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Waterloo International Workshop on the Implications of Aging on Asset ValuesExport this event to calendar

Wednesday, June 22, 2016 — 8:00 AM to Friday, June 24, 2016 — 6:00 PM EDT


This conference will bring together scholars from a variety of fields to discuss the impact that aging populations will have on asset values. As populations in Canada and other countries continue to age, debate has been mounting regarding the impact the changing population distribution may have on economic growth, asset values, inflation, funding of social programs, taxation, and the social contract. This workshop will lead to the development of better methods to quantify the impact of population aging on asset values. We invite you to explore this and other questions with us at the Waterloo International Workshop on the Implications of Aging on Asset Values. By bringing together established and emerging economists, mathematicians, demographers, and actuaries, we hope to:

  • Provide information on the implications of population aging on asset values and on quantitative methods currently in use for modeling and quantifying such implications, and
  • Create an opportunity to network with other researchers with similar interests that will help to advance the research regarding the modeling of asset returns

Through our line-up of international keynote speakers, workshops, and networking events over the course of the workshop, we will help to facilitate the sharing and collaboration of ideas across disciplines and between experienced and emerging researchers.

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Accommodations and Travel

Waterloo is serviced by the Waterloo Regional Airport (YKF) with flights from the US and Canada arriving daily from across Canada and the United States. Transportation from the airport to Kitchener-Waterloo is available via taxi or car rental. The University of Waterloo is also only an hour's drive from Toronto Pearson International Airport (YYZ), with regular flights arriving from many international destinations. Transportation from Pearson International to Waterloo is available via car rental, public transit, or via airport shuttle.

We have reserved a block of suites at the Delta Hotel Waterloo for our guests requiring overnight amenities. Attendees need to make their booking at the Delta Waterloo by May 23rd, 2016 to take advantage of the group rate of $172/night, with parking also available at $5/day. The Delta Waterloo is located in the Uptown Waterloo shopping and entertainment district, and is directly adjacent to Waterloo Park, the city’s largest green space. Amenities are also available at the Courtyard Marriott, Holiday Inn, and Hilton Suites, all located in the historic St. Jacob's township, located 20 minutes north of Waterloo.

For attendees that are driving, day parking is available on campus from $5 per day. Waterloo Parking Services has more information on rates and locations. The closest visitor parking lots to the event (which will be held in the DC and M3 buildings) are lots M, N, Q, W, and X.

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Event Dates: 22 - 24 June, 2016

Wednesday 22 June

Computational Modeling of Demographics and Asset Prices Workshop


Meeting of project team (participants from Universities of Kent, McMaster, and Waterloo)

Room: M3 4206

14:00 - 17:00

Workshop with invited researchers and project team

Room: M3 3127

14:00 - 14:30

Overview of project and current research

Room: M3 3127

14:30 - 15:30

Introduction of invited researchers and their research

Room: M3 3127

15:30 - 16:00

Networking break

Room: M3 3127

16:00 - 17:00

Presentation by Richard Cook, University of Waterloo: Concepts, frameworks, and methods for causal interference 

Room: M3 3127

Thursday 23 June

Keynote Presentations

8:30 - 8:45

Welcome and Opening Remarks

Room: DC 1302

8:45 - 10:00

Professor Kiyohiko Nishimura -  Three Seismic Shifts in the Global Economy and Future Property Market Movement 

Room: DC 1302

10:00 - 10:30

30 minute break

Room: DC 1301

10:30 - 11:45

Professor Marcel Merette - The OLG Modeling Approach to Aging and Asset Values (see abstract below)

Room: DC 1302

11:45 - 13:45

Lunch Break - Unfortunately lunch will not be provided for all attending guests. Please refer to the Waterloo Food Services Website for lunch options or visit the nearby University Shops Plaza.

Room: N/A

12:00 - 14:00

Special Luncheon with Guest Speaker Jean-Claude Ménard "Living to 100“: Would Canada Pension Plan be sustainable?

