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. 2013 Mini Conference June 14th, 2013, Half-day: 9:00am-12:00pm Fields Institute, 222 College St, 2nd Floor, Toronto, Ontario Please note: There is limited space available; pre-registration and confirmation of registration is required. To reserve a seat, please send your request (along with your name, mailing and email address) to Alexa Brand at: abrand@ifid.ca Speakers: Thomas Post (Maastricht University) What Makes Investors Optimistic, What Makes Them Afraid? Abstract: Optimism and fear are central determinants of individual investors' trading and risk-taking behavior, but what makes investors optimistic or afraid? Using a unique combination of brokerage records and matching monthly survey measurements, we examine how investors update their optimism (return expectations) and fear (risk tolerance and risk perceptions) in response to individual return and risk experiences. Past returns positively impact return expectations and risk tolerance, and negatively impact risk perceptions. Realized risk, however, does not impact optimism and fear. Investors' lack of awareness of realized risk is related to the complexity of standard risk measures, sophistication, and the salience of return signals. Moshe Milevsky (York University) Retirement Tontines that Maximize Utility: With Reference to Annuities in England in 1693 Abstract: On November 4th, 1692, during the fourth year of the reign of King William III and Queen Mary II, British Parliament passed the so-called Million Act, which was an attempt to raise “ten hundred thousand pounds towards carrying on the war against France.” The Million Act specified that prior to May 1st, 1693, “any British native or foreigner” could purchase a “life annuity with group survivorship benefits” from the exchequer for £100 and thus gain entry into the first government-sanctioned British tontine scheme. For £100 an investor could select any nominee of any age on whose life the tontine would be contingent. Tontine dividend payments would be distributed to the investor as long as his nominee was still alive. This was a simpler structure compared to the original tontine scheme envisioned by Lorenzo de Tonti in the year 1653, which involved multiple share classes and different dividend rates. In the 1693 tontine each share of £100 would entitle the investor to an annual dividend of £10 (paid semi-annually) for seven years until June 1700, after which the annual dividends would be reduced to £7 per share. Moreover, to further entice investors to participate in the tontine scheme, the act included a unique sweetener. It stipulated that if the entire £1,000,000 target wasn’t subscribed by May 1693, the tontine participants who enrolled during the six-month subscription period would be granted the option of converting their £100 tontine shares into a life annuity paying £14 per year, which would be distributed as a conventional life annuity with no group survivorship benefits. The choice between a tontine share and a life annuity is rather intriguing for anyone with an interest in finance, economics, insurance or actuarial science and cries out for further analysis. Indeed, the million pound target wasn’t met by May 1693 and over 65% of the initial subscribers exercised converted to life annuities, while 35% remained in the tontine scheme. I will present evidence on who stayed in the tontine scheme, postulate on why they might have, and discuss whether they would have been better off converting to the life annuity – all within the framework of financial economics. Technically speaking, I will take the opportunity to derive the mathematical properties of the “ideal tontine” payout structure, but one that doesn’t expose the administrator and sponsor to longevity risk. In particular I will derive and solve the Euler Lagrange equation for the utility-maximizing tontine payout structure and examine its sensitivity to (i.) the size of the tontine pool, (ii.) individual longevity risk aversion, (iii.) subjective health status and (iv.) then compare utility to life annuities with loading factors. All this has implications for (new) product design in the retirement income space, which I will discuss as well. 2013 Annual IFID Centre Conference November 28th, 2013 Fields Institute, Toronto, Ontario 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 " FIXED & VARIABLE ANNUITIES: A DO-IT-YOURSELF PENSION PLAN? 4th Annual IFID Centre Conference May 31^st, 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" ASSET ALLOCATION AND MORTALITY 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"