DAY ONE - Thursday 18 September 2008

8:00 Coffee and registration

9:00 LONGEVITY AND MORTALITY - INFLUENCES AND MEDICAL ADVANCES

  • Longevity trends: national and worldwide
  • Gerontology
  • Epidemics
  • Commom mortality influences and medical advancements
    • Cancer
    • Cardiovascular diease
    • Pandemics/ Infectious diseases/
    • Smoking
    • Medical advancement
Steven Weisbart, Vice President and Chief Economist, INSURANCE INFORMATION INSTITUTE

10:30 MORNING BREAK

11:00 OBTAINING THE DATA TO MODEL MORTALITY/LONGEVITY

  • Variations in longevity/mortality across borders
  • Developing pan-regional mortality/longevity tables
  • Risk factors
    • Insured vs general population
    • Age, gender, geography, income
    • Cause of death
    • Changes and random variability
    • Historical data and extrapolations
Dale Hagstrom, Consulting Actuary, MILLIMAN

12.00 LUNCH

13:00 QUANTIFYING MORTALITY RISK USING STOCHASTIC MODELS

  • Stochastic vs deterministic models
  • Time dependency and uncertainty of future mortality developments
  • Modeling changes and jumps in mortality
  • Building a simple stochastic mortality model
  • Addressing model risk in stochastic models
  • Validating the model
Tom Crawford, ERNST & YOUNG

14.30 Afternoon break

15:00 SECURITIZATION OF SENIOR LIFE SETTLEMENTS: RISKS AND SOLUTIONS

  • Longevity risk
  • New measurements of longevity risk
  • New measurement of interest rate risk
  • Engineering bonds structure that eliminate longevity risk
  • Engineering bonds structure that eliminates interest rate risk
Anne Zissu, Research Fellow, CITYTECH, CUNY, NYU_POLY/ Charles A Stone, Professor, BROOKLYN COLLEGE, NYU
16:30 End of day one

DAY TWO - Friday 19 September 2008

8:00 Coffee and registration

9:00 MANAGING LONGEVITY RISK IN ANNUITIES

  • Projected life tables/Forward survival probabilities
  • Analogies and differences to classical actuarial theory
  • Life insurance contracts with mortality-contingent embedded options
  • Guaranteed Minimum Income Benefits/Guaranteed Annuity Options
  • Guaranteed Minimum Lifetime Withdrawal Benefits
Dr. Daniel Bauer, Assistant Professor, Department of Risk Management and Insurance GEORGIA STATE UNIVERSITY

10:00 Morning Break

10:30 PRICING SYSTEMATIC MORTALITY RISK

  • Different types of mortality risk, systematic vs. non-systematic risk
  • Engineering Longevity Derivatives: Approach via simple longevity bonds
  • Which methods are available to price mortality and longevity?
  • Illustration based on Gaussian forward model
  • Empirical comparison based on UK annuity and financial data
  • Briefly: Risk and pricing of Catastrophe Mortality Bonds
Dr. Daniel Bauer, Assistant Professor, GEORGIA STATE UNIVERSITY

12:00 Lunch

13:00 HEDGING MORTALITY AND LONGEVITY RISK

  • Creating an appropriate structure and format
  • Choosing a reference portfolio
  • Addressing catastrophic mortality risk
  • Longevity indicies and index-based hedging
Amit Sinha, JP MORGAN

14:30 Afternoon break

15:00 ENSURING CAPITAL REQUIREMENTS AND SOLVENCY

  • Principles based reserves and economic capital
  • Stochastic processing with volatile mortality assumption
  • Range of future capital levels
  • Stress testing
  • Impact of adjusting mortality rates by cause of death
  • Comparison to regulatory reserves and capital
Stuart Silverman, FSA, MAAA, Principal & Consulting Actuary, MILLIMAN
16:30 End of course