Book Now
DAY ONE - Monday 6th September 2010
08:30 Registration and coffee
09:00 Current trends in longevity
- Developments in the past
- How sustainable are current trends?
- The impact of medical developments
- Pandemics and infectious diseases
- Impact of data availability on forecasts
Dr Michaela Grimm, Senior Economist, ALLIANZ SE
10:30 Morning break
11:00 The impact of Solvency II on longevity risk
- The impact of longevity swaps
- Which products will be most effective under Solvency II?
- What are the shocks and sensitivity stresses?
- Estimating economic capital requirements
Tiziana Torri, R&D Actuary, SCOR
12:30 Lunch
13:30 Playing the numbers game: using data to predict mortality
- Current approaches to estimating life expectancy
- Importance of risk factors and treatment to future mortality
- Availability of national and international data sources
- Illustration of mortality forecasts under different approaches
- Extrapolation of past trends
- Use of target long term assumptions
- Predictions based on scenario analysis
Steven Baxter, Longevity Consultant, CLUB VITA LLP
15.00 Afternoon break
15.30 Deterministic shock vs. stochastic value-at-risk: an analysis of the Solvency II standard model approach to longevity risk
- Analysis of the standard model longevity shock by comparing the resulting capital requirement to the value-at-risk based on a stochastic mortality model
- Modification of the longevity shock such that it accounts for the risk more adequately
- Analysis of different risk margin approximations
- Comment on the current cost of capital rate by a comparison with possible market prices of longevity risk
- Relation of prices for longevity derivatives to solvency capital requirements
Matthias Boerger, Researcher & Actuarial Consultant, ULM UNIVERSITY & IFA ULM
17:00 End of day one
DAY TWO - Tuesday 7th September 2010
08:30 Registration and coffee
09:00 Transferring longevity risk
- How is it possible to transfer the risk?
- Which risks are covered and which are not?
- How to manage non-covered risks
- Structures available to transfer longevity risk: comparing swaps, bonds and reinsurance structures
- Choosing an appropriate reference portfolio
- Longevity indices and index-based hedging
David Epstein, Executive Director, J.P. MORGAN
10:30 Morning break
11:00 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
Philip Simpson, Principal and Consulting Actuary, MILLIMAN
Farzana Ismail, Consulting Actuary, MILLIMAN
12:30 Lunch
13:30 The LLMA and Longevity Index
- Principles of Longevity Index
- Data sources
- Method
- How the index relates to the longevity risk market
- Other issues
Joseph Lu, Mortality Risk Actuary, LEGAL & GENERAL
15:00 Afternoon break
15:30 Stochastic mortality modelling
- Obtaining biologically plausible forecasts
- Modelling related populations
- Frailty models
- Short-term deviations from long-term trends
- Sources of uncertainty
Soren Fiig Jarner, Chief Scientific Officer, ATP
