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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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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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