Programme

Programme correct as of 28th September 2016. Please check regularly for any updates.

A full copy of the programme with abstracts is available here [pdf].

Conference Agenda

Longevity 12 Conference

Day	Thursday 29th September 2016
07:30 - 09:00	R e g i s t r a t i o n a n d R e f r e s h m e n t s
0830	Welcome Dale Hall, Society of Actuaries, and David Blake
	Plenary Session I – The Demographics of Longevity Risk
08:40 - 09:00	Jay Olshansky, University of Illinois at Chicago "The Rise and Fall of Human Longevity in the 21st Century"
09:00 - 09:20	Aubrey de Grey, Chief Science Officer of SENS Research Foundation “Longevity Escape Velocity: Incorporating Technological Progress into Extrapolation”
09:20 - 09:40	Sam Gutterman, Retired Director and Consulting Actuary, PricewaterhouseCoopers “Longevity – The Dark Side”
09:40 - 10:00	Vladimir Canudas-Romo , Max Planck Odense Center, University of Southern Denmark “The Past and Future Rise of Human Longevity”
10:00 - 10:30	Panel on the Demographics of Longevity Risk. Chaired by Guy Coughlan, Universities Superannuation Scheme Jay Olshansky, University of Illinois at Chicago Aubrey de Grey, Chief Science Officer of SENS Research Foundation Sam Gutterman, Retired Director and Consulting Actuary, PricewaterhouseCoopers James W. Vaupel , Max Planck Institute for Demographic Research, Rostock
10:30 - 11:00	R e f r e s h m e n t B r e a k
11:30 - 12:30	Parallel Session I Mortality Risk in Pensions and Insurance 1 Mortality Modelling 1 Longevity Risk Management 1 Long-Term Care 1 Mortality Forecasting 1 Mortality Data 1
12:30 - 13:30	L u n c h B r e a k
13:30 - 15:00	Parallel Session II Product Design 1 Mortality Modelling 2 Basis Risk 1 Micro/Macro Longevity Issues Annuities 1
15:00 - 15:30	R e f r e s h m e n t B r e a k
	Plenary Session II – Product Innovation
15:30 - 16:00	Richard L. Sandor, Founder of the Chicago Climate Exchange (CCX) “Financial Innovation”
16:00 - 16:30	Amy Kessler, Prudential Financial “New Solutions To An Age-Old Problem: Innovative Strategies for Managing Pension and Longevity Risk”
16:30 - 17:00	Laura Hardy RGA Life Reinsurance Company “Longevity Risk Transfer: Where does the Market Turn when all the Cheap Capacity is Gone?”
17:00 - 17:30	Vladimir Nicenko, Willkie Farr & Gallagher Nicholas Bugler, Wilkie Farr & Gallagher Amy Kessler, Prudential Financial Chip Gillis, Athene Life Re “Sidecars: Alternative Capital or Reinsurance?”
17:30 - 18:00	Panel on Innovation. Chaired by Guy Coughlan, Universities Superannuation Scheme Amy Kessler, Prudential Financial James Ciamarro, RGA Life Reinsurance Company Vladimir Nicenko, Willkie Farr & Gallagher Nicholas Bugler, Wilkie Farr & Gallagher Chip Gillis, Athene Life Re Richard Sandor, Founder of the Chicago Climate Exchange (CCX)
18:30 - 22:30	R e c e p t i o n - Followed by Gala Dinner

