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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) amongst 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.



2014 Annual IFID Centre Conference

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

Updated Schedule, click here

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


Note: Only pre-registered applicants will be admitted. The conference is free of charge (compliments of the IFID Centre at the Fields Institute) but is currently full. To have your name added to the waitlist, please contact the office manager, Alexa Brand (abrand@ifid.ca).


The 13th annual conference organized by the IFID Centre will take place at the Fields Institute on the morning of Thursday, November 27th. The theme of this year’s conference will be Financial and Actuarial Implications of Very Old Age, with four scheduled presentations. The keynote presentations will be given by Professors L.A. Gavrilov and N.S. Gavrilova (authors of the classic book: "The Biology of Life Span") from the University of Chicago, in which they will discuss their most recent research on the modeling of mortality at advanced ages. The keynote will be followed by two presentations on the implications of this research for the pricing of longevity insurance and financial decision making at very advanced ages.


Confirmed Speakers:

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

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

Leonid A. Gavrilov and Natalia S. Gavrilova

Abstract: Knowledge of predictors for survival to very old age is important for actuarial science and practice. Earlier studies found that parental characteristics as well as early-life conditions and midlife environment play a significant role in survival to very old ages. However, little is known about the simultaneous effects of these three types of factors on longevity. Our study attempts to fill this gap by comparing centenarians born in the United States in 1890-91 with peers born in the same years who lived 65 years, which is close to median lifespan in this birth cohort. The records for centenarians and controls were taken from computerized family histories, which were then linked to 1900 and 1930 U.S. censuses. As a result of this linkage procedure, 765 records of confirmed centenarians and 783 records of controls were obtained. Analysis with multivariate logistic regression found that parental longevity and some midlife characteristics proved to be significant predictors of longevity while the role of childhood conditions was less important. More centenarians were born in the second half of the year compared to controls, suggesting early origins of longevity. We found the existence of both general and gender-specific predictors of human longevity. General predictors common for men and women are paternal and maternal longevity. Gender-specific predictors of male longevity are the farmer occupation at age 40, Northeastern region of birth in the United States and birth in the second half of year. A gender-specific predictor of female longevity is surprisingly the availability of radio in the household according to the 1930 U.S. census.

Why centenarians are different from their shorter-lived siblings is another question explored using family-linked data. Months of birth of 1,574 validated centenarians born in the United States in 1880-1895 were compared to the same information obtained for 10,885 shorter-lived siblings and 1,083 spouses. This within-family analysis found that months of birth have significant long-lasting effects on survival to age 100; adult siblings born in September-November have higher odds of becoming centenarians compared to siblings born in March. Similar effects were observed for spouses of centenarians. This study also explored the effects of parental age at a person's birth on chances of survival to age 100. We found significant beneficial effects of a young maternal age at a person's birth on survival to age 100 with particularly strong positive influence at a maternal age of 20-24 years. The effect of a young mother was particularly prominent in smaller families, which is pertinent today because of the smaller average family size in contemporary population. These findings support the idea of early-life programming of human aging and longevity. The results of this study suggest that familial background, early-life conditions and midlife characteristics play an important role in longevity. This study was supported by National Institutes of Health (NIH) grant R01 AG028620.

Recommended reading:

Gavrilov L.A., Gavrilova N.S. Determinants of exceptional human longevity: new ideas and findings. Vienna Yearbook of Population Research, 2013, 11: 295-323

Gavrilov L.A., Gavrilova N.S. Biodemography of exceptional longevity: Early-life and mid-life predictors of human longevity. Biodemography and Social Biology, 2012, 58(1):14-39.

Gavrilov L.A., Gavrilova N.S. Season of Birth and Exceptional Longevity: Comparative Study of American Centenarians, Their Siblings, and Spouses. Journal of Aging Research, 2011, Article ID 104616, 11 pages, doi:10.4061/2011/104616.

Gavrilov L.A., Gavrilova N.S. Predictors of Exceptional Longevity: Effects of Early-Life Childhood Conditions, Mid-Life Environment and Parental Characteristics. In 2014 Living to 100 Monograph. The Society of Actuaries, 2014, 18 pages.


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

Mortality trajectories at very old ages: Actuarial implications

Natalia S. Gavrilova, Leonid A. Gavrilov

Abstract: The growing number of persons living beyond age 80 underscores the need for accurate measurement of mortality at advanced ages and understanding the old-age mortality trajectories. It is believed that exponential growth of mortality with age (Gompertz law) is followed by a period of deceleration, with slower rates of mortality increase at older ages. This pattern of mortality deceleration is traditionally described by the logistic (Kannisto) model, which is considered as an alternative to the Gompertz model.

