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The IFID Centre organizes a conference every year which takes place at our host institution; currently the Fields Institute for Research in Mathematical Science. Each conference has a unique annual theme but is generally devoted to the topic of "personal wealth management".


Our inaugural annual conference took place at the Fields Institute in the Fall of 2001, with a roster of high-level keynote speakers including Professor Richard Roll (UCLA), Professor Zvi Bodie (Boston U) as well as Professor Laurence Kotlikoff (Boston U). Indeed, we launched with a big bang.


Since then our annual conference has included keynote presentations and seminars from world renowned scholars like Professor Terrance Odean (UC, Berkeley), Professor Jim Porterba (MIT), Professor Chester Spatt (CMU), Professor William Reichenstein (Baylor U), Professor Phelim Boyle (U of Waterloo), Professor Jeffrey Brown (UIUC), Professor Ragnar Norberg (LSE), Professor Stanley Pliska (U of Illinois), Professor Roger Ibbotson (Yale), Professor Eitan Sheshinski (Princeton U), Professor Virginia Young (U of Michigan), and Professor Steven Haberman (City U) among others.


In addition, to balance the scholarly and theory oriented presentations, the annual conference features presentations from well-regarded practitioners in the financial services industry. During our first ten years of events, conference participants heard from: Dr. Peng Chen, Dr. Sid Browne, Dr. Paul Kaplan, Dr. Robert Reitano, John O'Brien, Arthur Fliegelman, Harry Marmer and Malcolm Hamilton.


These events and conferences are open to graduate students, researchers, practitioners and the public at large for a small nominal fee. Alas, the bulk of the expenses and costs associated with our annual conference is absorbed directly by The IFID Centre and implicitly supported by the sponsors and contributors, some of which have sponsored specific events linked to their interests and lines of business.



2015 Annual IFID Centre Conference

Thursday, November 26, 2015 -- 9:00am - 12:15pm (schedule)

Fields Institute, 222 College St., Toronto, ON, M5T 3J1

Room: Stewart Library, 3rd Floor

Registration is limited. To reserve a seat, please send an email request to Alexa Brand at: abrand@ifid.ca


Confirmed Speakers:

Runhuan Feng (University of Illinois at Urbana-Champaign)

The other side of the table: insurer's modeling of variable annuity guaranteed benefits

Abstract: Most current actuarial literature focus on the pricing of variable annuity guaranteed benefits from an investor's point of view based on modern option pricing theory. We intend to investigate the pricing and risk management of guaranteed benefits from an insurer's perspective and the computational challenges of financial reporting models.

As more regulatory reporting requirements for equity-linked insurance move towards dependence on stochastic approaches, insurance companies are experiencing increasing difficulty with detailed forecasting and more accurate risk assessment based on Monte Carlo simulations. We shall use a basic variable annuity death benefit as a model example to decipher common mathematical structures of US statutory financial reporting and propose analytical and numerical methods to develop more efficient computation algorithms.

This talk combines joint work with Drs Huaxiong Huang and Yasutaka Shimizu.


Jamie Golombek (CIBC Wealth Advisory Services)

Optimizing Registered Plan Contributions: Is there a right answer anyway?

Abstract: Canadian investors have many tax-efficient vehicles in which to save for a variety of purposes: RRSPs/RRIFs for retirement, RESPs for kids’ post-secondary education, RDSPs for persons with disabilities and corporate investing for small business owners and incorporated professionals. But which is optimal for an individual with limited funds? Are there rules of thumb that should be followed? Do those rules change if the investor is also carrying debt, such as a mortgage?


Huaxiong Huang (Dept of Math & Statistics, York University)

Tax-Efficient Withdrawals, Longevity Risk Aversion and Required Minimum Distributions

Abstract: Most OECD countries impose Required Minimum Distributions (RMDs) on tax-sheltered savings accounts. Some (for example the U.S.) are more lenient than others (for example Canada) in terms of the RMD percentage at retirement. Globally and across ages, these numbers range from as low as zero to as high as 50% of the tax-sheltered account value.

In this paper we derive the optimal minimum distribution (OMD) from a tax-sheltered account in a Yaari (1965) lifecycle model with no bequest motive, and compare with the RMD. Our focus is on the impact of longevity risk aversion and a progressive marginal tax rate (MTR) schedule on the joint withdrawal-consumption problem.

