Rekenen op Pensioenen
This seminar was co-organized with CBS and focused on administrative data (e.g. from Dutch pension funds and insurance companies) and their use for scientific and policy purposes.
Welcome
Gosse van der Veen (CBS), George Moller (HFC,
Robeco), Michiel Vergeer (CBS)
Panel Discussion
Chaired by Heino van Essen (PGGM) with Marjolein Quené (SVB), Peter Gortzak, (FNV), Harold Herbert (VvV) and Marleen Verbruggen (CBS)
Parallel Sessions
Francine Giskes (Stichting Pensioenregister i.o.)
discussed with Arthur Giesberts (Speerpunt
Vergrijzing)
The Effects of Health Insurance and Self-Insurance on Retirement Behavior
John Jones (University at Albany, State University
of New York)
Discussant: Owen O’Donnell (EUR and Netspar)
Health, Financial Incentives and Retirement Decisions in Spain
Esen Erdogan-Ciftci (EUR and Netspar)
Discussant: Courtney van Houtven (UvT and Netspar)
Institutions, Health Shocks and Labour Outcomes across Europe
Pilar Garcia Gomez (University of Pompeu Fabra,
Spain)
Discussant: Arthur van Soest (UvT and Netspar)
Flu Shots, Mammograms and the Value of a Statistical Life
Katherine Carman (UvT and Netspar)
Discussant: Eddy van Doorslaer (EUR and Netspar)
Parallel Sessions Finance
Annuitization and Retirement Timing Decisions
Zhen Shi (UvT and Netspar)
Discussant: Rik Frehen (UM and Netspar)
Performance Persistence of Dutch Pension Plans
Ronald Mahieu (EUR and Netspar)
Discussant: Jenke ter Horst (UvT)
Early Retirement and Homeownership
Jan Rouwendal (VU A and Netspar)
Discussant: Frans de Roon (UvT and Netspar)
Jan van Rijckevorsel (Centrum voor Verzekerings-
statistiek) discussed with Fieke van der Lecq (EUR) Jan Maarten van Sonsbeek (SZW) discussed with Arthur Giesberts (Speerpunt Vergrijzing)
Arthur van Soest (UvT and Netspar) discussed with Fieke van der Lecq (EUR)
Closing
Heino van Essen (PGGM) and Bert Kroese (CBS)
September 25 and 26, 2008 in
Naarden: The 4th International
Longevity Risk and Capital
Markets Solutions Conference
Netspar co-organized this international event with Pensions Institute, HFC and PensionSummit. During this two-day event, leading international industry and academic minds met and discussed not only the assessment of longevity risk, but also the type of instruments needed by pension funds and insurance companies to hedge this risk.
Plenary Session
Longevity Risk and Capital Markets Solutions: An Update
David Blake (Pensions Institute)
Longevity Risk and Regulation of Pension Funds
Joanne Kellermann (DNB)
Epidemiological Perspectives on Life Expectancy
Anton Kunst (Netspar and Erasmus MC)
Longevity: A Developing Asset Class
Gilles Dellaert (Goldman Sachs’ Longevity Markets
Ne
tsp
ar E
ve
n
ts
56
Optimal Asset Allocation Incorporating LongevityRisk in Defined Contribution Pension Plans
Hong-Chih Huang (National Chengchi University)
Modeling Longevity Risk: An Empirical Study
Sharon Yang (National Central University)
Liabilty Allocation under Mortality Systematic Risk, Non-Parallel Shift, and Parameter Uncertainty
Jennifer Wang (National Chengchi University)
Using Survivorship Bonds to Reduce an Economy’s Aggregate Value-at-Risk
Paul Hance (AEGON)
Long-Term Care: Risk Description of a Spanish Portfolio and Economic Analysis of the Timing of Insurance Purchase
Jean Pinquet (Université de Paris X Nanterre)
Securitizing and Tranching Longevity Exposures
Enrico Biffis (Imperial College)
A Bayesian Evaluation of Longevity Risk: Model Comparison, Measuring and Pricing
Atsuyuki Kogure, Yoshiyuki Kurachi (Keio
University)
