AFIR/ERM Colloquium

Brussels, Belgium — September 7-9, 1995

Authors Paper
Jacques Janssen Foreward
Arbitrage and Heding of Derivatives
Hans-Jochen Bartels The Hypotheses Underlying the Pricing of Options
Richard A. Derrig and Krzysztof M. Ostaszewski The Fuzzy Problem of Heding the Tax Liability of a Property-Liability Insurance Company
Hans U. Gerber and Elias S.W. Shiu Actuarial Approach to Option Pricing
Werner Hurlimann CAPM, Derivative Pricing and Hedging
Jean-Philippe Jousseaume Paradoxes sur le calcul des options. Et si tout ceci n'était qu'une illusion...?
Moshe-Arye Milvesky and Eliezer Z. Prisman Is There a Tax-Induced January Effect in the Canadian Equity Options Market?
Edwing H. Neave A Frequency Distribution Method for Valuing Average Options
Harry Panjer Pricing Strike Price Average Options
Hal W. Pedersen Dynamic Spanning of Contingent Claims
François Quittard-Pinon Evaluation de produits dérivés de taux d'intérêt par arbitrage dans l'approche Martingale
Deregulation of the Markets and of Financial Intermediaries
Pierre Ars and Jacques Janssen Stochastic Model with Possibility of Ruin and Dividend Repartition for Insurance and Bank
Baruch Berliner and Yair M. Babad Application of Intervals of Possibilities to Solvency
Joaquin Bernard Rio and Manuel Vila Calsina Present Situation and Foreseeable Development of Insurance Distribution Channels in Spain
Jean-François Boulier, Danièle Florens and Etienne Trussant A Dynamic Model for Pension Funds Management
Ludo Brosius A Linear Programming Approach to market Equilibrium with an Application to Financial Markets
Peter V. Burdon Profiting from Bancassurance: Choosing the Right Route
Andrew J.G. Cairns Pension Funding in a Stochastic Environment: The Role of Objectives in Selecting an Asset Allocation Strategy
Salvatore Correnti and John C. Sweeney The Dynamics of Interest Rate Movements and Inflation on Assets, Liabilities and Surplus for Property and Casualty Insurers
Mike Kipling The Effect of Regulatory Change on the Distribution of Life Assurance in the United Kingdom
Gennady Medvedev Financial Safety Inequalitieies Based on Expected Risks for Credit Institutions
Vicente Meneu Catastrophe Contracts: The Coverage of Extraordinary Risks and the Loss Ratio in Spain
A.A. Paterson Immunization is Dead, Long Live Immunization
Shuji Tanaka and Koji Inui Modelling Japanese Financial Markets for Pension ALM Simulations
Oakley E. Van Slyke A General Theory of Finance
The Dynamics of Interest Rates
Andrew R. Aziz and Eliezer Z. Prisman After Tax-Term Structures of Real Interest Rates and Inflation Compensation
Gnudi Boero and Constanza Torricelli A Comparitive Evaluation Alternative Models of the Term Structure of Interest Rates
Griselda Deelstra Long-Term Returns in Stochastic Interest Rate Models: Applications
Griselda Deelstra and Gary Parker A Covariance Equivalent Discretisation of the CIR Model
Rudy de Winne Processes of the Short-Term Interest Rate and Correction of the Discretisation Bias
Adriana Gnudi and Marida Bertocchi Pricing Puttable Bonds in the Italian Market
Glen Harris Low Frequency Statistical Interest Rate Models
Werner Hurlimann On Binomial Models of the Term Structure of Interest Rates
Michael Sherris Interest Rate Risk Factors in the Australian Bond Market
Pentti Soininen Stochastic Variation of Interest and Mortality
Rob Thomson A Methodology for the Modelling of Interest Rates and Other Economic Variables with Reference to the Money and Capital Markets of South Africa
César Villazon Reformulation of the Theorum of Immunisation of the Yield of a Fixed Income Portfolio
Use of Derivatives for the Management of Financial Institutions
Peter Albrecht An Actuarial Approach to Risk Management with CAT Insurance Contracts
Peter Albrecht, Raimond Maurer and Thomas G. Stephen Return and Shortfall Risks of Rollover Hedge - Strategies with Options
Peter Albrecht, Raimond Maurer and Matthias Timpel A Shortfall Approach to the Evaluation of Risk and Return of Positions with Options
Lionel Assoun, Christine Chaussade and David Khougazian Structured Bonds Taking the Exotic Option
Jean-Claude Augros and Nicolas Leboisne Validation empirique d'un modèle d'évaluation d'obligations convertibles
Attila Balaton and François Delavenne L'actuaire et l'immobilisation d'investissement
Jean-François Boulier and Anu Kanniganti Expected Performance and Risks of Various Portfolio Insurance Strategies
Robert S. Clarkson Some Observations on the Black-Scholes Option Pricing Formula
Vladimir Danesi, Pierre Sequier and Jacques Sikorav Are the International Bond Portfolios the Way to Get High Rewards for Low Risks?
Peter Dvorak and Dirk Ohlsen Practical Experiences of Managing the Interest Rate Risks in a Life Insurance Company with Derivatives
Carlo Mottura Pricing Interest Rate Insurance
Esther Nass Strategic Application of Financial Derivatives in the Investment Policy of Insurance Companies
Svein-Arne Persson Random Benefits and Stochastic Interest Rates in Life Insurance
Richard D. Philips and J. David Cummins Financial Pricing Insurance in the Multiple Line Insurance Company
Christian Walter Levy-Stability-Under-Addition and Fractal Structure of Markets: Implications for the Actuaries and Emphasized Examination of Matif National Contract