We show that although it is optimal to fully deplete taxable accounts before taping tax-sheltered accounts when the MTR is constant, this is not the case under a progressive tax scheme. Depending on the parameters, both accounts might be tapped before the RMD age, possibly at the same time. Generally speaking, we find U.S.-based RMDs are non-binding at advanced ages and under many plausible account-size values, especially for low and medium levels of longevity risk aversion. In that sense, the widespread objection and strict adherence to RMDs might be more behavioral than rational.

This is joint work with Moshe Milevsky.


Amin Mawani (Schulich, York University)

Tax Efficient Investing

Abstract: Many investments, including REITs, distribute a significant component of their annual return in the form of return of capital rather than the conventional return on capital. The former is tax favoured since it reduces the adjusted cost base of the investment and therefore not taxed until the unit is sold, and then taxed only at capital gains tax rate. The latter is taxed at regular income tax rates at the time that it is received. Such returns of capital are distributed from tax shields (usually from new acquisitions) that generate cash flows but not income.

This study examines whether investments that offer higher proportion of tax-favoured return ofcapital bear an implicit tax in the form of lower pre-tax return (after controlling for risk)? Or do investments that offer higher proportion of tax-favoured return of capital generate higher returns because they signal growth prospects via capital investments that generate tax shields? The results suggest that after controlling for risk, pretax returns over a one-year holding period are not statistically associated with the tax characteristics of the distributions. Hence the decision to hold REITs or similar investments inside or outside tax sheltered plans for a one-year horizon does not seem to depend on the proportion of distribution that is made up of tax-favoured return of capital or tax-disfavoured return on capital. The decision over longer investment horizons is likely to be different.




2014 Annual IFID Centre Conference

Theme: Financial and Actuarial Implications of Very Old Age
November 27th, 2014 -- 8:55am - 12:00pm

Fields Institute, 222 College St., 2nd Floor, Toronto, Ontario



Leonid A. Gavrilov (NORC at the University of Chicago)

Determinants of survival to very old age: Role of familial and life course factors


Natalia S. Gavrilova (NORC at the University of Chicago)

Mortality trajectories at very old ages: Actuarial implications


George Graziani (SVP Head Longevity North America, Swiss Re)

Longevity risk- key trends, issues, and opportunities


Les Mayhew (Cass Business School)

On the decomposition of life expectancy and limits to life and some implications for pensions

Presented by: David Promislow (York University)



2013 Annual IFID Centre Conference

Theme: Alternative Annuity Designs
November 28th, 2013 -- 8:55am - 12:30pm

Fields Institute, 222 College St., 2nd Floor, Toronto, Ontario



Jorge Miguel Bravo (University of Évora & Nova University of Lisbon)

Sharing longevity risk in life annuity contracts


Catherine Donnelly (Heriot-Watt University, Edinburgh, U.K.)

The future is not guaranteed: lesser-known relatives of the life annuity


Don Ezra (Principal, Don Ezra Consulting Services)

The Ideal Retirement Annuity: A Personal Perspective


Michael J. Sabin (Independent Consultant, Sunnyvale, CA)

Fair Tontine Annuity



2013 Mini Conference
June 14th, 2013, Half-day: 9:00am-12:00pm

Fields Institute, 222 College St, 2nd Floor, Toronto, Ontario



Thomas Post (Maastricht University)

What Makes Investors Optimistic, What Makes Them Afraid?


Moshe Milevsky (York University)

Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693



2012 Annual IFID Centre Conference

Theme: Withdrawing Money from your Nest Egg

Fields Institute, Toronto, Ontario
November 22nd, 2012


Wade D. Pfau

Director, Macroeconomic Policy Program

Associate Professor, Economics, National Graduate Institute for Policy Studies (GRIPS)

An efficient frontier for retirement income


Anthony Webb

Economist, Center for Retirement Research, Boston College

Should households base asset decumulation strategies on required minimum distribution tables?


