo Simulation" [Presentation] |
14:15 - 16:00 | Academic Day Parallel Session Mortality Modelling 1 Longevity Risk Management 1 Mortality Modelling 2 Mortality Modelling 3 |
16:00 - 16:30 | Refreshment Break |
16:30 - 17:15 | Henning Bohn, UCSB "Intergeneral Risk Sharing and Aggregate Longevity Risks" [Presentation] |
17:15 - 17:45 | Ragnar Norberg, SAF Laboratory "Risk Sharing within and across Generations" [Presentation] |
Day 2 | Tuesday 8th September 2015 Longevity 11 Conference |
---|---|
07:45 - 08:00 | Registration Opening |
08:00 - 08:30 | Welcome Coffee |
08:30 - 09:15 | Opening Ceremony Stephane Loisel, David Blake & Nicole El Karoui |
09:15 - 09;35 | Denis Jacquat, Assemblee Nationale "Longevity and Aging Issues in France: a Member of Parliament's Perspective" [Presentation] |
09:35 - 10:05 | Jessica Mosher, OECD "Mortality Assumptions and Longevity Risk" [Presentation] |
10:05 - 10:50 | Ronald Lee, Berkeley "Widening socioeconomic Differences in Mortality and the Progressivity of Public Pensions and other Programs for the Elderly" [Presentation] |
10:50 - 11:20 | Coffee Break |
11:20 - 12:05 | Tom Kirkwood, Newcastle University "Why and How are We Living Longer?" [Presentation] |
12:05 - 12:50 | Laurent Schwartz, Ecole Polytechnique "Cancer Mortality: Towards a Structural Change?" [Presentation] |
12:50 - 14:20 | Lunch Break |
14:20 - 14:50 | Andre De Vries, RGA "Capital Motivated Longevity Transactions in Practice" [Presentation] |
14:50 - 15:20 | Guy Coughlan, Universities Superannuation Scheme “Longevity – it’s academic” [Abstract] [Presentation] |
15:20 - 15:50 | Avery Michaelson, Societe Generale "Indexed vs. Indemnity Longevity Hedges". [Presentation] |
15:50 - 16:20 | Refreshment Break |
16:20 - 17:40 | Parallel Session 1 Mortality Modelling 4 Longevity Products 1 Longevity Risk Management 2 Other 1 |
Day 3 | Wednesday 9th September Longevity 11 Conference |
---|---|
07:45 - 08:00 | Registration Opening |
08:00 - 08:30 | Welcome Coffee |
08:30 - 09:45 | Parallel Session II Mortality Modelling 5 Longevity Risk Management 3 Reverse Mortgages 1 Annuities 1 |
09:45 - 10:15 | Coffee Break |
10:15 - 10:45 | Jean-Marie Robine, INSERM "Update on the Adult Longevity Revolution" [Presentation] |
10:45 - 11:15 | Michel Denuit, Louvain "Finite Portfolio Approximations" [Presentation] |
11:15 - 12:15 | Round Table - "Big Data & Longevity" Frederic Planchet, SAF Laboratory Alexander Zhavoronkov, John Hopkins University Pierre-Henri Tavoillot, Paris Philosophy College |
12:15 - 13:45 | Lunch Break |
13:45 - 15:10 | Parallel Session III Mortality Modelling 6 Longevity Risk Management 4 Pension Buyouts/Annuity Demand 1 Annuities 2 |
15:10 - 16:00 | Round Table "Longevity and Long Term Care" Jean-Herve Lorenzi, Edmond de Rotschild Serge Guerin, ESG Jean-Micheal Ricard, Siel Blue |
16:00 - 16:30 | Refreshment Break |
16:30 - 17:00 | Mark Flint, SCOR "The Impact of Recent Regulatory Change on the UK Individual Annuity Market" [Presentation] |
17:00 - 17:30 | Philip Simpson, Milliman "Recent Developments in the UK Longevity Market" [Presentation] |
17:30 - 18:00 | Amy Kessler, Prudential Financial "The Longevity Risk Transfer Market at $250 Billion Innovation, Golobalization and Growth" [Abstract] [Presentation] |
