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Thursday September 25th 2008 |
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De Grote Kerk, Naarden-Vesting |
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08.00 |
Buses departing from Mövenpick Hotel in Amsterdam to the Grote Kerk in Naarden-Vesting |
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08.30 - 09.15 |
Registration |
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09.15 - 09.30 |
Opening by Dr. David Blake (chairman)
Longevity risk and capital markets solutions: An update |
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09.30 - 10.00 |
Joanne Kellermann, Executive Director of De Nederlandsche Bank (DNB)
Longevity risk and regulation of pension funds |
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10.00 - 10.30 |
Anton Kunst, Netspar and Associate Professor of Medical Demography, Erasmus MC
Epidemiological perspectives on life expectancy |
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10.30 - 11.00 |
Gilles Dellaert, vice president in Goldman Sachs' Longevity Markets Group
Longevity: A Developing Asset Class |
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11.00 - 11.25 |
Break |
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11.30 - 12.10 |
Workshop Parallel session 1 (abstracts see information) |
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Workshop 1A |
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Bart Oldenkamp, Cardano
Hedging Longevity Risk for DB Pension Funds: an ALM perspective |
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Workshop 1B |
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Marcos Flores, Credit Suisse
Overview UK Longevity Market: Size, Players, Structures and Pricing |
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Workshop 1C |
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Michael Sherris, Australian School of Business
Securitization, structuring and Pricing of Longevity Risk |
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Workshop 1D |
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Edward Whitehouse, Organisation for Economic Co-operation and Development
Life-Expectancy Risk and Pensions: Who Bears the Burden? |
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12.15 - 12.55 |
Workshop Parallel session 2 (abstracts see information) |
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Workshop 2A |
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Mark Warshawsky, Watson Wyatt Worldwide
Optimizing the Equity-Bond-Annuity Portfolio in Retirement: The Impact of Uncertain Health Expenses |
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Workshop 2B |
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Nicholas Verwilghen, EIM
The three big risks trade-off: interest rates, inflation and longevity - Lessons learnt by a multi-manager |
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Workshop 2C |
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Jochen Russ, LMU Munich
On the Pricing of Longevity-Linked Securities |
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Workshop 2D |
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Mario Michael Schultz, Deutsche Börse
Xpect Data and Xpect Indices - Longevity Risk Evaluation and Risk Transfer |
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13.00 - 13.45 |
Lunch Buffet |
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13.50 - 14.00 |
Opening part 2 by Theo Nijman (chairman) |
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14.00 - 14.45 |
Søren Fiig Jarner, Chief Analyst of ATP
Small-region mortality modelling |
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14.45 - 15.15 |
Ronald Wuijster, Director of Strategy & Research at APG Investments
Longevity problems and investment solutions |
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15.15 - 15.45 |
Guy Coughlan, Managing Director and Global Head of LifeMetrics and ALM Advisory JP Morgans Pension Solutions Group
The effectiveness of longevity hedges and the attractiveness of longevity investments |
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15.45 - 16.15 |
Break |
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16.15 - 16.55 |
Workshop Parrallel session 3 (abstracts see information) |
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Workshop 3A |
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Hal Pedersen, University of Manitoba
Mortality Risk Modelling: Applications to Insurance Securitization |
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Workshop 3B |
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Laurens Swinkels, Robeco
Longevity hedge: The next generation in Liability Driven Investing |
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Workshop 3C |
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Kevin Dowd, Nottingham University Business School
Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period-Ahead Density Forecasts |
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Workshop 3D |
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Erik Tornij, ING
Modelling and Pricing Longevity Risk in the Dutch Insurance Market: Challenging Topics & Practical Solutions |
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Workshop 3E |
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Anja De Waegenaere, Tilburg University
Longevity Risk in Annuity Portfolios: The Effect of Product Design and Portfolio Composition |
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17.00 - 18.00 |
Panel discussion with voting on statements |
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· Tom Boardman Director, Group Policy Development, Prudential plc |
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· Henk van Broekhoven, ING |
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· David Blake, Professor of Pension Economics and Director, Pensions Institute at Cass Business School London |
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· Theo Kocken, founder and CEO, Cardano Group |
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· Lex Hoogduin, Global Chief Economist, Robeco |
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· Gavin Jones, Vice president, Swiss Re |
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· Guy Coughlan, Managing Director and Global Head of LifeMetrics and ALM Advisory, JPMorgan’s Pension Solution Group |
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· Onno Steenbeek, head of Corporate ALM and Risk Policy of the All Pensions Group, APG |
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18.00 - 18.10 |
Closing by Theo Nijman |
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18.15 - 19.00 |
Drinks |
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19.00 - 21.00 |
Walking Dinner |
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21.00 |
Buses departing to hotel in Amsterdam |
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Friday September 26, 2008 |
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Mövenpick Hotel Amsterdam |
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08:30 - 9:15 |
Registration |
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09:15 - 09:55 |
Workshop Parallel session 4 (abstracts see information) |
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Workshop 4A |
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Min-Hung Tsay, National Central University
Pricing Survivor Swaps with Mortality Jumps and Default Risk |
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Workshop 4B |
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Hua Chen, Temple University
Longevity Risk Premium, Extreme Value Approach and Risk Cubic Pricing |
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Workshop 4C |
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Anthony Webb, Boston College
Evaluating the Advanced Life Deferred Annuity - An Annuity People Might Actually Buy |
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Workshop 4D |
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Hong-Chih Huang, Chengchi University
Optimal Asset Allocation Incorporating Longevity Risk in Defined Contribution Pension Plans |
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10:00 - 10.40 |
Workshop Parallel session 5 (abstracts see information) |
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Workshop 5A |
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Sharon Yang, National Central University
Modeling Longevity Risk:An Empirical Study |
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Workshop 5B |
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Jennifer Wang, National Chenchi University
Liabilty Allocation under Mortality Systematic Risk, Non-parallel Shift, and Parameter Uncertainty |
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Workshop 5C |
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Paul Hance, AEGON
Using Survivorship Bonds to Reduce an Economy's Aggregate Value-at-Risk |
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Workshop 5D |
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Jean Pinquet, University Paris 10
Long-Term Care: Risk Description of a Spanish Portfolio and Economic Analysis of the Timing of Insurance Purchase |
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10.40 - 11.00 |
Break |
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11.00 - 11.45 |
Workshop Parallel session 6 (abstracts see information) |
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Workshop 6A |
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Enrico Biffis, Imperial College
Securitizing and Tranching Longevity Exposures |
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Workshop 6B |
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Atsuyuki Kogure, Yoshiyuki Kurachi, Keio University
A Bayesian Evaluation of Longevity Risk: Model comparison, Measuring and Pricing |
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Workshop 6C |
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Jack C. Yue, National Chengchi University
Age-Period-Cohort Model and its Application to Taiwan Mortality Rates by Marriage Status |
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Workshop 6D |
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CANCELLED
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11.45 - 14.30 |
Networking event including lunch (canal tour) |
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Guest price for Program excluding Networking event is € 200,- excl. VAT |
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Guest price for the Networking event incl. canal tour and lunch is € 50,- excl. VAT |
