Main Conference Day 1: Tuesday, 27 April 2010

11.30 Guest Address: Distributed Computing And The Future Of Climate Modeling: Lifting The Lid On The World’s Largest Climate Forecasting Experiment

• Examining the success of climateprediction.net in enlisting the combined computing power of over 48,000 global users
• A closer look at the experiments themselves, and the climate models they’re based upon
• Uncovering the results of the experiments: What does climateprediction.net indicate about the future effects of climate change, and what are the implications for insurance-linked securities?

Dr Myles Allen
Head of Climate Dynamics Group
University of Oxford

11.30 Pension Fund Investment Strategies: Institutional Best Practices for Gaining Exposure to the Longevity Asset Class

• Institutional Best Practices for Gaining Exposure to the Longevity Asset Class
• Identifying the most significant risks of investing in longevity from an institutional viewpoint
• Comparing physical and synthetic approaches to longevity investments
• Considerations on making the selection between providers, LE providers, and other investment partners
• Understanding how smart policy selection can make life settlements an LDI-suitable asset class

12.15 Cat Bond Case Study: Lakeside Re II Examining The Developments That Would Make ILS Instruments Even More Attractive From A Sponsor’s Point Of View

• Understanding the time required to bring a transaction to market
• Examining the frictional costs of a transaction
• Issues surrounding trigger structures
• Exploring the need for improved secondary market liquidity
• The move towards increased transparency about market participants
• Can we expect changes to the perils which will be accepted by investors?

Reto Koller
Head of Reinsurance Recoveries
Zurich

12.15German Secondary Life Policies: Examining The Risk-Return Profile For Institutional Investors

• The dynamics of the German Secondary Policy Market
• Risk-return profile, liquidity and ethical aspects
• Yield enhancement through transparent product concepts

Frank Alexander de Boer
CEO
cash.life AG

14.15 Constructing The Perfect Portfolio: Investor Perspectives On The Most Effective ILS Diversification Strategies

• Diversifying by peril, geography, and investment date
• Identifying the most effective diversification combinations for conservative, moderate, and high levels of risk tolerance
• Fund manager perspectives on new collateral arrangements: Expressing a preference between treasuries, floating KfW notes, and triparty repo

14.15 Portfolio Construction Techniques: Considerations On The Most Effective Strategies For Sourcing, Managing, And Blending A Portfolio Of Longevity Risks

• Determining whether to invest synthetically or through the cash market
• Evaluating the importance of sourcing clean collateral, and establishing the clearest indicators that your collateral is clean
• Diversification within the longevity mix: Identifiying the most effective combinations of impairment types, LEs, and policy values
• Understanding the most effective strategies for “blending” life settlements into a portfolio of alternative investments

15.45 Parametric Cat Bonds: Basis Risk And Model Uncertainty For Issuers And Investors

• Basis risk for issuers:
• Introducing an analytical framework to evaluate the basis risk of parametric cat bonds
• Quantifying the basis risk reduction benefit achieved by using sophisticated optimisation algorithms
• Identifying critical aspects of basis risk that can be potentially overlooked by issuers and their advisors

• Model uncertainty for investors:
• Quantifying the level of model uncertainty associated with parametric bonds
• Outlining an analytical process to systematically differentiate and quantify the model uncertainty for different types of parameter triggers

Lixin Zeng
Portfolio Manager
Alpha Cat Fund

16.30 Is “On-Shore” The New Destination For European ILS Funds?

• Understanding the desire for greater regulatory robustness following the Madoff scandal
• Identifying the most popular new destinations for European ILS funds
• Quantifying the trade-off for fund managers in terms of restricted investment strategies and “two-week” liquidity
• Understanding how the choice of location affects decisions relating to the structure of the fund

Luca Albertini
CEO
Leadenhall Capital Partners

16.30 Strategies For Policy Valuation And Managing The Changes In Life Expectancy Estimates

• Comparing LE estimates: To what extent are differences between the major LE providers converging or diverging?
• Monetising LE differences: Determining what different LE values mean for portfolio values
• Strategies for building LE uncertainty into the policy valuation process
• Considerations on whether investors should have more or less confidence in current portfolio values

Edward Hui
Chief Underwriting Officer
Caldwell Life Strategies