NINE. China Institute for Actuarial Science, Central University of Finance & Economics

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LONGEVITY

NINE

September 6 and 7, 2013

Beijing, China

The Ninth International Longevity Risk &

Capital Markets Solutions Conference

第九届长寿风险与资本市场国际研讨会

Host:

主办方

China Institute for Actuarial Science, Central University of Finance & Economics 中央财经大学中国精算研究院

Co-hosts: 协办方

China Association of Actuaries 中国精算师协会

Waterloo Research institute in Insurance, Securities and Quantitative finance, University of Waterloo, Canada

加拿大滑铁卢大学保险，证券和定量金融研究所 Edmondson-Miller Chair, Illinois State University, USA

美国伊利诺斯州立大学 Edmondson-Miller Chair

Pensions Institute, Cass Business School, City University London, UK 英国伦敦城市大学卡斯商学院养老金协会

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Thursday September 5, 2013

16:00 – 21:00 Conference Registration (Pre-Function Hall)

Friday September 6, 2013

08:00 – 09:00 Opening Ceremony (Grand Ballroom C)

09:00 – 10:30 Plenary Session I (Grand Ballroom C) Sponsored by Société Générale

10:30 – 11:00 Refreshment Break (Pre-Function Hall)

11:00 – 12:15 Parallel Session I

12:15 – 13:15 Lunch (City Wall Ballroom) Sponsored by SCOR Global Life

13:15 – 13:45 Plenary Session II (Grand Ballroom C)

13:45 – 15:00 Roundtable Discussion Forum I (Grand Ballroom C) Sponsored by Cathay Life Insurance Co.

15:30 – 16:30 Plenary Session III (Grand Ballroom C)

16:30 – 17:45 Parallel Session II

18:15 – 19:30 Reception (Pre-Function Hall B)

19:30 – 22:00 Gala Dinner (City Wall Ballroom)

Sponsored by Institute and Faculty of Actuaries

Saturday September 7, 2013

08:20 – 10:00 Parallel Session III

10:30 – 12:00 Plenary Session IV (Grand Ballroom C)

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Thursday September 5, 2013

Friday September 6, 2013

08:00 – 09:00 Opening Ceremony (Grand Ballroom C)

Moderator: Xiaolin Li (Professor, China Institute for Actuarial Sci-ence, CUFE)

Hu Shuxiang (Chairman of University Council, Central University of Finance and Economics)

David Blake (Director, Pensions Institute, Cass Business School, City University London)

Wei Yingning (President, China Association of Actuaries)

09:00 – 10:30 Plenary Session I (Grand Ballroom C)

11:00 – 12:15 Parallel Session I

12:15 – 13:15 Lunch (City Wall Ballroom)

Sponsored by SCOR Global Life

13:15 – 13:45 Plenary Session II (Grand Ballroom C)

Moderator: Ken Seng Tan (Associate Director. WatRISQ, Univer-sity of Waterloo & Hon. Director, China Institute for Actuarial Sci-ence, CUFE)

“China’s Three-Pillar Pension Facing with the Challenge of Longevity Risk”

Bingwen Zheng (Director General, Center for International Social Security Studies and Institute of Latin American Studies, Chinese Academy of Social Science)

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13:45 – 15:00 Roundtable Discussion Forum I: “Longevity Issues in Asia: Challenges and Opportunities” Sponsored by Cathay Life Insurance Co.

Moderator: Xiaolin Li

Yu Cai (Director, Policy and Research Department, China Insurance

Regula-tory Commission)

"How China’s insurance industries play a greater role in longevity risk

transferring"

Meipan Tian (Chief Actuary, China Re Group)

“The Challenges of Longevity Risk in Taiwan and Future Policy

Develop-ments”

Jennifer Wang (Vice Chairperson, Financial Supervisory Commission and

Distinguished Professor of NCCU, Taiwan)

“The Impacts of Longevity Risk on Taiwan Insurance Industry: Risk

Man-agement and Product Innovation”

Chun-Hung Wu (Senior Vice President, Cathay Life Insurance Co.)

“Longevity Risk Challenges in China’s Public Pension & Private

Pen-sions: in the Perspective of Financial Markets Context”

Bingwen Zheng

15:00 – 15:30 Refreshment Break II (Pre-Function Hall)

15:30 – 16:30 Plenary Session III (Grand Ballroom C)

Moderator: Richard MacMinn (Edmondson-Miller Chair in Insurance and Fi-nancial Services, Illinois State University)

“The role of the SOA in Addressing Longevity Risk” Tonya Manning (President, Society of Actuaries)

“Reinsurance of Longevity: Risk Transfer and Capital Market Manage-ment Solutions”

Daria Ossipova-Kachakhidze (Head of Longevity and Mortality R&D Centre,

SCOR)

16:30 – 17:45 Parallel Session II

18:15 – 19:30 Reception (Pre-Function Hall B)

