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The Swiss Risk and Insurance Forum - Old-age provision: past, present, future
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16 - 17 Nov 2015 Location: Rüschlikon/ Zurich, Switzerland About the event Click here to access a summary of this conference's main topics. 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 Please refer to the separate registration/accommodation tab accommodation 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
University of Zurich With its 26,000 enrolled students, the University of Zurich (UZH) is Switzerland's largest university. Founded in the year 1833, UZH was Europe's first university to be established by a democratic political system; today, UZH is one of the foremost universities in the German-speaking world. Made up of seven faculties covering some 100 different subject areas, the University offers a wide variety of Bachelor's, Master's and PhD programs. In addition, UZH's continuing education programs offer excellent learning opportunities. The Center for Finance and Insurance was established in 2013 with the objective to advance research in the application of Finance Theory to insurance companies and to foster education in that area. The center is financed with third party funds and is associated to the Department of Finance and Banking. The SNF supports since June 2012 an ongoing research collaboration between Swiss Re and the Center for Finance and Insurance for the project "Capital adequacy, valuation, and portfolio selection for insurance companies". Links
University of Zurich Center for Finance and Insurance Show more
École Polytechnique Fédérale de Lausanne EPFL is Europe’s most cosmopolitan technical university with students, professors and staff from over 120 nations. A dynamic environment, open to Switzerland and the world, EPFL is centered on its three missions: teaching, research and technology transfer. EPFL works together with an extensive network of partners including other universities and institutes of technology, developing and emerging countries, secondary schools and colleges, industry and economy, political circles and the general public, to bring about real impact for society. Swiss Finance Institute @ EPFL The Swiss Finance Institute @ EPFL has been created to foster research in finance and to develop a strong offering of programs in finance and financial engineering at the Ecole Polytechnique Fédérale de Lausanne. The focus is on the areas within finance that have a natural interaction with mathematics, statistics, engineering, and science, namely, mathematical finance, financial econometrics, and entrepreneurial finance. Swissquote Chair in Quantitative Finance The Swissquote Chair in Quantitative Finance is dedicated to advancing research, teaching and knowledge transfer in the field of quantitative finance. It aspires to enhance knowledge and understanding of financial engineering between the academic community, the financial industry and policy makers. Housed at the Swiss Finance Institute @ EPFL, the Swissquote Chair in Quantitative Finance plays an important role in creating a leading research and teaching initiative in financial engineering at EPFL. Links
École Polytechnique Fédérale de Lausanne Swiss Finance Institute @ EPFL Swissquote Chair in Quantitative Finance Show more
ETH Zurich ETH Zurich is one of the leading international universities for technology and the natural sciences. It is well known for ist excellent education, groundbreaking fundamental research and for its close contacts to industry. Founded in 1855, it offers an inspiring study, research and working environment to students and faculty alike. ETH Zurich has more than 18,500 students from over 110 countries, including 4,000 doctoral students. About 500 professors currently teach and conduct research in engineering, architecture, mathematics, the natural sciences, system-oriented sciences, and management and the social sciences. ETH Zurich regularly appears at the top of international rankings as one of the best universities in the world. Twenty-one Nobel Laureates have studied, taught or conducted research at ETH Zurich, further underlining its excellent academic reputation. ETH Risk Center The conference is supported through the ETH Risk Centre. The ETH Risk Center, founded by the Swiss Federal Institute of Technology Zurich (ETHZ) in mid-2011, fosters both top-down initiatives and bottom-up collaborative research projects linked with R&D. It also serves as an interface between academia, industry and civil (or governmental) authorities. Its research output should help