18:00 - 18:15 | Closing Ceremony |
Parallel Sessions - Monday 7th September 2015
Academic Day Parallel Session - 14:15
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 [Abstract] [Presentation] |
Frank Van BERKUM | Bayesian Portfolio Specific Mortality [Abstract] [Presentation] |
Longevity Risk Management 1 | |
---|---|
Hong LI | Dynamic Hedging of Longevity Risk: The Effect of Trading Frequency. [Abstract] [Presentation] |
Luca REGIS | Basis risk in Static Versus Dynamic Longevity Risk Hedging. [Abstract] [Presentation] |
Caroline HILLAIRET | Affine Long Term Yield Curves: An Application of the Ramsey Rule wih Progressive Utility [Abstract] [Presentation] |
Mortality Modelling 2 | |
---|---|
Heloise LABIT HARDY | Cause-of-Death Mortality: A Study of a Heterogeneous Portfolio Dynamic [Abstract] [Presentation] |
Severine ARNOLD | Time-evolution of Age-Dependant Mortality Patterns in Mathematical Model of Heterogeneous Human Population. [Abstract] [Presentation] |
Julian TOMAS | A Credibility Approach of the Makeham Mortality Law |
Mortality Modelling 3 | |
---|---|
Edouard DEBONNEUIL | Do Actuaries Believe in Longevity Deceleration? [Abstract] [Presentation] |
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. [Abstract] [Presentation] |
Olivier LOPEZ | Modelling the Evolution of the Dependence Structure between Two Lifetimes. [Abstract] [Presentation] |
Andes VILLEGAS | StMoMo: An R Package for Stochastic Mortality Modelling [Abstract] [Presentation] |
Parallel Sessions - Tuesday 8th September 2015
Parallel Session I - 16:20
Mortality Modelling 4 | |
---|---|
Yahia SALHI | A Generalized Linear Mixed Modeling Approach for Two-Population Mortality Modelling [Abstract][Presentation] |
Martin GENZ | Extension, Compression and Beyond - A Unique Classification System for Mortality Evolution Patterns. [Abstract][Presentation] |
Jack C YUE | Mortality Models and Longevity Risk for Small Populations [Abstract] [Presentation] |
Longevity Risk 2 | |
---|---|
Kenneth ZHOU | On Discrete-time Geek Hedging of Longevity Risk. [Abstract] [Presentation] |
Wen-Yen HSU | Multi-Country Mortality Modeling and Hedging
Longevity Risk:
Time Series vs. Panel Approach. [Abstract] [Presentation] |
Richard MACMINN | The Choice of Trigger in an Insurance Linked Security: The Mortality Risk Case [Abstract] [Presentation] |
Longevity Products 1 | |
---|---|
Jorge Bravo | Valuation of Longevity Linked Annuities [Abstract] [Presentation] |
Federica TEPPA | Friends, Family and Framing: An International Comparison of Longevity Expectations Formation. [Abstract] [Presentation] |
James RISK | Statistical Emulators for Pricing and Hedging Longevity Risk Products. [Abstract] [Presentation] |
Other 1 | |
---|---|
Pawel ROKITA | Longevity and other types of Risk - an Integrated Approach to Measuring Risk of Household Financial Plan. [Abstract] [Presentation] |
Kevin WANG | Using the Taiwan National Health Insurance Database to Design No Claim Discount in Hospitalization. [Abstract] [Presentation] |
Farid FLICI | Longevity and Life Annuities Reserving in Algeria: Comparison of some Mortality Models. [Abstract] [Presentation] |
Parallel Sessions - Wednesday 9th September 2015
Parallel Session II - 08:30
Mortality Modelling 5 | |
---|---|
