Abstract

4:15 Mr James Lloyd Head of Policy & Research, International Longevity Centre – UK Asset Accumulation, Decumulation and Transfer The last decade has been a period of enormous change in patterns of life course asset accumulation characterized, in particular, by rising property wealth, increased mortgage debt and inheritance transfers. Research from the ILC -UK explores these trends, as well as related trends in household income and pension saving.

5.15 pm Dr Elena Medova Centre for Financial Research, Judge Business School, University of Cambridge Individual Asset Liability Management Set against backdrop of the global pension crisis we consider the concept of individual household lifetime lifestyle planning and formulate a model of a household forward plan using dynamic stochastic optimization techniques. These include market and life event simulation of very long future scenarios of random lengths, scenario tree structures, automated major rebalance point placement over the planning horizon, risk measures relative to lifestyle goals and computational solution techniques. The concepts are illustrated by production software developed for US and UK households.

6.30 pm Drinks (Room W2.01)