19:30 – 22:00 Gala Dinner (City Wall Ballroom)

Sponsored by Institute and Faculty of Actuaries

Moderator: Ken Seng Tan

Pre-Dinner Presentation:

“The Challenges for Actuaries in Dealing with Longevity Predictions” David Hare (President, Institute and Faculty of Actuaries)

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Saturday September 7, 2013

08:00 – 13:15 Conference Registration(Pre-Function Hall)

08:20 – 10:00 Parallel Session III

10:30 – 12:00 “Accelerating the Development of a Liquid Risk Transfer Market for Longevity”

Moderator: Guy Coughlan (Managing Director, Pacific Global

Speakers:

Jeff Mulholland (sion Solutions in the Americas, Société GénéraleManaging Director and Head of Insurance and Pen-)

Chris Madsen (Head of Risk Structuring & Transfer, Aegon NV)

Chris Hornsby (Longevity Risk Model Manager, RMS LifeRisks)

Andrew Coburn (Senior Vice President, RMS LifeRisks)

Peter Schliebs (Challenger Life Company Limited)

Plenary Session IV (Grand Ballroom C)

“Anatomy of a Successful Transaction”

Transaction Sponsor Perspective - Madsen Bank Perspective - Mulholland

Modeling Firm Perspective - Hornsby & Coburn Investor Perspective - Schliebs

12:00 – 13:00 Roundtable Discussion Forum II (Grand Ballroom C)

“Lessons Learned and How to Generate More and Larger Trans-actions”

What are the lessons learned from the transaction? What were the most effective elements of the transaction?

What could be improved for future transactions to create a more rep-licable structure and process?

What can be improved to produce more and larger transactions?

13:00 – 13:15 Closing Ceremony (Grand Ballroom C)

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PARALLEL SESSIONS

Friday September 6, 2013

PARALLEL

SESSIONS

OVERVIEW AND LOCATIONS

Panel A Panel B Panel C Panel D Panel E

Room D1 Room D2 Room D3 Meeting Room 1 Meeting Room 6

Session I Fri 6 Sept 11:00-12:15 Reverse Mortgages Mortality-linked Securities 1 Pensions Plans Insurance-linked Securities/Personal In-jury Modelling 1

Session II Fri 6 Sept, 16:30-17:45 Mortality-linked securities 2 Pension Systems Mortality Forecasting 1

Longevity Risk Modelling 2

Session III Sat 7 Sept, 08:20-10:00

Annuities Mortality

Forecasting 2

Modelling 3 Modelling 4

Parallel Session I - Panel A - Reverse mortgages

Session Chair – Deng Yinglu

"Reverse Mortgage Pricing and Risk Analysis Allowing for Idiosyncratic House Price Risk and Longevity Risk"

Adam Wenqiang Shao, Michael Sherris, Katja Hanewald

"A Study on Pricing of the Reverse Mortgage with an Embedded Redeemable Option: An analysis based on China's market"

Bingzheng Chen, Yinglu Deng, Peng Qin

“Contributors to the Potential Demand for Reverse Mortgage in China —An Empirical In-vestigation Based on a Questionnaire Survey of Residents in Beijing”

Bingzheng Chen, Yinglu Deng, Xiaofei Liu, Lihong Zhang

Parallel Session I - Panel B - Mortality-linked securities 1

Session Chair – Ning Zhang

"Price Bounds of Mortality-Linked Security in Incomplete Insurance Market"

Jeffrey Tzuhao Tsai, Yu Lieh Huang, Sharon S. Yang

"Modelling Infectious Mortality Risk with Application to Mortality Security Pricing"

Fen-Ying Chen, Hong-Chih Huang, Sharon S.Yang

"Mortality Decomposition Model and its Application in the Graded Longevity Bond Build-ing in China"

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Parallel Session I - Panel C - Pensions Plans

Session Chair –Jing Ai

"De-risking Defined Benefit Plans"

Yijia Lin, Richard D MacMinn, Ruilin Tian

"The Analysis On The Optimal Investment Return For Chinese Personal Pension Account In The View Of Longevity Risk"

Xiaoqian Yuan, Ning Zhang

"A New Approach to Pension Risk Management"

Jing Ai, Patrick L Brockett, Allen Jacobson

Parallel Session I - Panel D - Insurance-linked Securities/Personal Injury

Session Chair - Wai-Sum Chan

"Heterogeneous Expectations and Speculative Behavior in Insurance-linked Securities"

Min Zheng

"Disaggregation of Chinese Life Tables from National to Provincial Level, with an Appli-cation to Assessing Personal Injury Liabilities in China"

Felix W.H. Chan, Johnny S.H. Li, Wai-Sum Chan

Parallel Session I - Panel E - Modelling 1

Session Chair - Andrew Cairns

"An Extensions of the Lee-Carter Model For Mortality Projections"

