PROGRAMME

IAA LIFE Colloquium 6–9 September 2009

� DAV / DGVFM 2011

IAA LIFE Colloquium 6–9 September 2009

PROGRAMME

Sunday, 6 September/Dimanche 6 septembre 2009

19:00–21:15 Welcome Reception/Reception de bienvenue LIFE

Monday, 7 September/Lundi 7 septembre 2009

09:00–10:30 Opening ceremony/Ouverture officielle LIFE

Room/Salle Nymphenburg:

Katsumi Hikasa, IAA President/President de l’AAI

Kurt Wolfsdorf, Chairman of LIFE/President de LIFE, Chairman

Organising Committee/President du Comite d’organisation

Rolf-Peter Hoenen, President/President German Insurance Association

(GDV)

10:30–11:00 Coffee break/pause-cafe

11:00–12:30 Breakout-sessions/sessions paralleles

Room/Salle Nymphenburg: Biometric risks and their securitizationChris Watts, UK: Longevity and mortality risk transfer in the capital

markets through the LifeMetrics platform

Tiziana Torri, D: Building blocks for a mortality index in an

international context

Guido Grutzner, D: Cautionary remarks about conclusions from the

observation of record-life expectancy

Room/Salle Schwabing 1–3: Designing life insurance productsAlexander Kling, D: Tax incentives for annuitization—direct and

indirect effects

Benjamin Avanzi, AU: What is it that make the Swiss annuitise? A

description of the Swiss retirement system

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Eur. Actuar. J. (2011) 1 (Suppl 1):S5–S9

DOI 10.1007/s13385-011-0033-1

Esben Massoti Kryger, DK: Pension fund design under fairness and

efficiency constraints

Room/Salle Schwabing 4–6: Designing life insurance productsGudrun Hormann, D: Optimal Risk Classification and Underwriting

Risk for Substandard Annuities

Adele Groyer, UK, Inga Kreiensiek, D: Assessing critical illness—

the facts behind the stats

Werner Hurlimann, CH: Actuarial analysis of the multiple life

endowment insurance contract

12:30–14:00 Lunch break/Dejeuner

14:00–15:00 Invited lecture/Conferencier invite: Biometric risks and theirsecuritizationRoom/Salle Nymphenburg:

Michel Denuit, B: Dynamic life tables: construction and applications

15:00–16:30 Breakout-sessions/sessions paralleles

Room/Salle Nymphenburg: Biometric risks and their securitizationSteven Haberman, UK: Comparative study of mortality forecasting

models

Andrew Cairns, UK: Stochastic multi-population mortality models

Juliette Duchassing, F, Fabrice Suter, CH: Longevity: A ‘‘simple’’

stochastic modelling of mortality

Room/Salle Schwabing 1–3: Designing life insurance productsNadine Gatzert, D: Understanding the death benefit switch option in

universal life policies

Jari Niittuinpera, FI: Mortality when converting from conventional

life insurance policies into universal life policies

Martin Eling, CH: The performance of microinsurance programs: A

frontier efficiency analysis

Room/Salle Schwabing 4–6: Solvency, accounting and the evaluationof life insurance businessStefan Heyers, D: Managing value using market consistent

methodologies: MCEV-value management accelerator or hand

brake?

Nick Dexter, UK: Market value management

Tigran Kalberer, CH: Internal models

16:30–17:00 Coffee break/pause-cafe

17:00–18:00 Invited lecture/Conferencier invite: Designing life insurance productsRoom/Salle Nymphenburg:

Marcus Christiansen, D: Sensitivity analysis and worst-case analysis—

making use of netting effects when designing insurance contracts

19:00–22:30 Informal dinner/Dıner informel LIFE

Tuesday, 8 September 2009

08:30–09:30 LIFE Prize Ceremony/Ceremonie de remise de prix

Room/Salle Nymphenburg:

S6 Programme

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Daniel Bauer, USA: A universal pricing framework for guaranteed

minimum benefits in variable annuities

09:30–10:20 Invited lecture/Conferencier invite: Biometric risks and theirsecuritizationRoom/Salle Nymphenburg:

Annamaria Olivieri, I: Stochastic mortality: experience-based

modelling and application issues consistent with solvency II

10:20–10:50 Coffee break/pause-cafe

10:50–11:50 Breakout-sessions/sessions paralleles

Room/Salle Nymphenburg: Biometric risks and their securitizationThorsten Honcamp, D: Does morbidity modelling solve the problem

of predicting death and disability?

