Workshop 2
Thursday 9 September 2010: 1.30 - 3.00pm
Session 2A - Pavilion Room 1
Moderator: Patricia Berry (Swiss Re, Australia)
Andrew Cairns (Heriot-Watt University)
Hedge Effectiveness for Longevity Risk in the Presence of Basis
Risk and Parameter Uncertainty
[Abstract] [Presentation] [Paper]
Andrew Ngai (PricewaterhouseCoopers, Sydney) and Michael Sherris (Australian
School of Business, UNSW)
Longevity Risk Management for Life and Variable Annuities: Effectiveness
of Static Hedging using Longevity Bonds and Derivatives
[Abstract] [Presentation] [Paper]
Jennifer Wang (National Chengchi University, Taipei) and Ming-hua Hsieh
(National Chengchi University, Taipei)
The Optimal Product Portfolios for Hedging Longevity Risks and
Financial Risks for Life Insurers: A Dynamic Immunization Approach
[Abstract] [Presentation] [Paper]
Session 2B - Pavilion Room 2
Moderator: Enrico Biffis (Imperial College, London)
Raimond Maurer (Goethe University Frankfurt)
Portfolio Choice over the Life Cycle with Regime Shifts in Stock
and Labor Market
[Abstract] [Presentation] [Paper]
John Livanas (AMIST and UNSW)
Grandma and Grandpa take risks
[Abstract] [Presentation]
[Paper]
Patrick Brockett (The University of Texas at Austin), Yinglu Deng (The
University of Texas at Austin) and Richard D MacMinn (Illinois State University)
Dynamic Asset-Liability Management with Longevity Risk and Derivatives
[Abstract] [Presentation] [Paper]
Session 2C - Promende Room 1
Moderator: Stephane Loisel (Universite de Lyon, ISFA)
Ting Wang (University of Michigan)
Hedging Pure Endowments with Mortality Derivatives
[Abstract] [Presentation] [Paper]
Hong-Chih (Jerry) Huang (National Chengchi University), Chou-Wen Wang
(National Kaohsiung First University of Science and Technology, Kaohsiung,
Taiwan)
An Optimal Strategy of Natural Hedging for a General Portfolio
of Insurance Companies
[Abstract] [Presentation]
[Paper]
Jason C.H. Tsai (National Chengchi University)
Applying the 6-factor Nelson-Siegel Model to Mortality Rate Curves
[Abstract] [Presentation] [Paper]
Session 2D - Promenade Room 2
Moderator: Anthony Webb (Center for Retirement Research at Boston College)
Loretti Dobrescu (Australian School of Business, UNSW)
To love or to pay: On consumption, health and health care
[Abstract] [Presentation]
[Paper]
Najat El Mekkaoui de Freitas (Université Paris-Dauphine et Oxford University),
Gordon Clark (Oxford University), Bérangère Legendre (Université
Orléans et Université Paris-Dauphine)
Individual Private Retirement Insurances: the effects of sociodemographics
characteristics on poverty
[Abstract]
[Presentation]
[Paper]
Yaffa Machnes (Bar-Ilan University)
Market versus Self Insurance of Longevity Risk: Empirical studies of
demography in the OECD countries show that the decline in mortality adheres
to the Monotone Probability Ratio Order criterion
[Abstract] [Presentation]
[Paper]