Udi Makov

"A Two-Stage Linear Regression Approach To Modeling Mortality Rates Of Different Forms"

Cary Chi-Liang Tsai

"Mortality Modelling: Living With Unreliable Data"

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Parallel Session II - Panel A - Mortality-linked securities 2

Session Chair – Hong-Chih Huang

"A Bayesian Pricing of Longevity Derivatives under Stochastic Interest Rates"

Takahiro Fushimi, Atsuyuki Kogure, Yoshimitsu Takamatsu

"Modeling Multi-Country Mortality Dependence and its Application in Pricing Survivor Swaps: a Dynamic Copula Approach”

Sharon S. Yang, Hong-Chih Huang, Chou-Wen Wang

Parallel Session II - Panel B - Pension Systems

Session Chair - Zaigui Yang

"Public Pension with Longevity and Population Growth Rate in China"

Qiang Cui

"Rural Public Pension, Uncertain Lifetime, Family Transfers And Endogenous Growth"

Zaigui Yang

Parallel Session II - Panel C - Mortality Forecasting 1

Session Chair - Andrew Hunt

"The Choice of Sample Size for Mortality Forecasting: A Bayesian Learning Approach"

Anja De Waegenaere, Hong Li, Bertrand Melenberg

"Forecasting ESRD Incidence and Mortality Based on Taiwan's Population Data"

Shing-Her Juang, Chih-Hua Chiao, Yin-Ju Lin, Hsin-Yi Li

"Projecting Mortality: Coherence and Co-integration in Multi-Population Projections"

Andrew Hunt, David Blake

Parallel Session II - Panel D - Longevity Risk

Session Chair - Tom Terry

"Longevity Risk Existence Analysis: Case in Beijing"

Xiaoting Gao, Zan Zhao

“Longevity Risk in China and its Financial Impact: Evidence from Model Test”

Wei Xiao, Chenzhe Liu

"Communicating Longevity Risk: Beyond the Definitions"

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Parallel Session II - Panel E - Modelling 2

Session Chair – Johnny Li

"Comparison and Evaluation of Fuzzy Regression Methods in Lee-Carter Model"

Diheng Huang

"Methods of Improving Lee-Carter Model - Based on China's Mortality Data"

Lifeng Yang, Xiuye Meng

"A Step-by-Step Guide to Building Two-Population Stochastic Mortality Models"

Johnny Li, Rui Zhou, Mary R. Hardy

Saturday September 7, 2013

Parallel Session III - Panel A - Annuities

Session Chair - Ralph Rogalla

"A Regime-Switching Framework for the Valuation of a Guaranteed Annuity Option"

Huan Gao, Rogemar Mamon, Anton Tenyakov, Xiaoming Liu

"Efficient Valuation of GMWB Annuities: A Variance Reduction Approach"

Jennifer L. Wang, Ming-hua Hsieh, Yu-Fen Chiu

"Research on Annuity Puzzle in China from Institutional Perspective"

Wei Wang, Ning Zhang

"Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and In-vestment Downside Protection",

Vanya Horneff, Raimond Maurer, Olivia S. Mitchell, Ralph Rogalla

Parallel Session III - Panel B - Mortality Forecasting

Session Chair - Julien Tomas

"Prediction Intervals for Future Mortality Rates"

Ah Pooi, W.Y. Pan and Y.C. Wong

"Developing longevity de-risking solutions for Swiss pension funds: An application with Swiss coherent mortality model"

Ljudmila Bertschi, Cheng Wan

"Forecasting Mortality in the Presence of Missing Data: An Application to Chinese

Popu-lation"

Ping An, Ken Seng Tan, Johnny Li

"A New Non-Parametric Approach to Smoothing and Forecasting of Mortality"

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Parallel Session III - Panel C - Modelling 3

Session Chair - Jack C Yue

"A Study of Mortality Compression and Longevity Risk”

Jack C Yue

"Bayesian Modelling of Longevity and Lifespan Extension"

Ramona Meyricke, Michael Garratt

“Longevity Bonds Pricing Model Driven by OU Jump Process of Mortality Index and Af-fine Stochastic Interest Rate Model”

Jianwei Gao, Le Yang, Lizhi Wang

"A Relational Model Approach to Deal with the Longevity Risk"

Hsin Chung Wang, Jack C Yue

Parallel Session III - Panel D - Modelling 4

Session Chair - Hua Chen

"A Common Age Effect Model for the Mortality of Multiple Populations"

Torsten Kleinow

"Love and Death: A Freund Model with Frailty"

C Gourieroux , Yang Lu

"Longevity Hedges across Populations: A Two-Factor Model Approach"

Linus Fang-Shu Chan, Cary Chi-Liang Tsai, Chenghsien Tsai

"A Multi-Population Mortality Model via the Factor Copula Approach"