Scientific Program
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Monday 8th June |
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09.00-10.00 |
PLENARY SESSION: |
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Rococo (Opening and Invited speaker), Chair Gunn Albertsen. |
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09.00-19.15 |
Opening of conference. |
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09.15-10.00 |
Idar Kreutzer, Finance Norway: Norwegian life insurance and pension: future possibilities and challenges. [Presentation] |
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10.00-10.30 |
Coffee |
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10.30-12.30 |
PLENARY SESSION: |
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Rococo (SCOR and Invited speaker), Chair Ragnar Norberg. |
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10.30-11.30 |
Paolo de Martin, SCOR: Capital Management in a Solvency II World & the Role of Reinsurance [Presentation] |
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11.30-12.30 |
An Chen: Pension security mechanisms and optimal supervisory rules. [Presentation] |
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12.30-13.30 |
Lunch |
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13.30-15.00 |
PARALLEL SESSIONS: |
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Rococo (IAALS Quantitative), Chair Svein-Arne Persson. |
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13.30-14.00 |
IAALS Kjersti Aas (& L.R. Neef, L. Williams, D. Raabe): Interest rate model comparisons for participating products under Solvency II. [Paper] [Presentation] |
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14.00-14.30 |
IAALS Peter Hieber (& A. Chen): Risk shifting and optimal asset allocation in life insurance: the impact of regulation. [Paper] [Presentation] |
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14.30-15.00 |
IAALS Ninna Reitzel Jensen and Kristian Juul Schomacker: A two-account life insurance model for scenario-based valuation including event risk. [Paper] [Presentation] |
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Speilen (PBSS/IAALS Longevity), Chair Mary Hardy. |
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13.30-14.00 |
PBSS Séverine Arnold (-Gaille) (& M.d.C. Boado-Penas, H. Godínez-Olivares): Longevity risk in notional defined contribution pension schemes: a solution. [Paper] [Presentation] |
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14.00-14.30 |
PBSS Takayuki Igawa: Exploring the diversification of some countries' longevity risk. [Paper] [Presentation] |
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14.30-15.00 |
IAALS Farid Flici: Mortality forecasting for the Algerian population with considering cohort effect. [Paper] [Presentation] |
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Gerhardsen (PBSS), Chair Erik Bølviken. |
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13.30-14.00 |
PBSS Pål Lillevold: Financial investment returns as a hedge for pension obligations linked to cumulative salary increases: an applied approach. [Paper] [Presentation] |
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14.00-14.30 |
PBSS Marcelo Abi-Ramia Caetano (& R.B. Miranda, A. Sachsida): Economies of scale and scope in Brazilian complementary pension funds: theory and evidence. [Paper] [Presentation] |
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14.30-15.00 |
PBSS John A. Turner (& T. Chen, G. Hughes): Longevity insurance annuities for public pension reform: international lessons. [Paper] [Presentation] |
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Hambro (IAALS Statistics), Chair Ragnar Norberg. |
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13.30-14.00 |
IAALS Souad Romdhane (& L. Belkacem): Frailty modeling for clustered survival data: a simulation study. [Paper] [Presentation] |
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14.00-14.30 |
IAALS Quentin Guibert (& F. Planchet): Non-parametric inference of transition probabilities based on Aalen-Johansen integral estimators for semi-competing risks data - Application to LTC insurance. [Paper] [Presentation] |
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14.30-15.00 |
IAALS: Benjamin Schannes (& G. Ominetti): Statistical Bayesian inference and prediction for the 2014 West African ebola outbreak modeled as a Galton-Watson branching process. [Paper] [Presentation] |
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15.00-15.30 |
Coffee |
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15.30-16.30 |
PARALLEL SESSIONS: |
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Rococo (PBSS/IAALS Reserves), Chair Andrew Cairns. |
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15.30-16.00 |
PBSS John A. Turner (& H. Godínez-Olivares, D.D. McCarthy, M.d.C. Boado Penas): Determining discount rates required to fund defined benefit plans. [Paper] [Presentation] |
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16.00-16.30 |
IAALS Jeppe Woetmann Nielsen (& K.S. Tågholt Gad): Reserves and cash flows under stochastic retirement. [Paper] [Presentation] |
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Speilen (IAALS Quantitative), Chair Ragnar Norberg. |
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15.30-16.00 |
IAALS Matthias A. Fahrenwaldt (& M.C. Christiansen): Dynamics of solvency risk in life insurance liabilities. [Paper] [Presentation] |
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16.00-16.30 |
IAALS Frédéric Vrins (& M. Jeanblanc): The Φ-martingale. [Paper] [Presentation] |
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Gerhardsen (PBSS), Chair Mary Hardy. |
