2013 Symposium: Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk
April 25-26
About the Conference
The 2013 Pension Research Council Symposium at the Wharton School of the University of Pennsylvania explores critical problems raised by the “known unknowns” as well as the “unknown unknowns” confronting retirement systems seeking to deliver old-age security to growing numbers of older persons. The research presented is intended to inform policymakers, academics, actuaries, plan sponsors, and benefits specialists, about longevity risk, capital market risk, model risk, regulator risk, and products and policies needed to manage these more effectively around the world. This analysis has important implications for the ways in which pension designers, fiduciaries, and policymakers should develop the future framework for addressing risk and sustainability within retirement models.
This conference is co-hosted by P. Brett Hammond, Raimond Maurer, and Olivia S. Mitchell at The Wharton School.
Conference registrants: log in to download the papers that will be presented at the 2013 PRC Symposium.
Conference Agenda
Thursday, April 25, 2013
Introductory Remarks: Olivia S. Mitchell, The Wharton School
Session I: Capital Market Risk
- "Managing Capital Market Risk for Retirement"
Enrico Biffis and Robert Kosowski, Imperial College - "Implications for Long Term Investors of the Shifting Distribution of Capital Market Returns"
Jim Moore and Niels K. Pedersen, PIMCO - Discussant: Jonathan I. Grabel, Montgomery County Public Schools
Session II: Longevity Risk
- "Modelling and Management of Longevity Risk"
Andrew Cairns, Heriot-Watt University
- "Longevity Risk Management, Corporate Finance and Sustainable Pensions"
Guy Coughlan, Pacific Global Advisors - "Model Risk, Mortality Heterogeneity and Implications for Solvency and Tail Risk"
Mike Sherris and Qiming Zhou, University of New South Wales
- Discussant: Emily Kessler, Society of Actuaries
Keynote Speaker: James Vaupel, Max Planck Institute for Demographic Research
Session III: Regulatory and Political Risk
- "Extreme Risks, the Irreversibility of Time, and the Retirement Anomaly"
Tim Hodgson, Towers Watson - "Evolving Roles for Regulators in the Pension Arena"
Phil Davis, National Institute of Economic and Social Research - "Developments in European Pension Regulation - Risks and Challenges"
Stefan Lundbergh, Cardano, Ruben Laros, APG, and Laura Rebel, Cardano
- Discussant: Tim Maul, Wellington Management
Session IV: Implications for Plan Sponsors and the Financial Market
- "Risk Budgeting and Longevity Insurance: Strategies for Sustainable Defined Benefit Pension Funds"
Amy R. Kessler, Prudential Retirement - "The Funding Debate: Optimising Pension Risk within a Corporate Risk Budget and the Relative Merits of Using Available Cash for Pension Funding"
Geoff Bauer, Gordon Fletcher, Julien Halfon, and Stacy Scapino, Mercer - Discussant: William Clark, Federal Reserve Board Employee Benefits System
Keynote Speaker: J. Mark Iwry, U.S. Treasury Department
Session V: Model Risk
- "The Securitization of Longevity Risk and Its Implications for Retirement Security"
Richard MacMinn, Illinois State University, Patrick Brockett, University of Texas at Austin, Jennifer Wang, National Chengchi University, Yijia Lin, University of Nebraska, and Ruilin Tian, North Dakota State University - "Stress Testing Monte Carlo Assumptions"
Marlena Lee, Dimensional Fund Advisers
- Discussant: Guyle Wilson, Mercer
Session VI: Roundtable
Anna Rappaport, Anna Rappaport Consulting - Moderator
Kenneth Winston, Western Asset Management Company
Robert A. Wylie, South Dakota Retirement System
Peter Shena, Ontario Pension Board
Pension Research Council
The Wharton School of the University of Pennsylvania
3620 Locust Walk, 3000 Steinberg Hall–Dietrich Hall
Philadelphia, PA 19104-6302
Tel: 215.898.7620 | Fax: 215.573.3418 | prc@wharton.upenn.edu
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