The Swiss Risk and Insurance Forum - Old-age provision: past, present, future

16 - 17 Nov 2015

Location: Rüschlikon/ Zurich, Switzerland

About the event

The Swiss Risk and Insurance Forum brings together experts from academia, the insurance industry, regulatory bodies and consulting companies to discuss (typically technical) topics that are relevant to the insurance industry. The main objective is to provide a platform on which people from academia can interact with those involved on the more practical side of the insurance industry. This will facilitate the knowledge transfer in both directions helping enrich the research agendas of the academic institutions and enabling those dealing with practical matters to partake in the newest academic developments.

The Steering Board of the Swiss Risk and Insurance Forum consists of H. Albrecher (University of Lausanne), P. Embrechts (ETH Zurich), D. Filipovic (EPFL Lausanne), and P. Koch-Medina (University of Zurich).

About this years event
One of the most serious challenges for society today is the financing of retirees. Demographic trends and the changed reality in financial markets have rendered traditional models for securing the financial situation of retired people inadequate. In advanced economies, the baby boom generation is starting to reach retirement age and the ratio of the number of people of working age to the number of retirees is continuously decreasing. In addition to all sorts of issues for health and social care, this trend clearly poses a serious challenge for pay-as-you-go systems. Several measures are in the process of being adopted ranging from the raising of retirement age to a greater reliance on private pension plans. An aggravating factor has been a prolonged period of low interest rates and the financial crisis which amongst its many dire consequences ended up significantly depleting the value of pension funds’ assets.

Against this backdrop it is important that academic research devotes sufficient efforts to help develop a sustainable solution to this critical problem for society. Potential contributions certainly include a thorough understanding of demographic trends in order to have a solid basis for projecting the expected future financial burden. But it is also crucial to understand how to design, price, and manage the risk of new products and mechanisms for retirement plans. Inherently linked to this is the question of how to hedge since most financial instruments have maturities that are considerably shorter than that of the liabilities that need to be backed. The long term nature of liabilities also implies that model risk should be a key concern.
The aim of this forum is to generate practical and methodological impulses for new quantitative, financial and actuarial approaches to old-age provision.

Participation is by invitation.

H.J. Albrecher, University of Lausanne; P. Embrechts, ETH Zurich; D. Filipovic, EPFL Lausanne; P. Koch-Medina, University of Zurich; J. Wagner, University of Lausanne; S. Schreckenberg, Swiss Re

Agenda

(Preliminary agenda)

16 November 2015

-12.00

Arrival, registration

12:00-13:00

Lunch

13:00-13:15

Welcome and introduction

13:15-14:45

Module 1: Retirement provision systems

14:45-15:15

Coffee break

15:15-16:45

Module 2: Demographic and societal changes

16:45-17:15

Coffee break

17:15-18:15

Working sessions for modules 1&2

18:15-18:45

Break, hotel check-in, free time

18:45-19:15

Aperitif

19:15-21:30

Dinner

 

17 November 2015

08:30-10:00

Module 3: Risk management: valuation and solvency

10:00-10:30

Coffee break

10:30-12.00

Module 4: Role of financial markets

12:00-13:00

Lunch

13:00-14:00

Working sessions for modules 3&4

14:00-14:30

Coffee break

14:30-16:00

Wrap-up session


This event may be broadcasted live, photographed, filmed and /or recorded. A summary of the event, pictures and/or a video of the event in which you may appear may be posted and made available on Swiss Re’s and the Swiss Re Centre for Global Dialogue’s internal and external websites and in printed materials.

Modules

Module 1: Retirement provision systems

Systems comparison and alternative systems

  • Comparison of different systems: structural point of view
  • Focus countries: Switzerland, Denmark, Sweden, Norway (govt. pension fund), Netherlands, France, etc.
  • What are critical elements?
  • What consideration would be “best practice”?           

Macroeconomics of economic policy, risk management and insurance

  • Historical context  and development, difficulty to implement structural reforms
  • Capital-based provision vs. other forms (e.g. pillars I, II, III of current Swiss system), public vs. private systems
  • Regulatory uncertainty (reforms, political processes, uncertain outcomes), setting of parameters by politics (conversion rates, retirement age), legal issues (transfer of vested benefits, use of funds for home ownership)
  • Reforms of Swiss old-age provision system “Altersvorsorge 2020”: Review and discussion of political agenda, recommendations to policy makers.          
  • The customer perspective on life insurance and pension systems
  • Understanding the needs for life/pension insurance, policyholder behavior (lapses and surrenders)
  • Traditional life insurance business sustainable or outdated? (reforms, profit participation, guarantees, options)
  • New forms of life insurance (e.g. variable annuities, segregated funds, equity indexed-annuities, unit-linked contracts)
  • Customers prefer access to capital rather than annuities (“annuity puzzle”)            

Module 2: Demographic and societal changes

Demographic development

  • mortality, longevity, birth rates
  • Life expectancy and model risk
  • What have we learnt over the past 10 years?            