Andrew CAIRNS | Multi-Population Mortality Modelling: A Danish Case Study. [Abstract] [Presentation] |
Johannes SCHUPP | Modelling Trend Processes in Parametric Mortality Models [Abstract] [Presentation] |
Yanxin LIU | It's All in the Hidden States: A Hedging Method with an Explicit Measure of Population Basis Risk. [Abstract] [Presentation] |
Longevity Risk Management 3 | |
---|---|
Sharon YANG | Optimal Hedging Strategy for Catastrophic Mortality Risk Considering Life Settlements [Abstract] [Presentation] |
Jerry HUANG | A Practical Approach of Natural Hedging for Insurance Companies [Abstract] [Presentation] |
Cheng WAN | Hedging the Longevity Risk: A Study of Longevity Basis Risk in Switzerland [Abstract] [Presentation] |
Reverse Mortgages 1 | |
---|---|
Adam SHAO | Managing Retirement Risks with Reverse Mortgage Loans and Long-term Care Insurance. [Abstract] [Presentation] |
Yung-Tsung LEE | Valuation of Reverse Mortgage Portfolio - A Dynamic Copula Approach. [Abstract] [Presentation] |
I-Chien LIU | Profitability Analysis and Risk Profile for Reverse Annuity Mortgages. [Abstract] [Presentation] |
Annuities 1 | |
---|---|
Sandy BRUSZAS | Unisex Pricing of German Participating Life Annuities - Boon or Bane for Customer and Insurance Company? [Abstract] [Presentation] |
Etienne MARCEAU | The Impact of Longevity on the Hedge Efficiency of Guaranteed Lifetime Withdrawal Benefit (GLWB) Products. [Abstract][Presentation] |
David SMITH | The Effect of Longevity Drift and Investment Volatility on Income Sufficiency in Retirement. [Abstract] [Presentation] |
Parallel Sessions - Wednesday 9th September 2015
Parallel Session III - 13:45
Mortality Modelling 6 | |
---|---|
Steven BAXTER | A Practical Framework for Assessing Basis Risk in Index-Based Longevity Hedges. [Abstract] [Presentation] |
Anthony MEFORD | Best Practice Life Expectancy: An Extreme Value Approach. [Abstract] [Presentation] |
Marius PASCARIU | The Double-Gap Life Expectancy Forecasting Model. [Abstract][Presentation] |
Longevity Risk Management 4 | |
---|---|
Andrew HUNT | Pricing Longevity-linked Options. [Abstract][Presentation] |
Enareta KURTBEGU | Replicating Inter-generational Risk Sharing in Financial Market . [Abstract] [Presentation] |
Pierre VALADE | Reinsurance, a Solution to Manage Longevity Risk. [Abstract] [Presentation] |
Pension Buyouts/Annuity Demand 1 | |
---|---|
Yijia LIN | Pension Risk Management with Funding and Buyout Options [Abstract] [Presentation] |
Patrick BROCKETT | Understanding Longevity Risk Annuitization Decision-making: An Interdisciplinary Investigation of Financial and Non Financial Triggers of Annuity Demand. [Abstract] [Presentation] |
Ayse ARIK | Pricing of Pension Buyouts under Dependence Assumption. [Abstract] [Presentation] |
Annuities 1 | |
---|---|
Jakob KLEIN | Managing Longevity Risk: Tontines vs. Annuities. [Abstract] [Presentation] |
Jennifer Li-Ling WANG | Valuation of Variable Long-term Care Annuities with Guaranteed Lifetime Withdrawal Benefit: A Variance Reduction Approach. [Abstract] [Presentation] |
Min JI | Model and Parameter Uncertainty in Pricing Deep-deferred Annuity [Abstract] [Presentation] |
Contact us and Find Bayes
Contact Details
Sophie Castelbou
+33 4 37 28 74 34
sophie.castelbou@isfa.fr