Workshop 3
Friday 10th September 2010: 9.00 - 10.30am
Session 3A - Pavilion Room 1
Moderator: Daniel Bauer (Georgia State University)
John Evans (Australian School of Business, UNSW) and Michael Sherris
(Australian School of Business, UNSW)
Longevity Risk Management and the Development of a Life Annuity
Market in Australia
[Abstract] [Presentation] [Paper]
Ralph Stevens (CentER and Netspar, Tilburg University)
Calculating capital requirements for longevity risk in life insurance
products. Using an internal model in line with Solvency II
[Abstract]
[Presentation] [Paper]
Anthony Webb (Center for Retirement Research at Boston College)
How Do Subjective Mortality Beliefs Affect the Perceived Value
of Longevity Insurance?
[Abstract] [Presentation]
[Paper]
Session 3B - Pavilion Room 2
Moderator: Jason C.H. Tsai (National Chengchi University)
Peter Mazonas (Life Settlement Financial, LLC)
Longevity Risk in Fair Valuing Level -Three Assets in Securitized
Portfolios
[Abstract] [Presentation] [Paper]
Sharon Yang (National Central University, Taiwan)
Securitization and Tranching Longevity and House Price Risk for Reverse
Mortgages
[Abstract] [Presentation] [Paper]
Chou-Wen Wang (National Kaohsiung First University of Science and Technology,
Kaohsiung, Taiwan)
Securitization of Crossover Risk in Reverse Mortgages
[Abstract] [Presentation]
[Paper]
Session 3C - Promenade Room 2
Moderator: Jeffrey Tzu-hao Tsai (National Tsing Hua University, Taiwan
Séverine Gaille (Université de Lausanne)
Improving Longevity and Mortality Risk Models using Common Stochastic
Long Run Trends
[Abstract] [Presentation] [Paper]
Andy Tang (AXA Asia Pacific, Hong Kong) and Michael Sherris (Australian
School of Business, UNSW)
Spatial Variability in Mortality and Socioeconomic Factors for
Australian Mortality
[Abstract] [Presentation] [Paper]
Jack C. Yue (National Chengchi University)
A Study of Incidence Experience for Taiwan Life Insurance
[Abstract] [Presentation]
[Paper]
Liu, I-Chien (National Chengchi University, Taiwan)
Stochastic Mortality Modeling with Lévy processes
[Abstract] [Presentation]
[Paper]