Susanna Levantesi, I: Biometric risks assessment and management in

annuities with long term care benefits

Room/Salle Schwabing 1–3: Biometric risks and their securitization/Solvency, accounting and the evaluation of life insurance businessFrederik Weber, D: Mortality-indexed annuities: avoiding unwanted

risk

Esther Schutz, D: The biometric risk in internal models for Solvency

II

Room/Salle Schwabing 4–6: Solvency, accounting and the evaluationof life insurance businessLarry Rubin, USA: Economic measurement of insurance liabilities

Ed Morgan, UK; Matthias Bonikowski, D: The role and structure of

profit participation products in the European life insurance market

following Solvency II

11:50–12:40 Invited lecture/Conferencier invite: Solvency, accounting and theevaluation of life insurance businessRoom/Salle Nymphenburg:

Norbert Heinen, D: Solvency, accounting and the evaluation of life

insurance business

12:40–14:10 Lunch Break/Dejeuner

14:10–15:00 Invited lecture/Conferencier invite: Solvency, accounting and theevaluation of life insurance businessRoom/Salle Nymphenburg:

Paolo Cadoni, UK Solvency II and internal models

15:00–16:30 Panel discussion/Reunion-debat: Life insurance and financialmarketsRoom/Salle Nymphenburg:

‘‘The credit crunch, financial uncertainty and the life insurance

industry’’

Chair/Presidence: Steven Haberman, CASS Business School, UK

Panellists: David Blake, CASS Business School, UK

Joe Guastella, Deloitte, USA

Gerhard Rupprecht, Allianz SE, D

Programme S7

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Paolo Cadoni, FSA, UK

Thomas Steffen, CEIOPS/BaFin, D

16:30–17:00 Coffee break/pause-cafe

17:00–17:30 Award Ceremony/Ceremonie de remise de prix ‘‘SCOR-Prize for

Actuarial Sciences’’

Room/Salle Nymphenburg17:30–18:00 LIFE General Assembly/Assemblee Generale

Room/Salle Nymphenburg19:15–23:45 Gala Dinner/Dıner de gala LIFE

19:00–21:15 Welcome reception/Reception de bienvenue LIFE

Wednesday, 9 September 2009

08:30–08:45 Opening of the joint programme/Ouverture du programme commun

AFIR/LIFE

Room/Salle Nymphenburg08:45–09:35 Invited lecture/Conferencier invite: Life insurance and financial

marketsRoom/Salle Nymphenburg:

David Blake, UK: The new life market: from survivor bonds to life

Settlements securitisation

09:35–10:25 Invited lecture/Conferencier invite: Life insurance and financialmarketsRoom/Salle Nymphenburg:

Christian Mumenthaler, CH: Risk management in a challenging

environment

10:25–10:50 Coffee break/pause-cafe

10:50–12:30 Breakout-sessions/sessions paralleles

Room/Salle Nymphenburg: Life insurance and financial marketsRomain Bridet, F: Extreme Mortality Bonds

Heinz Holler, D, Gary Finkelstein, UK: Variable annuity risk

management and hedging effectiveness

Lars Pralle, D: Variable annuities: some reserving and regulation

considerations

Oskar Goecke, D: The group-balanced concept of long-term saving:

a continuous time model

Room/Salle Schwabing 1–3: Life insurance and financial marketsKlaus Miller, D: Risk and capital—a romance in many dimensions

Ralph Stevens, NL: Longevity risk and hedge effects in portfolios of

life insurance products with investment risk

Thorsten Wagner, D: Replicating portfolios in the life insurance

business: Use and limitations

Raimund Rhiel, D: Company pension plans and financial crisis:

lessons learned?

Room/Salle Schwabing 4–6: Life insurance and financial markets

S8 Programme

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Anne Puustelli, FI: Hedging against volatility, jumps and longevity

risk in participating life insurance contracts—a Bayesian analysis

Laura Ballotta, UK: Investment strategies and risk management for

participating contracts

Frederic Planchet, F: Optimal strategies of hedging portfolio of unit-

linked life insurance contracts with minimum death guarantee

12:30–14:00 Lunch break/Dejeuner

14:00–18:45 Excursion to Nymphenburg Palace/excursion au chateau

Nymphenburg

19:00–21:30 Reception by the City of Munich at the Council Chamber/Reception

donnee par la Mairie de Munich a l’Hotel de Ville

Programme S9

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