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Second International Longevity Risk and Capital Market Solutions Symposium

 

24 April 24 2006 – Sheriton Hotel, Chicago, IL

Hosted by: the American Risk and Insurance Association, the Pensions Institute, the Bowles Chair and the Edmondson-Miller Chair

Organized by: Professor Richard MacMinn (American Risk and Insurance Association and Illinois State University) and Professor David Blake (Pensions Institute at the Cass Business School, London)

Sponsored by: The Actuarial Foundation, American Risk and Insurance Association, Society of Actuaries, Bowles Chair of Georgia State University, Edmondson-Miller Chair of Illinois State University, the Gus Wortham Chair of the University of Texas at Austin, the Katie School of Insurance and the College of Business of Illinois Statue University and the Geneva Association


CONFERENCE PROGRAMME

8.00am Welcome from Richard MacMinn

Introductory Remarks: David Blake and Sam Cox

SESSION 1 Chair: Sam Cox (Georgia State University)

8.10am Pensions, Demographics and Capital Markets: Lord Turner, Merrill Lynch Europe, UK Pension Commission

8.55am Demographic Issues in Longevity Risk Analysis: Eric Stallard, Duke University

9.30am Coffee break

SESSION 2 Chair: Patrick Brockett (University of Texas)

10.00am Political Economy of Government Issued Survivor Bonds: Jeffrey Brown, University of Illinois

10.25am Pricing Life Securitizations and their place in Optimal ILS portfolios: Morton Lane, Lane Financial LLC

10.50am The Securitization of Longevity Risk: J. David Cummins, Wharton

11.15am Lunch

SESSION 3 Chair: David Blake (Pensions Institute, Cass Business School)

12.30pm Annuitization Lessons from the UK: Money-Back Annuities and Other Developments: Tom Boardman, Prudential Assurance UK

12.55pm Longevity Bonds: Construction, Pricing and Use: Kevin Dowd, University of Nottingham

1.20pm Longevity Index Trading - from Theory to Practice: Dave Dowrich, Credit Suisse

1.45pm Coffee break

SESSION 4 Chair: Tony Webb (Boston College)

2.15pm Killing the Law Large Numbers: Is there a Mortality Risk Premium?: Moshe Milevsky, York University

2.40pm Exponential Tilting and Pricing Implications for Longevity Risk: Yijia Lin, Georgia State University

3.05pm A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Andrew Cairns, Heriot-Watt University

3.30pm Coffee break

Chair: Lord Turner

4.00pm Roundtable Discussion

Discussants: Nirmaljit Singh Paul, World Bank, Jeff Katz, MARC and Tom Boardman, Prudential Assurance UK

5.00 Reception