Room: DC 1301

13:45 - 15:00

Dr. Nikolay Gospodinov – Econometric Analysis of Low-Frequency Co-Movements

Room: DC 1302

15:00 - 15:15

15 minute break

Room: DC 1301

15:15 - 16:30

Professor João Cocco - Longevity risk, retirement, and home ownership 

Room: DC 1302

16:30 - 16:45

Closing Remarks

Room: DC 1302

17:00 - 18:00


Room: M3 Atrium

Friday 24 June


Meeting of the review group (representatives from Society of Actuaries (US), Institute and Faculty of Actuaries (UK), and Canadian Institute of Actuaries) plus project team

Room: M3 4206


Meeting of project team (participants from Universities of Kent, McMaster, and Waterloo)

Room: M3 4206

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KiyohikoKiyohiko Nishimura

Kiyohiko G. Nishimura is Professor of Economics at the Graduate School of Economics at the University of Tokyo. Before returning to academia, he was Deputy Governor of the Bank of Japan for five years until March 19, 2013, one of the most turbulent periods in the history of the world economy and central banking. He has been particularly influential in the debates over macro-prudential policies, especially in pointing out the critical importance of demographic factors on property bubbles and financial crises. His work and speeches on demography and economic policy have been cited widely and policy makers around the world have increasingly been recognizing the urgency of the problem.

Marcel MeretteMarcel Merette

Marcel Mérette holds a Ph.D. in Economics from the Université de Montréal and was a post-doctorate fellow at Yale University. He started his career at the Department of Finance of Canada before joining the Department of Economics of the University of Ottawa in 1999. His main research consists of developing simulation models called “computable general equilibrium models” with overlapping generations structures. He has used this analytical tool on topics ranging from international trade and population aging. Having held a few administrative positions at the Department of Economics, he became Vice-Dean of Research at the Faculty of Social Sciences from 2005 to 2010. He was also Acting Vice-Dean of Graduate Studies when he was nominated Dean of the Faculty of Social Sciences in February 2010.

Nikolay GospodinovNikolay Gospodinov

Nikolay Gospodinov is a financial economist and policy adviser in the research department at the Federal Reserve Bank of Atlanta. His research interests include asset pricing, financial econometrics, commodity price dynamics, time series models, and forecasting. Before joining the Atlanta Fed in 2013, Dr. Gospodinov was a professor, associate professor, and assistant professor in the Department of Economics at Concordia University (Montreal, Canada) from 2000 to 2013. He was also a visiting professor in the Desautels Faculty of Management at McGill University from 2006 to 2007, and in the economics department at the University of Montreal in 2011. Dr. Gospodinov has published research in a variety of peer-reviewed journals, including the Review of Economics and Statistics, Journal of Econometrics, and Journal of Business and Economic Statistics. He is also coauthor of the book Methods for Estimation and Inference in Modern Econometrics with Stanislav Anatolyev.

Joao CoccoJoão Cocco

João F. Cocco is Professor of Finance at London Business School, a Research Fellow of the Centre for Economic Policy Research and a fellow of the Center for Financial Studies. He holds a Ph. D. degree in economics from Harvard University. João has carried out research on a wide range of topics, including asset allocation, banking, corporate governance, real estate finance, and pensions. His research has appeared in top finance and economics journals including the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Quarterly Journal of Economics, Journal of Monetary Economics, among others. His work has also been featured in leading newspapers and magazines, including: The Financial Times, The Times, Actuary, and Pensions Week, among others. João is an accomplished teacher, who has won a number of teaching awards. He currently teaches Corporate Finance and Real Estate Finance at London Business School. João has held several consulting posts. He is Editorial Board Member of Economic Policy, the Journal of Pension Economics and Finance, and the Review of Financial Studies.

Richard CookRichard J. Cook

Richard J. Cook is a professor of statistics at the University of Waterloo, and a Tier I Canada Research Chair in Statistical Methods in Health Research. His research interests include the development and application of statistical methods for public health research. His specific interests include the analysis of life history data, longitudinal data analysis, statistical methods for incomplete data, sequential methods, multivariate analysis, clinical trial design, and the assessment of diagnostic tests.

Jean Claude MenardJean-Claude Ménard

Jean-Claude Ménard is responsible for preparing the actuarial reports of the Canada Pension Plan, the Old Age Security, Canada Student Loans Program, and pension and benefits plans covering members of the federal Public Service, the Canadian Forces, the Royal Canadian Mounted Police, federal judges and Members of Parliament. From 2002 to 2007, Mr. Ménard was Vice-Chairman of the Technical Commission of Statistical, Actuarial and Financial Studies of the International Social Security Association (ISSA). In 2008, he became Chairman of that Commission. In this capacity, he is the official representative of the ISSA on the Social Security Committee of the International Actuarial Association (IAA). From 2005 to 2015, Mr. Ménard also served as an official representative of the Canadian Institute of Actuaries on this Committee.