Day	Friday 30th September 2016
08:00 - 09:00	R e g i s t r a t i o n a n d C o f f e e
09:00 - 10:30	Parallel Session III Pricing 1 Mortality Modelling 3 Mortality Modelling 4 Product Design 2 Mortality Forecasting 2
10:30 -11:00	R e f r e s h m e n t B r e a k
	Plenary Session III – Data Reliability Challenges and Timeliness
11:00 - 11:20	Magali Barbieri, Associate Director, Human Mortality Database "Data Quality Issues and Adjustments in the Human Mortality Database"
11:20 - 11:40	Steve Goss, Social Security Administration. “The Importance of Consistent Data on Deaths and Exposure over Time, by Age, Sex, and Cause of Death”.
11:40 - 12:00	Tom Jones, Prudential. "The Importance of High Quality Data for Underwriting Pension Risk Transfer and Longevity Reinsurance Transactions: An Insurance Company Perspective"
12:00 - 12:30	Panel on Mortality Data. Chaired by Andrew Cairns, Heriot-Watt University Magali Barbieri, Associate Director, Human Mortality Database Steve Goss, Social Security Administration Tom Jones, Prudential
12:30 - 13:30	L u n c h B r e a k
	Plenary Session IV – Mortality Forecasting in Practice
13:30 - 13:35	Steve Goss, Social Security Administration Introductions. Challenge in selecting method and assumptions for projections
13:35 - 13:55	Karen P. Glenn, Social Security Administration “Projecting Mortality by Age and Cause: the Importance of Data Source, Expert Judgment, and Unknown Future Challenges”
13:55 - 14:15	Laurence Pinzur, Aon Hewitt “The Continuing Evolution of RPEC’s Mortality Projection Methodology”
14:15 -14:35	Vladimir Canudas-Romo, Max Planck Odense Centre on the Biodemography of Aging, at the University of Southern Denmark “Mortality Expectations by Cause through 2040: Johns Hopkins Clinicians and Researchers”
14:35 - 14:55	Jay Olshansky, University of Illinois at Chicago. “Understanding Biology: Going Beyond Simple Statistical Extrapolation”
14:55 - 15:15	Steve Goss, Social Security Administration “Projecting Mortality, Different Models for Different Purposes and Views About the Future”
15:15 - 15:30	Discussion, questions, and wrap-up moderated by Steve Goss, Social Security Administration.
15:30	Closing Ceremony – handover to the L13 team

Parallel Sessions	Thursday 29th September 2016
11:00 - 12:30	Parallel Session I
	Mortality Risk in Pensions and Insurance 1
Ling-Ni Boon	Longevity Risk Mitigation in Pension Design: to Share or to Transfer [Presentation]
Andrew Hunt	Modelling Mortality for Pension Schemes [Presentation]

	Mortality Modelling 1
Liang Chen	Bayesian Inference for Small Population Longevity Risk Modelling [Presentation]
Petar Jevtic	The Joint Mortality of Couples in Continuous Time
Severine Arnold	On the Heterogeneity of Human Population as reflected by the Mortality Dynamics [Presentation]

	Longevity Risk Management 1
Stuart Silverman, FSA, MAAA, CERA Milliman, Silver Sponsor	Diversification of Longevity and Mortality Risk [Presentation]
Yijia Lin	Optimal Longevity Risk Transfer and Investment Strategies. [Presentation]
Carsten Rosenskjold	Hedge Effectiveness of Index Based Transactions Across Socio-Economic Groups [Presentation]

	Long Term Care 1
Les Mayhew	Paying for Long Term Care Insurance: The Pros and Cons of Different Payment Methods [Presentation]
Jack Yue	Using Taiwan National Health Care Database to Design Long term Care Insurance [Presentation]
Derek Yach	Transforming Life Insurance to Promote Longevity. [Presentation]

	Mortality Forecasting 1
Jimmy Risk	Gaussian Process Models for Mortality Improvement Factors [Presentation]
Andrew Cairns & Vasil Enchev	Multi-population Mortality Models Fitting Forecasting, Comparisons and Applications [Presentation]
Torsten Kleinow	Parameter Risk in Time-series Mortality Forecasts [Presentation]

	Mortality Data 1
Alexandre Boumezoued	A Reliability Challenge for the Human Mortality Database [Presentation]
H C Kevin Wang	Using the Select Table to Model Mortality Rates of Domestic Immigrants [Presentation]