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15.30-16.00 |
PBSS Tomohiro Kawagushi: 2016 expected reform of Japanese DC code and its implications for the future DC prevalence as contrasted to US 401K. [Paper] [Presentation] |
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16.00-16.30 |
PBSS María del Carmen Boado-Penas (& J. Xu): Using actuarial methodologies to analyse Chinese PAYG pension system. [Paper] [Presentation] |
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Hambro (PBSS Data Quality and Accounting), Chair M. Guillen. |
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15.30-16.00 |
PBSS Martin Lunnon: Data for social security valuations. [Paper] [Presentation] |
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16.00-16.30 |
PBSS Tomoyuki Kubo: The diversity of pension plans and their accounting liabilities. [Paper] [Presentation] |
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16:45-17:15 |
Annual general meetings: |
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Speilen AGM IAALS |
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Rococo AGM PBSS |
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17:30-19:00 |
Welcome Reception City Hall |
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Tuesday 9th June |
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08.30-10.30 |
PARALLEL SESSIONS: |
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Rococo (Hannover Re and Swiss Re), Chair Gunn Albertsen. |
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08.30-09.10 |
John Schoonbee, Swiss Re: "Next generation insurance" - insights into the behaviour and beliefs of the European consumer. [Presentation] |
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09.10-09.50 |
Chantal Cardinez, Hannover Re: Contingent finance for life insurance companies. [Presentation] |
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09.50-10.30 |
Cord-Roland Rinke, Hannover Re: Longevity risk transfer. [Presentation] |
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Speilen (PBSS Quantitative), Chair Montserrat Guillen. |
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08.30-09.00 |
PBSS Jennifer Alonso Garcia (& P. Devolder): Guarantee valuation in notional defined contribution pension systems. [Paper] [Presentation] |
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09.00-09.30 |
PBSS Youssouf A.F. Toukourou (& F. Dufresne): On integrated chance constraints in ALM for pension funds. [Paper] [Presentation] |
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09.30-10.00 |
PBSS Jonathan González-Salgado (& A. Hernández-Pacheco): Optimal asset allocation for defined benefit plans under a heavy-tailed-coupled portfolio. [Paper] [Presentation] |
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10.00-10.30 |
PBSS Humberto Godínez-Olivares (& M.d.C. Boado-Penas, S. Haberman) Pay-As-You-Go pension systems: automatic balancing mechanism based on nonlinear programming to restore the sustainability. [Paper] [Presentation] |
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Gerhardsen (IAALS), Chair Svein-Arne Persson. |
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08.30-09.00 |
IAALS Aurélien Couloumy: Aggregation criteria in the service of risk modeling. [Paper] [Presentation] |
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09.00-09.30 |
IAALS Voahirana Ranaivozanany (& C. Atchama, C. Laurans): Big Data process, machine learning and ERM approach to better monitor a group benefits portfolio. [Paper] [Presentation] |
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09.30-10.00 |
IAALS MingJie Hao (& P. Tapadar, G. Thomas): Loss coverage in insurance markets: why adverse selection is not always a bad thing. [Paper] [Presentation] |
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10.00-10.30 |
IAALS Anani Olympio (& J. Zozime, F. Ndoye): Approach to recalibrating undertaking-specific shocks parameters for the risks of incidence, recovery or non-recovery in health insurance within the framework of Solvency II. [Paper] [Presentation] |
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Hambro (IACA and Role of the actuary), Chair Florian Leger. |
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08.30-09.00 |
IACA Jeffrey D. Mamorsky: Plan fees and charges: current issues in the U.S. and managing transparency risks to avoid hidden fee litigations. [Paper] [Presentation] |
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09.00-09.30 |
IACA Gautam Kakar: Shareholder reporting in life insurance. [Paper] [Presentation] |
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09.30-10.00 |
IACA Catherine Love Soper: Social insurance issues in the Gulf. [Paper] [Presentation] |
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10.00-10.30 |
IAALS Stuart Wason: Actuarial function – Thriving on uncertainty. [Paper] [Presentation] |
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Julius Fritzner (PBSS), Chair Ragnar Norberg. |
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08.30-09.00 |
PBSS Seiichi Inagaki: The effect of the introduction of mandatory Category 3 contributions on the poverty rate for the elderly in Japan. [Paper] [Presentation] |
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09.00-09.30 |
PBSS Rodrigo Ibarra-Jarrín: The inclusion of homemakers and household labor in the Ecuadorian social security system. [Paper] [Presentation] |
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09.30-10.00 |
PBSS Takashi Kato: Struggling of Japanese corporate pension plan with the low interest environment. [Paper] [Presentation] |
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10.00-10.30 |
