Workshop on
PROSPECTIVE MORTALITY TABLES, LONGEVITY
AND MORTALITY LINKED SECURITIES
Longevity risk has become a major
concern for pension and annuity business providers due to the uncertainty
surrounding future mortality improvements. The aim of this workshop organized
for the 20th anniversary of the Center for Research in Economic and Statistics
(CREST), was to present and compare the stochastic mortality models recently
introduced for constructing prospective mortality tables, or for pricing
mortality and longevity derivatives. Several experts in this field presented
their recent researches.
The workshop also included a round
table on: "The Development of a Liquid Market in Traded Mortality and
Longevity", with discussions on the reasons explaining why longevity bonds
were not offered successfully yet, the introduction of regulatory incentives,
the need for a standardisation of the primitive products, the construction of
transparent realized and prospective mortality indexes, the construction of
ratings for mortality or longevity bonds, the links between OTC tailor made
products and products tradable on bond markets.
Organizing Committee: C. Gourieroux,
C. Robert, L. Taleyson
CONFERENCE PROGRAM
WELCOME ADDRESS (8:45 – 9:00): François Robinet (CRO AXA)
SESSION 1 (9:00 – 10:15): SMOOTHING OF
MORTALITY TABLES
Chairman: Antoine Bommier (
- “Smooth
models of mortality with period shocks”, by James Kirkby (
Discussant: François Robinet (AXA Group Risk
Management)
- “P-spline projection models
with international comparisons”, by Lucie Taleyson (AXA Group Risk
Management) and Virginie Vasseur (AXA Group Risk Management) (Slides)
Discussant: Jean Pinquet (University Paris
X, Ecole Polytechnique) (Slides)
COFFEE BREAK (10:15 – 10:45)
SESSION 2 (10:45 – 12:00): PROSPECTIVE
MORTALITY TABLES
Chairman:
- “Life
annuities, projected life tables, and exchangeability: An actuarial analysis in
the Lee-Carter model”, by Michel Denuit (Catholic University of
Louvain) (Slides)
Discussant: Frédéric Planchet (WINTER &
Associates)
- “Quadratic
stochastic intensity and prospective mortality tables”, by
Discussant:
LUNCH TIME (12:00 – 13:30)
SESSION 3 (13:30 – 14:45): STOCHASTIC
MORTALITY
Chairman:
- “Modelling
stochastic mortality for dependent lives”, by Elisa Luciano (University
of Turin, Icer and Collegio Carlo Alberto, Turin), Jaap Spreeuw (Cass Business
School, London) and Elena Vigna (University of Turin) (Slides)
Discussant: Christian Yann Robert (ENSAE, CEA) (Slides)
- “Stochastic
mortality models: criteria for assessing and comparing models”, by Andrew
Cairns (Heriot-Watt University and the Maxwell Institute, Edinburgh) David
Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, Alen Ong, and Igor Balevich (Slides)
Discussant: Jean-Paul Laurent (ISFA, Lyon)
(Slides)
COFFEE BREAK (14:45 – 15:00)
PANEL SESSION (15:00 – 16:00): THE DEVELOPMENT
OF A LIQUID MARKET IN TRADED MORTALITY AND LONGEVITY
Chairman: Pauline Barrieu (LSE,
Participants:
Dominic Carpenter (Director, FITCH) (Slides)
Jean-Christophe Menioux (Group
Treasurer, AXA) (Slides)
Darryl Stewart (Vice President,
JPMORGAN) (Slides)
Philippe Trainar (Chief economist, SCOR)
(Slides)
BUSINESS BREAK (16:00 – 16:15)
SESSION 4 (16:15 – 18:15): MORTALITY
LINKED SECURITIES
Chairman: Blaise Bourgeois (AXA Life
- “On systematic
mortality risk and risk-minimization with survivor swaps”, by Mikkel Dahl (Nordea
Markets,
Discussant: Alfred Galichon (Ecole
Polytechnique, France) (Slides)
- “Risk
and Valuation of Mortality Contingent Catastrophe Bonds”, by Daniel
Bauer (
Discussant:
- “In
the core of longevity risk: dependence in stochastic mortality models and
cut-offs in prices of longevity swaps”, by Stéphane Loisel (ISFA,
Lyon) and Daniel Serant (ISFA, Lyon) (Slides)
Discussant: