Il giorno 7 luglio il prof. Mike Sherris dell' Universita' del New South Wales di Sydney terra' un seminario su "Immunization and Hedging of Longevity Risk". Il seminario si svolgera' a partire dalle ore 17.30 in un'aula della MIB School of Management di Trieste, palazzo Ferdinandeo (largo caduti di Nasiriya 1).

Abstract
Pension funds and life insurers offering annuities hold long term liabilities linked to longevity. Risk management of life annuity portfolios aims to immunize or hedge both interest rate and mortality risks. Standard fixed interest duration-convexity hedging must be adapted to allow for both interest rate and longevity risk. We develop an immunization approach along with a delta-gamma based approach allowing for both risks incorporating models for mortality and interest rate risk. The immunization and hedge effectiveness of fixed interest coupon bonds, annuity bonds, as well as longevity bonds, is compared and assessed using simulations of portfolio surplus outcomes for an annuity portfolio. Fixed income annuity bonds can more effectively match cash flows and provide additional hedge effectiveness over coupon bonds. Longevity bonds, including deferred longevity bonds, reduce risk significantly compared to coupon and annuity bonds, reflecting the long duration of the typical life annuity and the exposure to longevity risk. Longevity bonds are shown to be effective in immunizing surplus over short and long horizons. Delta gamma hedging is shown to only be effective over short horizons.

Michael Sherrisis Professor of Actuarial Studies at the Australian School of Business, UNSW, in Sydney, Australia. He is a Chief Investigator in the ARC Centre of Excellence in Population Ageing Research (CEPAR) and Deputy Director of the Australian Institute for Population Ageing Research (AIPAR). He was 2009 President of the Asia Pacific Risk and Insurance Association. He has a long involvement as both a practitioner and in teaching and research in financial and insurance risk management and actuarial science. Michael has won a number of awards for his research including the IAA Bob Alting von Gesau AFIR Prize, Casualty Actuarial Society (CAS) annual prize for the most valuable contribution to casualty actuarial science published in American Risk and Insurance Association (ARIA) literature, the Geneva Association/IIS Research Program Shin Research Award For Excellence, the Redington Prize of the Society of Actuaries, and the H M Jackson Memorial Prize of The Institute of Actuaries of Australia. In 2007 he was awarded Actuary of the Year by the Institute of Actuaries of Australia in recognition of his contributions to actuarial research and education both internationally and within Australia. His current research interests' focus on insurer risk management, risk based capital and longevity risk modelling and management. He is currently a lead and chief investigator on research grants with funding in excess of $22 million from ARC Linkage, Industry, Universities and Government. Over the last 10 years he was an investigator on ARC Grants totalling over $2 million in ARC funding as well as an investigator in the ARC Financial Integrity Research Network with funding of $1.75 million over 5 years.

Prior to becoming an academic he worked in the banking and finance industry for a number of major banks and a life insurance company. He has been an active member of the Australian actuarial profession having served on the Council of the Institute of Actuaries of Australia.

Professor Sherris has provided consulting advice for a number of banks, life insurance companies and fund managers in the areas of interest rate risk management, derivatives, funds management, project finance, investment modelling and superannuation.