Actuarial considerations on demographic changes

  • State of the art
  • Is the traditional cohort based mortality table outdated?
  • Granularity of mortality models
  • Causality-based approaches (death case studies)        

Impact of societal changes on old-age provision

  • Individualism and mobility (family models, job changes)
  • Workplace models (higher retirement age, work incentives, flexible work models)
  • Disability issues, especially in higher ages
  • Long term care: are additional products needed?
  • Income protection gap
  • Cross-generational pooling and diversification: contract design issues, defined benefit triggers (incl. automatic procedures)
  • Redistribution of wealth from older to younger generations             

Module 3: Risk management: valuation and solvency

Measuring risk and performance

  • Combine long-term objectives with short-term return and risk constraints (objective function, adequate risk measure)
  • Portfolio optimization (under real economic/regulatory constraints)            

Valuation and estimation issues

  • Market-consistency under real economic constraints
  • Model risk and cash flow projections           

Solvency regulation in old-age provisions

  • State of the art: risk-based, market consistent rules, lessons learned
  • Pricing and reserves in a solvency environment (Solvency II, Swiss Solvency Test, other)
  • Adequate level of reserves for (long term) oriented pension schemes
  • Do Solvency II and SST give appropriate guidelines and incentives to achieve the goal of sustainable long-term old age provisioning?
  • Experience and outlook: Way forward to “Solvency III”          

Module 4: Role of financial markets

Sustainability of a capital-based system given the current economic environment

  • Ultra-low/negative interest rates, deflation/inflation scenarios, markets volatility, cost pressure
  • Debt overhang of EUR states
  • International economics, investment in rising economies (interest rate and FX risk)            

Asset and liability management:  long term perspective

  • What is possible/realistic? What can quantitative models contribute?
  • Hedging strategies: aggregation of hedgeable and non-hedgeable risks           

Transfer of risks to capital markets

  • Feasibility of securitization of longevity risk
  • Longevity indices, longevity swap transactions
  • Basis risk and pricing         

General information

Conference

The Swiss Risk and Insurance Forum - Old-age provision: past, present, future

Date

16 - 17 November 2015

Venue

Swiss Re Centre for Global Dialogue
Gheistrasse 37
8803 Rüschlikon
Switzerland
Telephone +41 43 285 8100

Target audience

Experts from academia, the insurance industry, regulatory bodies and consulting companies

Registration

Please refer to the separate registration/accommodation tab

Participation

Participation by invitation only

Dress code

Business casual

Conference fee

There is no fee to attend the conference

Travel

Participants are responsible for making their own travel arrangements. Airport transfers will be the responsibility of the participants.

Click here for travel directions to the Centre.

Hotel accommodation

Please refer to the separate registration/accommodation tab

Meals and refreshments

Dinner will be served on 16 November 2015 and lunch on 16 and 17 November 2015.
Coffee and refreshments will be served over the two days.

Special meal requirements

If you have a special meal or dietary requirement, please note it on the registration form.

Cancellation

For cancellation, please contact Sabina Fahrni.

Conference organisation

Swiss Re Centre for Global Dialogue
Sabina Fahrni
Gheistrasse 37
8803 Rüschlikon
Switzerland
Telephone +41 43 285 8852
Fax +41 43 282 8852
Sabina Fahrni

Disclaimer

This event may be photographed, videotaped, filmed and /or recorded. A summary of the event, pictures and/or a video of the event in which you may appear may be posted and made available on Swiss Re’s and the Swiss Re Centre for Global Dialogue’s internal and external websites and in printed materials.

Antitrust statement

We would like to draw your attention to the fact that Swiss Re conducts its business according to applicable Competition and Antitrust Laws. Please bear this in mind while attending the conference. For more details, please contact the organiser.

Partners

Gallery

Photos by Fredi Lienhardt

Participants

Last name First name  Company
Aellig Mathias  Swiss Life
Albrecher Hansjörg  University of Lausanne
Antolin Pablo  Organisation for Economic Co-operation and Development (OECD)
Babbel David  Wharton School
Binswanger Klemens  Swiss Re
Bommier Antoine  ETHZ
Bütler Monika  University of St. Gallen
Cairns Andrew  Heriot-Watt University
Camara Leopoldo  Swiss Re
Dacorogna Michel  SCOR
Embrechts Paul  ETHZ
Filipovic Damir  EPFL
Furrer Hansjörg  Swiss Financial Market Supervisory Authority (FINMA)
Germann Hansjörg  Zurich Insurance Group
Gersbach Hans  ETHZ
Giger Peter FINMA
Harrison Glenn  Georgia State University
Janssen Martin  Ecofin and University of Zurich
Junker Lukas  Zurich Insurance Group
Keller Philipp  Deloitte
Koch Pablo  University of Zurich
Koijen Ralph  London Business School (to be confirmed)
Lane Morton  Lane Financial LLC
Lindberg Carl  Chalmers University of Technology
Loisel Stephane  Université Lyon 1
Lutz Wolfgang  Vienna Institute of Demography
Mimra Wanda  ETHZ
Moeller Thomas  PFA and University of Copenhagen
Pennanen Teemu  King's College London
Post Thomas  Maastricht University
Raaflaub Patrick  Swiss Re
Schmutz Michael  Swiss Financial Market Supervisory Authority (FINMA) and University of Bern
Schreckenberg Stephan  Swiss Re
Steffensen Mogens  University of Copenhagen
Vanini Paolo  Zürcher Kantonalbank
Wagner Joël  University of Lausanne
Wilson Thomas  Allianz