Institut de Science Financière et d Assurances - ISFA, University Claude Bernard Lyon 1

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1 The eleventh international Longevity Risk and Capital Markets Solutions Conference September 7/8/9, 2015 LYON, Cité Internationale - Centre de Congrès Car park P2 Host Institut de Science Financière et d Assurances - ISFA, University Claude Bernard Lyon 1 Co-Hosts Laboratoire de Sciences Actuarielle et Financière - SAF Laboratoire de Probabilités et Modèles Aléatoires - LPMA, University Paris 7 Pension Institute, Cass Business School, City University London LoLitA Research Project Team - Longevity with Lifestyle Adjustments

2 conference agenda Day 1 : Monday September 7 ACADEMIC DAY Day 2 : Tuesday September 8 LONGEVITY 11 CONFERENCE 07:45 Registration Opening 07:45 Registration Opening 08:30 Welcome Coffee 08:00 Welcome Coffee Longevity 11 Conference 09:00 09:15 10:00 10:30 11:00 Opening Ceremony Nicole EL KAROUI & Stéphane LOISEL Ronald LEE, Berkeley Update on the Lee-Carter Model Coffee Break Pietro MILLOSSOVICH, CASS Business School A comparative study of two-population mortality models for the assessment of basis risk in longevity hedges Alexandre BOUMEZOUED, University Paris 6 Population dynamics for longevity risk 08:30 09:15 09:35 10:05 10:50 11:20 Opening Ceremony Stéphane LOISEL, David BLAKE & Nicole EL KAROUI Denis JACQUAT, Assemblée Nationale Pablo ANTOLIN, OECD Ronald LEE, Berkeley Socioeconomic differential in mortality and life expectancy over recent decades Coffee Break Tom KIRKWOOD, Newcastle University Why and how are we living longer? conference agenda 11:30 12:00 13:30 Quentin GUIBERT, SAF Laboratory Long-term care with multi-state models Lunch Break Gilles PAGES, University Paris 6 12:05 12:50 Laurent SCHWARTZ, école Polytechnique Cancer mortality: towards a structural change? Lunch Break 14:20 André DE VRIES, RGA Capital motivated longevity transactions in practice 14:10 Laurent DEVINEAU, Milliman 14:50 Guy COUGHLAN, Universities Superannuation Scheme 14:45 16:30 17:00 Academic Day Parallel Session Mortality Modelling 1 Longevity Risk Management 1 Mortality Modelling 2 Mortality Modelling 3 Refreshment Break Henning BOHN, UCSB Intergenerational risk sharing and aggregate longevity risks 15:20 15:50 16:20 Jeff MULHOLLAND, Société Générale The advantages and disadvantages of indexed vs indemnity longevity hedges Refreshment Break Parallel Session I Mortality Modelling 4 Longevity Products 1 Longevity Risk Management 2 Other 1 17:45 18:15 Ragnar NORBERG, SAF Laboratory Risk sharing within and across generations 17:40 Location Plenary talks & Round tables : «Grand salon Prestige Gratte-ciel» Breaks : «Tête d Or» floor Parallel sessions : Grand salon Prestige Gratte-Ciel Salle Gratte-Ciel 2 Salle Gratte-Ciel 1 Salle Gratte-Ciel 3

3 conference agenda Day 2 : Tuesday September 8 GALA Day 3 : Wednesday September 9 LONGEVITY 11 CONFERENCE 18:45 Cruise and Cocktail on the Rhône to the dinner place at Confluence Discover the architectural heritage of the city of Lyon from one of its two rivers Boarding : Quai Charles De Gaulle Direction : From the convention center, walk between car parks P1 & P2, cross the road and go down on the dock, right. 07:45 08:00 08:30 Registration Opening Welcome Coffee Parallel Session II Mortality Modelling 5 Longevity Risk Management 3 Reverse Mortgages 1 Annuities 1 20:30 Gala dinner at the Confluence Restaurant Le Selcius French gastronomy in the new trendy district of Lyon Welcome speech by Dale HALL, SoA 09:45 10:15 10:45 11:15 12:15 13:45 Coffee Break Jean-Marie ROBINE, INSERM Michel DENUIT, Louvain Finite portfolio approximations Round Table Frédéric PLANCHET, SAF Laboratory Edouard DEBONNEUIL, Celtipharm Pierre-Henri TAVOILLOT, Paris Philosophy College Big Data & Longevity Lunch Break Parallel Session III Mortality Modelling 6 Longevity Risk Management 4 Pension Buyouts/Annuity Demand 1 Annuities 2 Longevity 11 Conference conference agenda 15:10 Round Table Jean-Hervé LORENZI, Edmond de Rotschild Serge GUERIN, ESG Jean-Michel RICARD, Siel Bleu Longevity and long term care 16:00 Refreshment Break 16:30 Mark FLINT, SCOR The impact of recent regulatory change on the UK individual annuity market 17:00 Philip SIMPSON, Milliman Recent developments in the UK longevity market 23:00 Several organized trips back to the convention to center hotels 00:00 Optional stops in Lyon city center 17:30 Amy KESSLER, Prudential Financial The longevity risk transfer market at $250 billion - innovation, globalization and growth 18:00 Closing Ceremony 18:10