13:30 - 15:00	Parallel Session II
	Product Design 1
Ming-Hua Hsieh	The Product Design of the Long-Term Care Annuity [Presentation]
Patrick L. Brockett	The Impact of Financial Literacy on Long-term Care Insurance and Annuity Decision-making: Product Innovation Implications

	Mortality Modelling 2
Yahia Salhi	A Random Field Approach for Modeling Mortality Improvements Surface.
Chengwei Qin	Multi-population Mortality Modelling with Levy Processes [Presentation]
Hong Li	Co-integrated Mortality Rates: A Spatial-Temporal Approach [Presentation]

	Basis Risk 1
Yanxin Liu	Disentangling Mortality Trend Risk and Population Basis Risk: A Functional Time Series Approach
Andrew Cairns and Ghali El Boukfaoui	Basis Risk in Index Based Longevity Hedges: A Guide for Longevity Hedgers [Presentation]

	Micro/Macro Longevity Issues
Anna Rappaport	Public knowledge and perceptions about retirement risk, risk management and longevity [Presentation]
Pawel Rokita	Measures of Risk in Life-long Financial Planning for Households – What Should They Be Like [Presentation]
Justyna Majewska	The Impact of Longevity on Long-term Investments Returns: Scenarios for Europe [Presentation]

	Annuities 1
Karin Fröhling Hannover Re Silver Sponsor	Deferred annuities at retirement [Presentation]
Min Ji	Evaluating Hedge Effectiveness for Longevity Annuities [Presentation]
Ralph Rogalla	Optimal Portfolio Choice in Retirement with Participating Life Annuities

Annuities 1

Karin Fröhling

Hannover Re
Silver Sponsor

Deferred annuities at retirement
[Presentation]

Min Ji

Evaluating Hedge Effectiveness for Longevity Annuities
[Presentation]

Ralph Rogalla

Optimal Portfolio Choice in Retirement with Participating Life Annuities

Parallel Sessions	Friday 30^th September 2016
09:00 -10:30	Parallel Session III
	Pricing 1
Melvern Leung	Comparison of Pricing Approaches for Longevity Markets [Presentation]
I-Chien Liu	Pricing Survivor Index Swaps under CBD Models with Multivariate Affine non-Gaussian Processes.
Kenneth Q. Zhou	Longevity Greeks: What Insurers and Capital Market Investors Should Know About?

	Mortality Modelling 3
Hong Li	Modeling and Forecasting Mortality with Economic Growth: A Multi-Population Approach [Presentation]
Rui Zhou	Changes of Long-term Relation in Multi-Population Mortality Modeling [Presentation]
Malene Kallestrup-Lamb	Explaining the Female Longevity Puzzle: Using Register Data to Analyse Mortality Behaviour of Socio-economic Groups and Exploiting Coherent Relations to Improve Mortality Forecasting. [Presentation]

	Mortality Modelling 4
Pasquale Cirillo	Modeling Joint Mortality and its Impact on Annuity Contracts [Presentation]
Qiheng Guo	Mortality Trends Implied by Term Insurance Prices
Hua Chen	Compressing or Expansion of Morbidity? Ambiguous Beliefs and the Demand for Insurance

	Product Design 2
Wenjun Zhu	Longevity Variance Swap
Jason Cheng-Hsien Tsai	Embedding the Natural Hedging of Mortality/Longevity Risks into Product Design [Presentation]
Sharon Yang	Discussion on the Natural Hedging of Longevity Risk

	Mortality Forecasting 2
Anthony Medford	Projecting Maximum Country Life Expectancy using Provincial Data Only [Presentation]
Marius Pascariu	Deriving Age-specifc Death Rates from Life Expectancy Forecasts [Presentation]
Johnny S.-H. Li	The `Heat Wave' Model for Constructing Two-Dimensional Mortality Improvement Scales with Measures of Uncertainty.

Programme

Conference Agenda

R e c e p t i o n - Followed by Gala Dinner

15:30

Closing Ceremony – handover to the L13 team

Contact Details