AFIR/ERM Colloquium

Cambridge, United Kingdom — September 15-17, 1998

Authors Paper
Katja Ainassaari, Markku Kallio and Antero Ranne Selecting an optimal investment portfolio for a pension insurance company.
Vincenzo Bochicchio, Niklaus Buhlmann, Stephane Junod, Hans-Fredo List and Mark Davis Risk/arbitrage strategies: an application to stock option portfolio management.
Efim Bronshtein and Semyen Spivak Convex structures & theory of the investments.
Niklaus Buhlmann, Hans-Fredo List and Mark Davis Risk/arbitrage strategies: an application to the pricing and hedging of dual trigger stop loss treaties.
Robert G Chadburn Controlling solvency & maximising policyholders' returns: a comparison of management strategies for accumulating with-profits life liabilities.
Robert S Clarkson A fundamental preferences model of equity share returns.
Pierre Devolder Stochastic amortization of debt.
Hans U Gerber and Gerard Pafumi Pricing dynamic solvency insurance & investment fund protection.

Masaaki Kijima and Yukio Muromachi Evaluation of credit risk of a portfolio with stochastic interest rate and default processes.
Hans-Fredo List and Mark 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.
Hans-Fredo List and Mark 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 II: Securities and derivatives markets.
Hans-Fredo List and Mark 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 III: A risk/arbitrage pricing theory.
Hans-Fredo List and Mark 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 IV: An impulse control approach to limited risk arbitrage.
Hans-Fredo List and Mark 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 V: A guide to efficient numerical implementations.
Dirk Jens F Nonnenmacher Evaluation of credit risk of a portfolio with stochastic guaranteed equity-linked products.
Jochen Russ Pricing of guaranteed index-linked products based on lookback options.
Andrew D Smith and Cliff A Speed Gauge transforms in stochastic investment modelling.
Rob Thomson Investment channel choice in defined contribution retirement funds: the use of utility functions.
Miguel A Usabel Zero-coupon bonds assessment using a new stochastic model.
A David Wilkie Why the long term reduces the risk of investing in shares.