Age-Period-Cohort Model and its Application to Taiwan Mortality Rates by Marriage Status
Jack C. Yue (National Chengchi University)
Panel Discussion with Voting on Statements:
Tom Boardman (Prudential plc) Henk van Broekhoven (ING) David Blake (Pensions Institute) Theo Kocken (Cardano Group) Lex Hoogduin (Robeco)
The Effectiveness of Longevity Hedges and the Attractiveness of Longevity Investments
Guy Coughlan (JP Morgan’s Pension Solutions
Group)
Mortality Risk Modeling: Applications to Insurance Securitization
Hal Pedersen (University of Manitoba)
Longevity Hedge: The Next Generation in Liability Driven Investing
Laurens Swinkels (Robeco)
Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period-Ahead Density Forecasts
Kevin Dowd (Nottingham University Business
School)
Modeling and Pricing Longevity Risk in the Dutch Insurance Market: Challenging Topics & Practical Solutions
Erik Tornij (ING)
Longevity Risk in Annuity Portfolios: The Effect of Product Design and Portfolio Composition
Anja De Waegenaere (UvT)
Pricing Survivor Swaps with Mortality Jumps and Default Risk
Min-Hung Tsay (National Central University)
Longevity Risk Premium, Extreme Value Approach and Risk Cubic Pricing
Hua Chen (Temple University)
Evaluating the Advanced Life Deferred Annuity - An Annuity People Might Actually Buy
Anthony Webb (Boston College)
Workshops
Hedging Longevity Risk for DB Pension
Bart Oldenkamp (Cardano)
Overview UK Longevity Market: Size, Players, Structures and Pricing
Marcos Flores (Credit Suisse)
Securitization, Structuring and Pricing of Longevity Risk
Michael Sherris (Australian School of Business)
Life-Expectancy Risk and Pensions: Who Bears the Burden?
Edward Whitehouse (OECD)
Optimizing the Equity-Bond-Annuity Portfolio in Retirement: The Impact of Uncertain Health Expenses
Mark Warshawsky (Watson Wyatt Worldwide)
The Three Big Risks Trade-off: Interest Rates, Inflation and Longevity— Lessons Learnt by a Multi-manager
Nicholas Verwilghen (EIM)
On the Pricing of Longevity-Linked Securities
Jochen Russ (LMU Munich)
Xpect Data and Xpect Indices - Longevity Risk Evaluation and Risk Transfer
Mario Michael Schultz (Deutsche Börse)
Small-Region Mortality Modeling
Søren Fiig Jarner (ATP)
Longevity Problems and Investment Solutions
57
November 5 & 6, 2008 in
Tilburg: Theme Conference The
Private Provisions of Pensions
Research findings on this theme of both Netspar research fellows and other researchers, national and international, were presented and discussed. Theme coordinator is Peter Schotman (UM).
Susceptibility to Interpersonal Influence in an Investment Context
Arvid Hoffmann (UM), Thijs Broekhuizen (RUG)
Rational Pension Products for Irrational People
Henriëtte Prast (UvT), Zvi Bodie (Boston
University)
DC Pension Plan Defaults and Individual Welfare
Jiajia Cui (UvT)
Minimum Funding Ratios for Defined-Benefit P ension Funds
Arjen Siegmann (VU A)
Faculty Seminar (organized jointly with CentER)
David Laibson (Harvard University)
Can Governments Boost Voluntary Retirement Savings via Tax Incentives and Subsidies?
Giacomo Corneo (Free University of Berlin), Matthias Keese (Ruhr Graduate School in
Economics / University of Duisburg-Essen), and
Carsten Schröder (Christian-Albrechts University
of Kiel)
The Role of the Annuity’s Value of the Decision (not) to Annuitize
Monika Bütler (University of St. Gallen), Stefan Staubli (University of St. Gallen), and Maria Grazia Zito (University of St. Gallen) Gavin Jones (Swiss Re)
Guy Coughlan (JP Morgan’s Pension Solution
Group)
Onno Steenbeek (APG)