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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.



2013 Annual IFID Centre Conference

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

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


Note: The conference is free of charge (compliments of the IFID Centre at the Fields Institute) but is currently over capacity. To request a spot on the wait list, please contact the office manager, Alexa Brand (abrand@ifid.ca).


The 12th annual conference organized by the IFID Centre will take place at the Fields Institute on the morning of Thursday, November 28th. The theme of this year’s conference will be ALTERNATIVE ANNUITY DESIGNS: How should we engineer the next generation of retirement income products so that they are appealing to retirees but also share risk equitably with insurance companies?



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

Sharing longevity risk in life annuity contracts

Abstract: In this talk we develop a conceptual framework for the payout phase in which annuity providers and policyholders share longevity and investment risks in a flexible way. To be more precise, we develop a participating life annuity product in which systematic longevity risk, i.e., the risk associated with systematic deviations from mortality rates extracted from prospective life tables is shared between annuitants and annuity providers. This will address some of the main demand and supply constraints in annuity markets, namely the inexistence of appropriate life tables, the perception of unfair pricing, the consideration of bequest motives, adverse selection problems or the lack of financial instruments to hedge against longevity risk. Contrary to traditional Group self-annuitization (GSA) strategies, in which surviving policyholders bear both systematic and unsystematic longevity risk, we devise a contract in which, in exchange for premium, annuitants will bear part of longevity risk.


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

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

Abstract: Life annuities give a guaranteed income, and hence financial security, for life. Yet many people do not buy them, for reasons that may include their apparent high cost and irreversible nature. This means that relatively few people gain from one of the primary benefits of life annuities - the pooling of mortality risk. Is there another solution?

We examine a family of alternatives to the life annuity, called "pooled annuity funds". Surviving participants in the pooled annuity funds have a higher income than they would have managing their finances alone. The reason is due to the pooling of mortality risk. Unlike a life annuity contract, pooled annuity funds can allow participants to have complete investment freedom and they do not have to be irreversible.

A pooled annuity fund offers no financial guarantees: this has positive and negative implications for individuals. We discuss the advantages and disadvantages of pooled annuity funds, and analyze the number of people required to pool adequately the mortality risk.

The presentation is based on joint work with Montserrat Guillen of University of Barcelona, Spain, and Jens Perch Nielsen, Cass Business School, London, U.K.


Don Ezra (Principal, Don Ezra Consulting Services)

The Ideal Retirement Annuity: A Personal Perspective


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

Fair Tontine Annuity

Abstract: A tontine is an arrangement in which a group of members contribute money to a pool, and each time a member dies, his or her contribution is divided among surviving members. Tontines have existed since the 1600's but fell out of favor in modern times as insurer-provided annuities became available.

In this talk we revisit the tontine and show how to make it actuarially fair across a diverse group of members of varying ages and contribution amounts. This is accomplished by distributing a dying member's contribution in unequal amounts according to a plan that provides each member with a fair bet. The fairness property turns out to solve a handful of problems with the tontine, both theoretical and practical. The resulting fair tontine is a versatile block on which legitimate financial products can be built.

One such product is a fair tontine annuity (FTA), where the member makes a one-time contribution and receives payments on a fixed schedule (e.g., monthly) that last for his lifetime. Each payment is a random amount whose expected value is constant over the member's lifetime. The FTA offers a higher expected payout than an insurer-provided annuity because no profit is being extracted. It imposes no risk on the provider and thus can be offered by vendors other than insurers, such as mutual fund houses, retail brokers, etc.





Arrival & Registration at the Fields Institute


Opening Remarks: IFID Centre Director, Prof. Moshe A. Milevsky (York University)

      Fields Institute Director, Prof. Walter Craig (McMaster University)


General Keynote Remarks by Don Ezra (Russell Investments)

“The Ideal Retirement Annuity: A Personal Perspective”


Prof. Catherine Donnelly (Heriot-Watt University)

"The Future is not Guaranteed: Lesser-known Relatives of the Life Annuity"


Discussion led by Narat Charupat (McMaster University)


20-Minute Coffee Break


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

"Sharing Longevity Risk in Life Annuity Contracts"


Discussion led by Prof. David Promislow (York University)


Presentation by Michael J. Sabin (Independent Consultant)

"Designing a Fair Tontine Annuity"


Discussion led by Prof. Thomas Salisbury (York University)


Conclusion, Take-aways & Closing Remarks by Prof. Moshe A. Milevsky (York U)


Buffet Lunch at Fields Institute





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"