Thursday 23rd

Session 4: Life, Health, and Pension Insurance (Chair, Mogens Steffensen).

 Time

Subject

08:30 – 09:10

Invited Lecture: Torsten Kleinow

Mortality Scenarios based on Cause-of-Death Modelling

09:10 – 09:30

X. Yu, Y. Shen, J. Ziveyi, K. Park, M. Sherris

Modelling Joint Life Functional Disability and Mortality and Joint Insurance Pricing

09:30 – 09:50

M. Bladt, B. F. Nielsen, P. F. H. Olsen

Matrix representation for prices of life-contingent derivatives

09:50 – 10:10

Y. Shen, M. Sherris, Y. Wang, J. Ziveyi

The valuation and assessment of retirement income products: A unified Markov Chain Monte Carlo framework

10:10 – 11:00

Break

11:00 – 11:20

P. C. Hornung, M. Steffensen

Investigating trade-offs in the design of smooth pension products

11:20 – 11:40

A. G. Balter, M. Kallestrup-Lamb, M. D. Plovst

Systematic longevity risk: The willingness to pay

11:40 – 12:00

K. Park, M. Sherris

Design and Pricing of Private Long-term Care Insurance: An Australian Analysis

12:00 – 12:20

J. A. Landono, J. B. Soe

Optimal consumption, investment, and life insurance including state dependence by risk-adjusted utility

12:20 – 12:40

W. Li, T. Moenig, M. Augustyniak

Basis Risk in Variable Annuity Separate Accounts

12:40 – 13:00

J. P. Dehn-Toftehoj, D. Kusch-Falden, M. Steffensen

Calibration of risk aversion to real pension asset allocation

13:10 – 13:40

Open Meeting of the Scientific Committee