PBSS Luís Eduardo Afonso: Progressivity and distributive aspects of Brazil's social security system: an analysis using micro data from administrative records. [Paper] [Presentation] |
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10.30-11.00 |
Coffee |
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11.00-13.00 |
PARALLEL SESSIONS: |
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Rococo (PBSS), Chair Andrew Cairns. |
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11.00-11.30 |
PBSS Georgios Symeonidis: The Greek pension reform strategy 2010-2014. A leap forward. [Paper] [Presentation] |
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11.30-12.00 |
PBSS Douglas Andrews: What can we learn from population ratios? [Paper] [Presentation] |
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12.00-12.30 |
PBSS Pierre-Emmanuel Darpeix (& F. Borel-Mathurin, Q. Guibert, S. Loisel): Main determinants of profit sharing policy in the French life insurance industry. [Paper] [Presentation] |
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12.30-13.00 |
PBSS Raimond Maurer (& O.S. Mitchell, R. Rogalla, T. Schimetschek): Will they take the money and work? An empirical analysis of people's willingness to delay claiming social security benefits for a lump sum. [Paper] [Presentation] |
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Speilen (IAALS/PBSS Quantitative), Chair Ragnar Norberg. |
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11.00-11.30 |
IAALS Felix Hentschel: Optimal consumption and investment decisions under time-varying risk attitudes. [Paper] [Presentation] |
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11.30-12.00 |
IAALS Francesco Menoncin (& L. Regis): Longevity risk: do we really care? [Paper] [Presentation] |
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12.00-12.30 |
IAALS Maj-Britt Nordfang (& M. Steffensen): Optimality in mortgage design under uncertain life time. [Paper] [Presentation] |
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12.30-13.00 |
PBSS Anthony Asher and Gaurav Khemka (& A. Butt, U. Kajande): Formulating appropriate utility functions and personal financial plans. [Paper] [Presentation] |
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Gerhardsen (PBSS), Chair Mary Hardy. |
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11.00-11.30 |
PBSS Pradip Tapadar (& W. Yang): Role of the Pension Protection Fund in financial risk management of UK defined benefit pension sector: a multi-period economic capital study. [Paper] [Presentation] |
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11.30-12.00 |
PBSS Kenji Kusakabe: The employment situation of the elderly in Japan and a study on the role of corporate pension plan. [Paper] [Presentation] |
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12.00-12.30 |
PBSS Bård Støve (& S. Rødevand, H.M. Øvergaard, M. Sollie): The Norwegian disability pension system: actuarial challenges arising from new regulations. [Paper] [Presentation] |
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12.30-13.00 |
PBSS Ignacio del Barco Martínez: The role of the actuary with regards to extra-financial risks. [Paper] [Presentation] |
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Hambro (PBSS and 4 Prize-awarded young French actuaries), Chair Florian Leger. |
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11.00-11.30 |
PBSS Florent Gbongué (& F. Planchet, A. Oulidi): État des lieux des systèmes de retraite en Afrique Subsaharienne francophone. Slides in English: Retirement systems in Francophone sub Saharan Africa: current situation and perspectives. [Paper] [Presentation] |
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11.30-12.00 |
PBSS Nataliya Vezhnyaeva: Comment choisir la méthode de rémunération complémentaire la plus "efficace"? [Paper] [Presentation] |
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12.00-12.15 |
Thomas Lallement: Model risk. [Paper] [Presentation] |
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12.15-12.30 |
Thierry Aïdekon: Large loss pricing tool for non-working layers in casualty insurance. [Paper] [Presentation] |
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12.30-12.45 |
Maxence Saunier: Decisional optimality in life reinsurance modeling. [Paper] [Presentation] |
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12.45-13.00 |
Yassir Radi: Valuation of embedded options by closed formulas in the framework of an ORSA model. [Paper] [Presentation] |
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Julius Fritzner (PBSS), Chair Montserrat Guillen. |
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11.00-11.30 |
PBSS Luís Eduardo Afonso (& A.J. Zanella, J.V. de França Carvalho) What are the impacts of re-retirement? A study for the contribution time retirement of Brazilian national pension system. [Paper] [Presentation] |
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11.30-12.00 |
PBSS Yoshihiro Oyama: New Trend of severance and retirement benefits in Japan. [Paper] [Presentation] |
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12.00-12.30 |
PBSS Cinzia Di Palo (& Angrisani): Controlling a demographic wave in defined contribution pension systems. [Paper] [Presentation] |
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12.30-13.00 |
PBSS Massimo Angrisani (& G. Di Nella, C. Di Palo): The shift to Defined Contribution scheme. An Italian case. [Paper] [Presentation] |
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13.00-14.00 |
Lunch |
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14.30-17.30 |
Vigeland Park, Munch museum |
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19.00 |
