AFIR/ERM Colloquium

Maastricht, Netherlands — September 17-19, 2003

Author(s) Paper
Peter Albrecht and Carsten Weber Combined Accumulation- and Decumulation-Plans with Risk-Controlled Capital Protection
Giulia Andreatta and Stefano Corradin Fair Value of Life Liabilities with Embedded Options: an Application to a Portfolio of Italian Insurance Policies
Bas Arts and Elena Vigna A switch criterion for defined contribution pension schemes (Presentation)
Paul de Beus, Marc Bressers and Tony de Graaf Alternative Investments and Risk Measurement (Presentation)
David Blake, Andrew J.G. Cairns and Kevin Dowd Pensionmetrics 2: Stochastic pension plan design during the distribution phase
Pieter Bouwknegt The value of non enforcable future premiums in life insurance (Presentation)
Erwin Charlier and Ruud Kleynen Fair valuation of life insurance contracts: The interaction between assets and liabilities (Presentation)
J. David Cummins, Kristian R. Miltersen and Svein-Arne Persson International comparison of interest rate guarantees in life insurance
Gary Finkelstein and Paul de Beus Guarantee and Embedded Options (Presentation)
Tom Fischer and Armin Roehrl Risk and performance optimization for portfolios of bonds and stocks
X. Chenut, C. Frantz and J.F. Walhin Pricing and capital allocation for unit-linked life insurance contracts with minimum death guarantee (Presentation)
Russell Gerrard, Steven Haberman and Elena Vigna Optimal Investment Choices Post Retirement in a Defined Contribution Pension Scheme
Marc Goovaerts, Rob Kaas, Jan Dhaene and Qihe Tang Some New Classes of Consistent Risk Measures (Presentation)
Werner Hürlimann An optioned portfolio selection under option strategies
Ji-Wook Jang The hidden cost of delay in a credit loan portfolio (Presentation)
F. de Jong Pension Fund Investment: Stocks or Bonds?
Farid Kabbaj and Inge Zeilstra Development of Risk and (Market) Valuation Models: From Measurement to Management
Lasse Koskinen and Kasimir Kaliva Dynamic model for stock market risk evaluation (Presentation)
Roger J.A. Laeven and Marc Goovaerts An optimization approach to the allocation of economic capital (Presentation)
Chris K. Madsen and Hal Pedersen An examination of insurance pricing and underwriting cycles (Presentation)
Gennady A. Medvedev Properties of yield curves and forward curves for Affine Term Structure Models (Presentation)
Marco Micocci and Giovanni Masala Pricing pension funds guarantees using a copula approach (Presentation)
Teus J. Mourik Market risks of insurance companies. Descriptions and measurement approaches from the perspective of solvency requirements
Antoon Pelsser Pricing and hedging guaranteed annuity options via static option replication
R.J. de Barbanson, M.Friedel, J.A. de Jongh, R.J.A. Laeven, S.F.J. van de Pas, R.W. Peters, C.J.A.J.J. Wisselink and P.P.C. van Zijp An Introduction to credit risks, with a link to insurance (Presentation)
Eduard Ponds Pension Funds & Value-Based Generational Accounting (Presentation)
Arnold F. Shapiro Capital Market Applications of Neural Networks, Fuzzy Logic and Genetic Algorithms
Michael Sherris Equilibrium Insurance Pricing, Market Value of Liabilities and Optimal Capitalization (Presentation)
Ricardo A. Tagliafichi The estimation of Market VaR using Garch models and a heavy tail distributions (Presentation)
Shuji Tanaka and Yukio Muromachi An Integrative Risk Evaluation Model for Market Risk and Credit Risk
Idriss Tchapda Djamen Évaluation des produits dérivés de crédit
Robert J. Thomson The pricing of liabilities in an incomplete market using dynamic mean-variance hedging with reference to an equilibrium market model (Presentation)
Joeri van Alphen Modelling active Management (Presentation)
Gary G. Venter Testing Distributions of Stochastically Generated Yield Curves (Presentation)
Christian Walter The Efficient Market Hypothesis, the Gaussian Assumption and the Investment Management Industry
Dick Wenting The Dutch pensionfund situation: declining funding ratio's. A practical approach (Presentation)
Miwaka Yamashita Hedge Fund Risk Premium Calculation by Wang Transform (Presentation)