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Presentation Abstracts

Richard J. Cook: Concepts, frameworks, and methods for causal interference

The central goal in most fields of scientific inquiry is to make causal statements about the relationship between two or more factors. Often one factor is a so-called exposure variable, and interest lies characterizing the effect of changing the values of this variable on a response of interest. This talk will provide a brief overview of the frameworks for causal reasoning in this context, each dealing with confounding variables in different ways. The associated statistical techniques for analyzing observational data within these schools will be discussed and illustrated through application to data arising in medical research pertaining to blood transfusion.

Jean-Claude Ménard: "Living to 100“: Would Canada Pension Plan be sustainable?

Over the next half century, Canadian life expectancy at age 65 is projected to increase by 3 years to reach 25 years. It means that half of Canadian retirees are expected to live past age 90. What are the drivers of such projected increases? How does Canada compare to other countries? What do such projections mean for the sustainability of the Canada Pension Plan?

Nikolay Gospodinov: Econometric analysis of low-frequency co-movements

Quantifying the impact of a slow moving variable like demographics on intrinsically more volatile macro and financial variables such as GDP growth and asset values is challenging. The main difficulty arises from the fact that the potential low-frequency co-movement between the different processes is often overwhelmed by higher frequency noise and volatility. The standard regression models are typically unbalanced with small signal-to-noise ratio and highly persistent regressors that render the conventional inference invalid. Furthermore, seemingly innocuous transformations of the data (such as some stationarity-inducing transformations) may remove some important low-frequency information. I will characterize these inference problems and propose a more robust framework for analysis. This framework will be used to study the low-frequency co-movement between demographic changes and asset values.

João Cocco: Longevity risk, retirement, and home ownership

Over the last couple of decades unprecedented increases in life expectancy have raised important concerns for retirement savings. We present evidence on these past increases in life expectancy and use it, together with forward-looking projections, to parameterize a stochastic process for future mortality improvements. We then solve a life-cycle model with longevity risk, which can be hedged through endogenous saving and retirement decisions. We investigate the benefits of financial assets designed to hedge the shocks to survival probabilities. We also discuss the role of housing wealth for the financing of general retirement consumption.

Kiyohiko Nishimura - Three Seismic Shifts in the Global Economy and Future Property Market Movement

Three “seismic” shifts in the global economy are identified. (1) There is a persistent dampening fallout from the property bubbles, busts, and the ensuing financial crises.  (2) Information communication technology becomes ubiquitous and unfortunately employment-unfriendly.   (3) Many economies have shifted or are close to shift from the demographic bonus phase of young and growing population to the demographic onus phase of aging population.  These seismic shifts and their impacts on long-run expectations of generations are revealed in property markets, and thus property prices become more important in assessing people's long-run expectations and consequently in policy making.

Actuaries Luncheon

As part of the conference, the University of Waterloo and the Waterloo Actuary’s Club will hold a luncheon, which will include a guest presentation by Jean-Claude Ménard, Chief Actuary of the Office of the Superintendent of Financial Institutions with the Government of Canada. The title of his presentation is Living to 100 – Would Canada Pension Plan be sustainable? Space is limited and advanced registration is required. The fee to attend the luncheon is $25 to cover its costs. To register for the luncheon, contact your Waterloo Actuary Club company representative, or contact Doug Andrews.

Time: 12:00 - 13:30
Location: M3 3127 (tentative)
Fee: $25 per person

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Registration and Fees

 The completed registration form and payment by cheque can be sent to:

  • M3 3143, Department of Statistics and Actuarial Science
  • University of Waterloo
  • 200 University Avenue West
  • Waterloo, Ontario, Canada
  • N2L 3G1

The fee for attending academics is $199 ($176.11 plus 13% HST ($22.89)), and $25 ($22.12 plus 13% HST ($2.88)) for students. Invitees and members of the project team are exempt from the attendance fee. Attendance fees cover the costs of catering, planning, and labour. For further inquiries about attendance fees, please contact Doug Andrews.

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The Waterloo International Workshop on the Implications of Aging on Asset Values would like to thank our partners for their various contributions:

  • Social Sciences and Humanities Research Council of Canada
  • University of Waterloo
  • University of Kent
  • Canadian Institute of Actuaries
  • Society of Actuaries
  • Institute and Faculty of Actuaries
  • Network for Aging Research

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Inquiries about the workshop, registration and invitation, dietary concerns, and information on attendance can be sent to Doug Andrews in the Actuarial Science Department.

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University of Waterloo
M3 - Mathematics 3
200 University Avenue West

Waterloo, ON N2l 3G1

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