Gala Dinner at Gamle Logen. Dress code: Business Attire. |
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Wednesday 10th June |
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08.30-10.30 |
PARALLEL SESSIONS: |
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Rococo (IAALS Quantitative), Chair Svein-Arne Persson.. |
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08.30-09.00 |
IAALS Kristian Buchardt: A step forward with Kolmogorov. [Paper] [Presentation] |
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09.00-09.30 |
IAALS Lars Frederik Brandt Henriksen (& M.C. Christiansen, K.J. Schomacker, M. Steffensen): Stress scenario generation for solvency and risk management. [Paper] [Presentation] |
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09.30-10.00 |
IAALS Héloise Labit Hardy (& S. Arnold (-Gaille), A. Boumezoued, N. El Karoui) Cause-of-death mortality: what can be learned from population dynamics? [Paper] [Presentation] |
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10.00-10.30 |
IAALS Andrew Cairns (& D. Blake, K. Dowd, M. Kallestrup-Lamb, C. Rosenskjold): Multi-population mortality modelling: A Danish case study. [Paper] [Presentation] |
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Speilen (PBSS/IAALS Miscellaneous), Chair Erik Bølviken. |
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08.30-09.00 |
PBSS Mary Hardy: Reviewing Target Benefit Pension Plans. [Paper] [Presentation] |
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09.00-09.30 |
IAALS Jan Hendrik Wirfs (& M. Eling): Modelling and Management of cyber risk. [Paper] [Presentation] |
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09.30-10.00 |
PBSS Pierre Devolder: Pension reform in Belgium: a new points system between DB and DC. [Paper] [Presentation] |
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10.00-10.30 |
IAALS Roger Austin and Stephen Makin (& M. Ashcroft, K. Barnes, D. MacDonald, S. Morgan, R. Taylor, P. Scolley): Expert judgement. [Paper] [Presentation] |
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10.30-11.00 |
Coffee |
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11.00-13.30 |
PLENARY SESSION: |
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Rococo (Invited speakers and Closing), Chair R. Norberg and Magne Nilsen |
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11.00-12.00 |
Antoon Pelsser: Pricing and hedging in incomplete markets with model ambiguity. [Presentation] |
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12.00-13.00 |
Mogens Steffensen: Aspects of controlling life event risk. [Presentation] |
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13.00-13.10 |
Best paper awards |
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13.10-13.25 |
Fred Rowley: The Future of The Actuarial Profession [Presentation] |
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13.25-13.30 |
Closing of conference |
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13.30-14.30 |
Lunch |
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Summary of submission turnout and program
The Scientific Committe received 74 submissions of synopses for contributed papers, of which 68 were accepted and invited to proceed to submission of full paper. After 11 withdrawals due to problems with funding and visas, the total number of contributed papers presented to the conference ended at 57, of which 22 were IAALS, 3 were IACA, and 32 were PBSS. In addition there were 4 invited talks, 2 talks by members of the Scientific Committee, 4 talks by young French actuaries, and 4 talks by sponsors.
Best Paper Awards
As previously announced in the Call for Papers, the IAALS and PBSS sections of IAA have granted prizes to the author(s) of the best paper in each of these two tracks. The prize-awarded papers, selected by the Scientific Committee of the Colloquium, were:
IAALS
MingJie Hao (& Pradip Tapadar & Guy Thomas), University of Kent: Loss coverage in insurance markets: why adverse selection is not always a bad thing.
PBSS
Youssouf A.F. Toukourou (& Francois Dufresne), HEC University of Lausanne: On integrated chance constraints in ALM for pension funds.
The Scientific Committe stated the following grounds for its judgment:
"The response to our Call for Paper was overwhelming and materialized in a high quality scientific program with 57 contributed papers addressing a great variety of actuarial issues in our time. The authors were 50% academics from actuarial, economics, and finance departments and 50% practitioners from a variety of walks of actuarial life, insurance companies, consultancies, and regulatory bodies. The papers addressed a wide range of topics: theoretical contributions to actuarial and financial mathematics, applications of established theory to actuarial problems, descriptions of insurance products and schemes, surveys , reports, and many others. To select the best paper in such a competitive and diverse mix of contributions is hard - almost like selecting the best athlete in the Olympic games across all disciplines. We decided to place emphasis on originality of ideas and promise of impact on actuarial thinking and research. The prize awarded IAALS paper illustrates, with basic theoretical tools and numerical examples, the workings of today's competitive insurance market in terms of adverse selection and loss coverage, thus invites debate on the very purpose of insurance in a wider perspective than just business objectives and solvency issues. The prize awarded PBSS paper takes a fresh approach to asset liability management of pension funds, using concepts and methods from linear programming, which is not widely known to and used by actuarial researchers."
