April 25-26, 2013
About the Conference
The 2013 Pension Research Council Symposium at the Wharton School of the University of Pennsylvania explored 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 informed 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 was co-hosted by P. Brett Hammond, Raimond Maurer, and Olivia S. Mitchell at The Wharton School.
Conference videos may be found here.
Conference Agenda
Thursday, April 25, 2013
Introductory Remarks: Olivia S. Mitchell, The Wharton School
Session I: Capital Market Risk
- Enrico Biffis and Robert Kosowski, Imperial College: “Managing Capital Market Risk for Retirement” (presentation slides available here, paper available here)
- Jim Moore and Niels K. Pedersen, PIMCO: “Implications for Long Term Investors of the Shifting Distribution of Capital Market Returns” (presentation slides available here, paper available here)
Discussant: Jonathan I. Grabel, Montgomery County Public Schools (video available here, presentation slides available here)
Session II: Longevity Risk
- Andrew Cairns, Heriot-Watt University: “Modelling and Management of Longevity Risk” (presentation slides available here, paper available here)
- Guy Coughlan, Pacific Global Advisors: “Longevity Risk Management, Corporate Finance and Sustainable Pensions” (presentation slides available here, paper available here)
- Mike Sherris and Qiming Zhou, University of New South Wales: “Model Risk, Mortality Heterogeneity and Implications for Solvency and Tail Risk” (presentation slides available here, paper available here)
Discussant: Emily Kessler, Society of Actuaries (video available here, presentation slides available here)
Keynote Speaker: James Vaupel, Max Planck Institute for Demographic Research
Session III: Regulatory and Political Risk
- Tim Hodgson, Towers Watson: “Extreme Risks, the Irreversibility of Time, and the Retirement Anomaly” (presentation slides available here, paper available here)
- Phil Davis, National Institute of Economic and Social Research: “Evolving Roles for Regulators in the Pension Arena” (presentation slides available here, paper available here)
- Stefan Lundbergh, Cardano, Ruben Laros, APG, and Laura Rebel, Cardano: “Developments in European Pension Regulation – Risks and Challenges” (presentation slides available here, paper available here)
Discussant: Tim Maul, Wellington Management (video available here, presentation slides available here)
Session IV: Implications for Plan Sponsors and the Financial Market
- Amy R. Kessler, Prudential Retirement: “Risk Budgeting and Longevity Insurance: Strategies for Sustainable Defined Benefit Pension Funds” (presentation slides available here, paper available here)
- Geoff Bauer, Gordon Fletcher, Julien Halfon, and Stacy Scapino, Mercer: “The Funding Debate: Optimising Pension Risk within a Corporate Risk Budget and the Relative Merits of Using Available Cash for Pension Funding” (presentation slides available here)
Discussant: William Clark, Federal Reserve Board Employee Benefits System (video available here, presentation slides available here)
Keynote Speaker: J. Mark Iwry, U.S. Treasury Department
Session V: Model Risk
- 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: “The Securitization of Longevity Risk and Its Implications for Retirement Security” (presentation slides available here, paper available here)
- Marlena Lee, Dimensional Fund Advisers: “Stress Testing Monte Carlo Assumptions” (paper available here)
Discussant: Guyle Wilson, Mercer (video available here, presentation slides available here)
Session VI: Roundtable “Synthesis & Takeaways”
Anna Rappaport, Anna Rappaport Consulting – Moderator
Kenneth Winston, Western Asset Management Company
Robert A. Wylie, South Dakota Retirement System
Peter Shena, Ontario Pension Board