4 CONTENT of PARALLEL SESSIONS Monday Sept 7 / 14:45 / ACADEMIC DAY PARALLEL SESSION Mortality Modelling 1 Yang LU Ning ZHANG Frank Van BERKUM Luca REGIS Large duration asymptotics in bivariate survival models with unobserved heterogeneity Analysis on mortality cohort effect of birth year in view of differential geometry and its application Bayesian portfolio specific mortality Basis risk in static versus dynamic longevity risk hedging Longevity 11 Conference Longevity Risk Management 1 Hong LI Estelle LIU Philippe CLARK Caroline HILLAIRET Mortality Modelling 2 Heloise LABIT HARDY Séverine ARNOLD Wen-Yen HSU Julien TOMAS Dynamic hedging of longevity risk: the effect of trading frequency Hedging and immunization of longevity risk De-risking longevity Affine long term yield curves: an application of the Ramsey rule with progressive utility Cause-of-death mortality: A study of a heterogeneous portfolio dynamic Time-evolution of age-dependant mortality patterns in mathematical model of heterogeneous human population Multy-country mortality modeling and hedging longevity risk using a panel approach A credibility approach of the makeham mortality law Mortality Modelling 3 CONTENT OF PARALLEL SESSIONS Edouard DEBONNEUIL Guillaume BIESSY Olivier LOPEZ Andres VILLEGAS Tuesday Sept 8 / 16:20 / PARALLEL SESSION I Mortality Modelling 4 Federica TEPPA Martin GENZ Jack C. YUE Do actuaries believe in longevity deceleration? A continuous time semi-markov with 3 states and 4 transition laws to estimate the biometrics laws associated with a long-term care insurance portfolio Modeling the evolution of the dependence structure between two lifetimes StMoMo: An R package for stochastic mortality modelling Friends, family and framing: An international comparison of longevity expectations formation Extension, compression, and beyond - A unique classification system for mortality evolution patterns Mortality models and longevity risk for small populations Longevity Products 1 Najat EL MEKKAOUI DE FREITAS Yahia SALHI Jimmy RISK Valuation of longevity linked annuities (Presented jointly with Jorge BRAVO) Excess-of-loss swap for longevity and mortality cross-hedging Statistical emulators for pricing and hedging longevity risk products Longevity Risk Management 2 Kenneth ZHOU Jason CHENG HSIEN TSAI Richard MACMINN On discrete-time geek hedging of longevity risk Embedding the natural hedging of mortality/longevity risks into product design The choice of trigger in an insurance linked security: The mortality risk case Other 1 Pawel ROKITA Kevin WANG Farid FLICI Longevity and other types of risk - an integrated approach to measuring risk of household financial plan Using the Taiwan national health insurance database to design no claim discount in hospitalization Longevity and life annuities reserving in Algeria: Comparison of some mortality models

5 CONTENT of PARALLEL SESSIONS Wednesday Sept 9 / 08:30 / PARALLEL SESSION II Mortality Modelling 5 Andrew CAIRNS Johannes SCHUPP Yanxin LIU Multi-population mortality modelling Modeling trend processes in parametric mortality models It s all in the Hidden States : A hedging method with an explicit measure of population basis risk Longevity Risk Management 3 Sharon YANG Jerry HUANG Ljudmila BERTSCHI Reverse Mortgages 1 Adam SHAO Yung-Tsung LEE I-Chien LIU Annuities 1 Barbara KASCHUTZKE Etienne MARCEAU Les MAYHEW Wednesday Sept 9 / 13:45 / PARALLEL SESSION III Mortality Modelling 6 Steven BAXTER Anthony MEDFORD Marius PASCARIU Optimal hedging strategy for catastrophic mortality risk considering life settlements A practical approach of natural hedging for insurance companies Hedging the longevity risk: A study of longevity basis risk in Switzerland Managing retirement risks with reverse mortgage loans and long-term care insurance Valuation of reverse mortgage portfolio - A dynamic copula approach Profitability analysis and risk profile for reverse annuity mortgages Unisex princing of german participating life annuities - boon or bane for custormer and insurance company? The impact of longevity on the hedge efficiency of guaranteed lifetime withdrawal benefit (GLWB) products The effect of longevity drift and investment volatility on income sufficiency in retirement A practical framework for assessing basis risk in index-based longevity hedges Best practice life expectancy: An extreme value approach The double-gap life expectancy forecasting model Longevity 11 Conference CONTENT OF PARALLEL SESSIONS Longevity Risk Management 4 Andrew HUNT Enareta KURTBEGU Pierre VALADE Pension Buyouts/Annuity Demand 1 Yijia LIN Patrick BROCKETT Ayse ARIK Pricing longevity-linked options Replicating inter-generational risk sharing in financial market Reinsurance, a solution to manage longevity risk Pension risk management with funding and buyout options Understanding longevity risk annuitization decision-making: An interdisciplinary investigation of financial and nonfinancial triggers of annuity demand Pricing of pension buy-outs under dependence assumption Annuities 2 Jakob KLEIN Li-Ling WANG Min JI Managing longevity risk: Tontines vs. annuities Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefit: A variance reduction approach Model and parameter uncertainty in pricing deep-deferred annuity

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