We compared the performance (goodness-of-fit) of two competing models - the Gompertz model and the logistic (Kannisto) model using mortality data after age 80 for over 40 U.S. extinct birth cohorts from two different sources the Social Security Administration Death Master File, as well as the Human Mortality Database. For all studied birth cohorts, the Gompertz model fits mortality data better than the 'mortality deceleration' Kannisto model (according to the Akaike information criterion as the goodness-of-fit measure).

We also applied an alternative approach for studying mortality patterns at very old ages by calculating the age-specific rate of mortality change (Life Table Aging Rate or LAR) after age 80. If mortality decelerates at older ages then the LAR values should decline with age rather than to remain unchanged as in the case of Gompertz law. The LAR approach was applied to age-specific death rates for Canada, France, Sweden and the United States available in the Human Mortality Database. We found that for all studied 24 single-year birth cohorts LAR does not change significantly with age in the age interval 80-100 years suggesting the validity of Gompertz law. Simulation study demonstrated that the apparent decline of LAR after age 80 found in earlier studies may be related to biased estimates of mortality rates measured in too wide 5-year age interval.

Thus, the two different approaches to the analysis of mortality trajectories do not support the concept of mortality deceleration at very old ages. An apparent mortality deceleration at older ages may be caused by inappropriate choice of hazard rate estimates. This study was supported in part by National Institutes of Health grant R01 AG028620.

Recommended reading:

Gavrilov L.A., Gavrilova N.S. Mortality measurement at advanced ages: A study of the Social Security Administration Death Master File. North American Actuarial Journal, 2011, 15(3): 432-447.

Gavrilova N.S., Gavrilov L.A. Biodemography of Old-Age Mortality in Humans and Rodents. Journal of Gerontology: Biological Sciences, 2014, DOI: 10.1093/gerona/glu009 (online, ahead of print).

Gavrilov LA, Gavrilova NS, Stone CA, Zissu A. New findings on older people's life expectancies confirm Gompertz law: the impact on the value of securitized life settlements. Journal of Structured Finance 2014; Vol. 20, No. 2, Summer Issue.

Gavrilova N.S., Gavrilov L.A. Mortality Trajectories at Extreme Old Ages: A Comparative Study of Different Data Sources on U.S. Old-Age Mortality. In: 2014 Living to 100 Monograph. The Society of Actuaries, 2014, 23 pages.


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

Longevity risk- key trends, issues, and opportunities

Abstract: Mr Graziani, SVP Head Longevity North America, Swiss Re, will discuss longevity from a business perspective. A discussion of the supply demand dynamics in the longevity market serves as a backdrop for thoughts around how the market is expected to continue to develop. Topics explored include key trends in mortality improvement, their financial impact, model musings, and practical solutions available in the market.


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)

Abstract: Life expectancy is a measure of how long people are expected to live and is widely used as a measure of human development. Variations in the measure reflect not only the process of ageing but also the impacts of such events as epidemics, wars, and economic recessions. Since 1950 the influence of these events in the most developed countries has waned and life expectancy continues to lengthen unabated. As a result it has become more difficult to forecast long-run trends accurately, or identify possible upper limits. This paper will present new methods for comparing past improvements in life expectancy from any start age and also future prospects, using data from five developed, low-mortality, countries. We consider life expectancy in ten-year age intervals rather than over the remaining lifetime, and show how natural limits to life expectancy can be used to extrapolate trends. The results show that future increases in life expectancy are like to come as a result of more people that would have died in their 60s living to their 70s and more people in their 70s living into their 80s and so on. The results also show that the growth in the number centenarians will lag considerably behind even in the Japanese population. We discuss the implications and compare our approach with other commonly used methods and some of the potential impacts on pensions. With the recent UK Governments announcement that pensions savings no longer have to be annuitized by a certain age the way is open for new approaches to decide when an if to annuitize at some point. The paper will give brief summary of the problem and suggest a simple way of addressing it.


Mayhew, L. and D. Smith. 2013. Human survival at older ages and the implications for longevity bond pricing. North American Actuarial Journal 15(2):248-265.

Mayhew, L. and D. Smith. 2013. A new method of projecting populations based on trends in life expectancy and survival, Population Studies 67(2):157–170.

Mayhew, L. and D. Smith. 2014. Gender convergence in human survival and the postponement of death, North American Actuarial Journal 18(1):194–216.

Mayhew, L. and D. Smith, 2015. On the decomposition of life expectancy and limits to life. Forthcoming, Population Studies.





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"