society and industry to better manage risk portfolios and to design novel solution for collaborative risk reduction, and resilience-enhancing schemes. Overcoming fragmented research as a guiding principle allows to better cope with the systemic nature of risk and to shape the evolving concepts of "Integrated Risk Management" and "Resilience". RiskLab We focus on precompetitive, applied research in the general area of quantitative risk management for finance and insurance. The laboratory, founded in 1994 as a virtual research cooperation between academia, industry and regulatory agencies, is part of the Department of Mathematics and is physically located in the main building of the ETH Zurich.The research carried out at RiskLab combines academic, methodological research with a strong input from and interaction with industry partners. Besides its professorial and administrative staff, RiskLab has several postdoctoral as well as Ph.D. positions. Additional researchers and guests are often appointed to RiskLab on the basis of specific research projects, often between industry and academia. Key areas of research include Insurance Mathematics, Quantitative Risk Management and The Modelling of Extremal Events for Insurance and Finance. Links
ETH Zurich RiskLab ETH Risk Center Show more
UNIL - Université de Lausanne The Department of Actuarial Science (DSA) brings together various research activities in insurance, including theories of risk and credibility, pension systems, stochastic models in insurance, and mathematical instruments for finance. The department publishes scientific papers and maintains numerous contacts with both the academic and professional areas of insurance." Links
UNIL Le Département de Sciences Actuarielles (DSA)
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Swiss Re The Swiss Re Group is a leading wholesale provider of reinsurance, insurance and other insurance-based forms of risk transfer. Dealing direct and working through brokers, its global client base consists of insurance companies, mid-to-large-sized corporations and public sector clients. From standard products to tailor-made coverage across all lines of business, Swiss Re deploys its capital strength, expertise and innovation power to enable the risk taking upon which enterprise and progress in society depend. Links
Swiss Re Show more
Zurich Insurance Group Ltd. Zurich Insurance Group (Zurich) is a leading multi-line insurer that serves its customers in global and local markets. With more than 55,000 employees, it provides a wide range of general insurance and life insurance products and services. Zurich’s customers include individuals, small businesses, and mid-sized and large companies, including multinational corporations, in more than 170 countries. The Group is headquartered in Zurich, Switzerland, where it was founded in 1872. The holding company, Zurich Insurance Group Ltd (ZURN), is listed on the SIX Swiss Exchange and has a level I American Depositary Receipt (ZURVY) program, which is traded over-the-counter on OTCQX. Links
Zurich Insurance Group Ltd. Show more
Gallery Photos by Fredi Lienhardt
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Participants
Last name Aellig Albrecher Antolin Babbel Binswanger Bommier Bütler Cairns Camara Dacorogna Embrechts Filipovic Furrer Germann Gersbach Giger Harrison Janssen Junker Keller Koch Koijen Lane Lindberg Loisel Lutz Mimra Moeller Pennanen Post Raaflaub
First name Mathias Hansjörg Pablo David Klemens Antoine Monika Andrew Leopoldo Michel Paul Damir Hansjörg Hansjörg Hans Peter Glenn Martin Lukas Philipp Pablo Ralph Morton Carl Stephane Wolfgang Wanda Thomas Teemu Thomas Patrick
Schmutz
Michael
Schreckenberg Steffensen Vanini Wagner Wilson
Stephan Mogens Paolo Joël Thomas
About the event Agenda
Company Swiss Life University of Lausanne Organisation for Economic Co-operation and Development (OECD) Wharton School Swiss Re ETHZ University of St. Gallen Heriot-Watt University Swiss Re SCOR ETHZ EPFL Swiss Financial Market Supervisory Authority (FINMA) Zurich Insurance Group ETHZ FINMA Georgia State University Ecofin and University of Zurich Zurich Insurance Group Deloitte University of Zurich London Business School (to be confirmed) Lane Financial LLC Chalmers University of Technology Université Lyon 1 Vienna Institute of Demography ETHZ PFA and University of Copenhagen King's College London Maastricht University Swiss Re Swiss Financial Market Supervisory Authority (FINMA) and University of Bern Swiss Re University of Copenhagen Zürcher Kantonalbank University of Lausanne Allianz
Modules General information Partners Gallery Participants