DAY ONE - Tuesday 29 September 2009

8:30 Coffee and registration

9:30 Influences on longevity and mortality risk

  • Trends in mortality and life expectancy
  • Mortality differences between males and females
  • Common mortality influences and medical advancements
  • - Cancer
  • - Cardiovascular disease
  • - Smoking
  • - Pandemics and infectious diseases

Dr Michaela Grimm, Economic Research & Corporate Development, ALLIANZ SE

10:30 Morning break

11:00 Obtaining data to predict mortality

  • Overview of current approaches to estimating life expectancy
  • Comparisons of mortality tables from different european countries
  • Importance of risk factors and treatment of future mortality
  • Availability of national and international data sources
  • Illustrations of mortality forecasts under different approaches
    • Extrapolation of past trends
    • Cardiovascular diease
    • Use of target long-term assuptions
    • Predictions based on scenario analysis
Daniel Ryan, Senior Consultant, WATSON WYATT LIMITED

12:30 Lunch

13:30 Coherent Mortality Forecasts

    • Sources of projection uncertainty
    • Uncertainty accumulation in mortality models with random walk structure
    • Incoherent and coherent mortality projections
    • Convergence of mortality levels
    • The SAINT model: Separating long-term trends and short-term deviations
    • Modelling common trends for related populations
    Soren Fiig Jarner, Director, Chief Analyst, Acturial Department, ATP-DANISH LABOUR MARKET SUPPLEMENTARY PENSION FUND

    14.30 Afternoon break

    15.30 The volatility of mortality and the applications to the pricing of mortality derivatives

    • The importance of specifying the volatility of mortality
    • Epidemiological insights to be considered
    • A concrete stochastic mortality modeland its calibration
    • Applications: pricing of mortality derivatives
    Jochen Russ, Managing Partner, IFA ULM
    17.00 End of day one

    DAY TWO - Wednesday 30 September 2009

    8:30 Coffee and registration

    9:00 Managing longevity risk in annuities

    • Life insurance contracts with mortality - contingent embedded options
    • Guranteed Minimum Income Benefits/Guaranteed Annuity Options
    • Guaranteed Minimum Lifetime Withdrawal Benefits
    • Risk Management of longevity and dynamic hedging of variable annuity contracts
    Joshua Corrigan, Senior Consultant, MILLIMAN and Gary Finkelstein, European FRM Practice Leader, MILLIMAN

    10:30 Morning break

    11:00 Longevity under Solvency II

    • Issues with using the risk free rate to value annuity liabilities
    • Stressing longevity under Solvency II
    • Reveal - understanding the impact of longevity on economic capital requirements
    • Impact of other stresses and correlation assumptions
    • Overall impact on the annuity market
    Emma McWilliam, Senior Consultant and Philip Simpson, Principal and Consulting Actuary, MILLIMAN

    12:30 Lunch

    13:30 Transferring longevity risk

    • Market developments - overview of trades in the capital markets
    • Sructures to transfer longevity risk: comparing swaps, bonds and reinsurance structures
    • Choosing an appropriate reference portfolio
    • Longevity indicies and index based hedging
    • Case study
    David Epstein, Executive Director, JP MORGAN
    Chris Watts, Vice President, JP MORGAN

    15:00 Afternoon break

    15:30 Managing longevity risk in pension schemes - a practical perspective

    • Evolution of the longevity swap market
    • Understanding longevity risk
    • Today's longevity hedging market
    • Practical considerations and trustee thinking

    Andy Corvesor, Principal and Strategic Consultant, HEWITT and Ian Blomfield Strategic Consultant, HEWITT

    17.00 End of course