AFIR/ERM Colloquium

Cairns, Australia — August 13-15, 1997

Authors Paper
M Sherris Foreward
Invited Speakers' Papers
P P Boyle and K S Tan Quasi-Monte Carlo Methods
J D Cummins, R D Phillips and S D Smith The Use of Financial Derivatives in Corporate Risk Management: Participation and Volume Decisions in the Insurance Industry
S Pliska and T R Bielecki Risk Sensitive Dynamic Asset Allocation
Contributed Papers
J van Alphen, J van As, H F Brings, W van Heerdt, T Steenkamp, F R Valkenburg and D Wenting ALM Products Comparison
J-C Augros and M Queruel Modele d'evaluation d'un actif contingent aux taux d'interet et a deux actifs risques
A R Bacinello Pricing Contingent-Claims Concerning the Italian Pension Plan
G Boender, B Oldenkamp and M Vos Solvency Insurance with Optioned Portfolios: An Empirical Investigation
D Bowie What Information does the Distribution of Firm Sizes in the FT-SE 100 Index provide about Long Term Equity Returns?
N Buhlmann, H-F List and M H A Davis New Tax-eficient, Option-based Compensation Packages. Part I Compound Option Structures
N Buhlmann, H-F List and M H A Davis New Tax-eficient, Option-based Compensation Packages. Part II Investment Protection
N Buhlmann, H-F List and M H A Davis New Tax-eficient, Option-based Compensation Packages: Part III A Note on the Implementation
R P Burrows and J Lang Risk Discount Ratesfor Actuarial Appraisal Values of Life Insurance Companies
A Cairns A Comparison of Optimal and Dynamic Control Strategies for Continuous-Time Pension Fund Model
R S Clarkson Financial Risk and the Markowitz and Black-Scholes Worlds
A Guthoff, A Pfingsten and J Wolf Effects of Risk Taking Resulting from Limiting the Value at Risk or the Lower Partial Moment One
S Haberman and M I Owadally Pension Fund Dynamics and Surpluses/Deficits due to Random Rates of Return
M Hardy Reserving for Segregated Fund Contracts
G R Harris Regime Switching Vector Autoregressions: A Bayesian Markov Chain Monte Carlo Approach
W Hurlimann Is there a Rational Evidence for an Infinite Variance Asset Pricing Model?
W Hurlimann Inequalities for the Expected Value of an Exchange Option Strategy
A Jackson Genetic Algorithms for Use in Financial Problems
J V Kaduff Shortfall-Probability-Optimized Portfolios in the Case of Riskless Borrowing and Lending
R Kleynen Asset-Liability Management for Pension Funds: A Case Study
H-F List and M H A Davis Risk/Arbitrage Strategies: A New Concept for Asset/Liability Management, Optimal Fund Design and Optimal Portfolio Selection in a Dynamic, Continuous-Time Framework Part I: Securities Markets
H-F List and M H A Davis Risk/Arbitrage Strategies: A New Concept for Asset/Liability Management, Optimal Fund Design and Optimal Portfolio Selection in a Dynamic, Continuous-Time Framework Part 11: Securities and Derivatives Markets
F Lundstedt Asset Allocation
A Macdonald The Hypotheses Underlying the Pricing of Options: A Note on a Paper by Bartels
J Maitland Non-Stationarity in Some South African Financial and Economic Series
D J McCarthy and G Perrott Policyholder Consideration
K R Miltersen and S-A Persson Pricing Rate of Return Guarantees in a Heath-Jarrow-Morton Framework
Y Muromachi, D Asahara and S Tanaka Optimal Portfolios of Defaultable Assets
N Nakamura Optimal Substructure of Asset and Liability in the Multi-Factor Economy
D J F Nonnenmacher and J Russ Equity-Linked Life Insurance in Germany: Quantifying the Risk of Additional Policy Reserves
D Promislow Classification of Usurious Loans
B Purwoko The Social Security System in Indonesia: Current Investment Issues and Future Prospects
F Quittard-Pinon Evaluation d'options couloirs sur taux d'interêt
M Sherris, L Tedesco and B Zehnwirth Investment Returns and Inflation: Some Australian Evidence
M Smink Derivatives and Pension Fund Asset-Liability Management
C Speed Inflation Modelling
K S Tan and P Boyle Applications of Scrambled Low Discrepancy Sequences to Exotic Options
K R Vetzal An Improved Finite Difference Approach to Fitting the Initial Term Structure
A D Wilkie Why the Capital Asset Pricing Model Fails in a Multi-Currency World
Joint Day Proceedings
G Taylor and M Sherris Foreward
Invited Speakers' Papers
N A Doherty Financial Innovation in the Management of Catastrophe Risk
J A Tilley The Securitization of Catastrophrc Property Risks
Contributed Papers
P Albrecht Risk Based Capital Allocation and Risk Adjusted Performance Management in Property/Liabilrty-Insurance: A Risk Theoretical Framework
J-F Boulier and C Chambron Selected ALM Issues
S Cox and H Pedersen Catastrophe Risk Bonds
S Correnti, PA Nealon and S M Sonlin Total Integrative Risk Managernent: A Practical Application for Mahng Strategic Decisions
H U Gerber and E S W Shiu From Ruin Theory to Option Pricing
M Goovaerts and A de Schepper IBNR Reserves under Stochastic Interest Rates
H W Pedersen Pricing and Reserving for General Insurance Products
U Schmock Estimating the Value ofthe Wincat Coupons of the Wrnterthur Insurance
M Schweizer From Actuarial to Financral Valuation Prrnciples