18 February 2005 – Cass Business School
Hosted by the Pensions Institute, the American Risk and Insurance Association and the Centre for Risk and Insurance, Nottingham University Business School
Organized by: Professor David Blake (Pensions Institute)
Professor Richard MacMinn (American Risk and Insurance Association)
Sponsored by: Lehman Brothers and ABN AMRO
CONFERENCE PROGRAMME
8.30am Registration and refreshments
9.15am Welcome from Professor Steve Haberman, Deputy Dean, Cass Business School
Opening Remarks: David Blake and Richard MacMinn
9.30am MORNING SESSION Chair: David Blake
HOW BIG A PROBLEM IS LONGEVITY RISK?
- “The scale of the problem, who is affected, the potential costs and lack of obvious solutions”, Farooq Hanif (Lehman)
- “Financial aspects of longevity risk”, Stephen Richards (Prudential) and Gavin Jones (SwissRe)
- ”A life company perspective”, Chris Hatry (Legal & General)
- “A comparison from history”, Michael Johnson (Tillinghast Towers Perrin)
11.00am Refreshments
11.30am CURRENT SOLUTIONS
- “The Swiss Re mortality bond of December 2003”, Ronnie Klein (SwissRe)
- “The EIB/ BNP Paribas/ PartnerRe longevity bond of November 2004”, Mark Azzopardi (BNP Paribas)
12.30pm Lunch
1.30pm AFTERNOON SESSION Chair: Richard MacMinn
POTENTIAL SOLUTIONS AND REMAINING PROBLEMS
- “Ultra-long gilt instruments”, Arnaud Marès (Debt Management Office)
- “Problems with constructing a mortality index”, Adrian Gallop (Government Actuary’s Department)
- “A critical analysis of longevity bonds: alternative approaches to solving the problem of longevity risk”, Francis Fernandes (ABN AMRO)
- “Obstacles to future market development and the consequences to making longevity a tradeable instrument”, Eugene Demetriou (Morgan Stanley)
3.00pm Refreshments
3.30pm CURRENT MODELLING FRAMEWORKS
- “Pricing longevity bonds”, Sam Cox and Shaun Wang (Georgia State University)
- “Modelling the mortality term structure”, Andrew Cairns (Heriot Watt & Isaac Newton Institute, Cambridge), David Blake (Pensions Institute) and Kevin Dowd (CRIS)
- “A practical framework for facilitating longevity risk transfer”, Philip Roberts (Tillinghast Towers Perrin)
Round Table Discussion and Summing Up: WHAT NOW NEEDS TO BE DONE? Chair: Michael Johnson (Tillinghast Towers Perrin)
Tom Boardman (Prudential)
Simon Carne (Independent consultant)
Mark Duke (Tillinghast Towers Perrin)
Jeff Sayers (Morgan Stanley)
Andrew Hughes (Standard and Poor)
Terry Raby (Universities Superannuation Scheme)
6.00pm Refreshments and networking
There will be a Second International Conference on Longevity Risk and Capital Market Solutions in Atlanta, USA, in 2006 (hosted by Prof Sam Cox of Georgia State University). Selected papers from that conference will be published in a special issue of the Journal of Risk and Insurance, the journal of the American Risk & Insurance Association, in 2007.