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