Longevity Risk (2nd edition)

Emma McWilliam, Matt Thomas, Howie Timothy

Emma McWilliam, Matt Thomas, Howie Timothy

Emma McWilliam leads Hymans Robertson’s life and financial services consulting business. She has more than 20 years’ industry experience and 15 years’ consulting experience,working in the UK, US, Australia, Singapore, Switzerland, Germany, the Netherlands, France and Belgium.Shehassigni cant experience in the area of longevity risk, having worked internationally advising insurers, reinsurers, investment banks and institutional investors. Her particular longevity risk expertise relates to advising on the acquisition of bulk business,establishment of pricing bases and risk management of annuities. She has reviewed portfolio transfers and undertaken strategic assignments for securitisation opportunities, and worked on the development of longevity bond and swap structures for transferring risk to the capital markets. Her work also includes advising on mergers and acquisitions, product development, risk and capital optimisation, investment/ALM and financial reporting for insurers. Emma is chair of the board for the Investment and Life Assurance Group (ILAG), and was formerly chair of ILAG’s financial reporting practitioner group. She regularly chairs and presents at industry conferences and has contributed to a number of publications. She is a fellow of the Institute and Faculty of Actuaries, a fellow of the Society of Actuaries and a member of the American Academy of Actuaries.Emma is a strong advocate for equality and diversity and is passionate about three things in life: work, family and friends!

Matt Thomas is a qualifed actuary and life consultant at Hymans Robertson, with a particular interest in longevity. Throughout his career he has worked with a number of different clients, from insurers, reinsurers, banks and pension schemes. He spends much of his time helping insurers and reinsurers with longevity matters ranging from independent analysis on longevity trends to provision of longevity pricing support. Most recently, Matt has been assisting his clients with their deferred pensioner propositions, delving into Club Vita’s non-pensioner data set and analysing member option behaviour and mortality experience. He also has experience in helping new entrants enter into the longevity risk transfer market. Prior to working as a life consultant, Matt worked as axxi LONGEVITY RISK pensions consultant, providing advice to trustees of defined-benefit pension schemes. In his spare time Matt is a keen runner, and enjoys snowboarding and surfing.

Howie Timothy is an actuary and a life and longevity consultant at Hymans Robertson in London. Coming from a diverse consulting background, he has worked with a wide range of pension sponsors and trustees, insurance companies and reinsurers. He is a fellow of the Institute and Faculty of Actuaries. Howie has particular expertise in longevity related matters, assisting insurers and reinsurers in gaining value and insight from large-scale longevity data sets and analytics.He has been involved in UK-based longevity transactions and has experience supporting new entrants to the bulk annuity market. Howie has more recently been exploring overseas longevity markets, and continues to support Hymans Robertson in the development and enhancement of its existing propositions.Howie took a somewhat unconventional pathway to becoming an actuary, beginning his working life in acoustic consultancy. Despite moving away from this industry, he remains passionate about music. In his free time he enjoys running, climbing and watching a good documentary or three

Foreword 

Baroness Sally Greengross

International Longevity Centre (ILC-UK) 

Introduction

Emma McWilliam, Howie Timothy, Matt Thomas

Hymans Robertson LLP

PART I SETTING THE SCENE 

1. Ageing Populations and Changing Demographics 

Nathalie Weiss, Mohamed Baccouche, Marine Habart

Groupe AXA

2. Determinants of Changes in Life Expectancy 

Nicola Oliver

Medical Intelligence (UK) Limited

3. Magnitude of the Longevity Issue 

Joseph Lu

Legal & General Market sources of longevity risk 

PART II MEASUREMENT OF LONGEVITY RISK 

4 Pricing Longevity Risk: Establishing the Base Mortality Level 

Steven Baxter Club

Vita LLP

5. An Introduction to Credibility Theory 

Robert Kairis

Lloyds Banking Group

6. Projecting Future Mortality 

Bridget Browne; Nicholas Owen

EY; PartnerRe

7. Modelling Longevity Risk under a One-Year VaR Framework 

John Kingdom

Aviva Group

PART III RISK MANAGEMENT 

8. Risk Transfer for Pension Schemes 

Michael Anderson; James Mullins

Canada Life; Hymans Robertson

9 De-Risking Insured Annuity Portfolios 

Philip Simpson

Milliman  

10 Hedging Longevity Risk through Reinsurance 

Gavin Jones, Steven Rimmer

Swiss Re

11 Commercial Aspects of Longevity Reinsurance 

Khurram Khan

Pension Insurance Corporation Introduction 

12 Extreme Mortality Risk as a Natural Hedge? 

Alison Martin; Nick Ketley; Gavin Jones

Zurich Insurance Group,AG; JRPGroup; Swiss Re

PART IV CAPITAL MARKETS AND WIDER CONSIDERATIONS 

13. Capital Markets and Longevity Risk Transfer 

Guy Coughlan; Pretty Sagoo

Universities Superannuation Scheme; Legal & General

14 Longevity Indices 

Paul Sweeting

Hassana Investment Company

15 Longevity Policy Committee 

Sacha Dhamani

Prudential plc

16. Legal Considerations and Challenges in Longevity Risk Transactions 

Jennifer Donohue

Keystone Law

PART V SPOTLIGHT ON INTERNATIONAL LONGEVITY MARKETS 

17. Pensions and Longevity in the US 

Amy R. Kessler; Karen P. Glenn, Stephen C. Goss

Prudential Financial, Inc. (PFI); US Social Security

18. Canadian Pensioner Longevity Risk 

Richard Brown; Brent Simmons

Eckler Ltd; Sun Life Financial

19 The Dutch Pensions and Longevity Insurance Market 

Ruud van Doorn; Chris Madsen

Legal & General;Aegon