Marie-Eve Lachance

Associate Professor, Finance, San Diego State University

Roth versus traditional accounts in a life-cycle model with tax risk


Thomas Salisbury

Professor, Mathematics and Statistics, York University

Optimizing variable annuity income (Optimal Initiation of a GLWB in a Variable Annuity: No Arbitrage Approach)


2011 Annual IFID Centre Conference: Annuity Day

Toronto, Ontario
November 24th, 2011

Mark Kamstra
Schulich School of Business, York University

'The Annuity Duration Puzzle'

Raimond Maurer
Finance Department, Goethe University Frankfurt

'Optimal Purchase of Life and Longevity Risk Insurance Products for Retired Couples'

Alessandro Previtero
Richard Ivey Business School, University of Western Ontario

'Stock Market Returns and Annuitization. A Case of Myopic Extrapolation'

Gabriele Stabile
Methods and Models for Economics, Territory and Finance (MEMOTEF), University of Rome
'Pension Planning and Investments under Transaction Costs'

2010 Annual IFID Centre Conference: Models for Lifecycle Finance, Insurance & Economics (LIFE)
Keynote Presentation by Professor Menachem Yaari
Toronto, Ontario
October 28th, 2010

Please click here for audio and slides of conference lectures

Please click here for further information regarding the conference

Please click here for information regarding the student paper competition

2009 Annual IFID Centre Conference: Retirement Income Analytics
Toronto, Ontario
November 25th, 2009

Please click here for audio and slides of conference lectures

Please click here for further information regarding the conference

Please click here for information regarding the student paper competition

IFID Centre/Ibbotson Associates Conference on Guaranteed Living Income Benefit (GLiB) Insurance Products
Chicago, Illinois
November 11, 2008

     Please click here to browse and download our past lectures listed below.

Moshe A. Milevsky; "Who Buys Guaranteed Living Income Benefits (GLiBs) and Why?"

John O Brien; "The Retirement Investing Challenge"

David F. Babbel; "Un-Supermodels and the EIA"

William Reichenstein; "Withdrawal Strategies to Make Your Nest Egg Last Longer "

Peng Chen; "Retirement Income Planning: A New Efficient Frontier and Outcome Based Investment Strategies"

IFID/MITACS Conference on Financial Engineering for Actuarial Mathematics
Toronto, Ontario
November 9th & 10th, 2008

     Please click here to browse and download our past lectures listed below.

Erhan Bayraktar; "Proving the Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control "

Sid Browne; "Active portfolio management: investment goals and portfolio constraints (or how to invest, if you must)"

Steven Haberman; "The Lee-Carter Mortality Model for Mortality Dynamics: Recent Devlopments "

Sheldon Lin; "Pricing Perpetual Catastrophe Put Options and Related Issues "

Michael Ludkovski; "Optimal Risk Sharing under Distorted Probabilities "

Manuel Morales; "On a New Generalization of the Expected Discounted Penalty Function"

Ragnar Norberg; "Management of Financial and Demographic Risk in Life Insurance and Pensions "  

Annamaria Olivieri; "Developing a Stochastic Mortality Model for Internal Assessments " 

Shige Peng; "On Risk Measure via Gaussian Distributions under Model Uncertainty" 

Gordon Willmot; "Generalized penalty functions in dependent Sparre Andersen models "   

4th Annual IFID Centre Conference
May 31st, 2005

     Please feel free to browse and download our past lectures listed below.

Jeffrey Brown; "The New Retirement Challenge"

Phelim Boyle; "Variable Annuity Guarantees"

William Reichenstein; "Non-qualified Guarantees in After-tax Optimizations"

Chester Spatt; Discussion of "Non-qualified Guarantees in After-tax Optimizations"

Lowell Aronoff; "An Exchange for the Canadian and US Payout Annuity Markets"

Garth Bernard; "Successful Product Innovation: Taking Concepts to Market"

Paul Kaplan; "Asset Allocation with Annuities for Retirement Income Management"                

3rd Annual IFID Centre Conference
April 28, 2004

Please feel free to browse and download our past lectures listed below.

Roger Ibbotson,  Lifetime Advice: Asset Allocation, Life Insurance & Payout Annuities

Harry Marmer, "Lessons from Capital Market History"

Laurence Booth, "Retirement Models"

Malcolm Hamilton, "The Risks and Returns for DB & DC Pension Plans"

Kristen Moore, "Optimal Asset Allocation and Ruin-Minimization Annuitization Strategies:
            The Fixed Consumption Case"

Ashraf Al Zaman ,"Asset Location and Allocation with Multiple Risky Assets"

Francesco Menoncin, "Mortality Risk and Real Optimal Asset Allocation for Pension Funds"

Raimond Maurer, "Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of    
            Life Annuities versus Phased Withdrawal Plans"

Susan Thorp, "Annuitization and Asset Allocation with HARA Utility"

Chester Spatt, "Diversification and Capital Gains Taxes with Multiple Risky Assets"

Alexander Melnikov, "Hedging Methodologies in Equity-Linked Life Insurance"