Final Programme

Monday 20

Plenary Session 1 @ 10:00 - 11:00 : Alejandro Balbás
    Risk Measures and the Role of Derivatives in Risk Minimization

Parallel Session 1 @ 11:00 - 12:00

AFIR	Castellana 2	MARKET-CONSISTENT REPLICATION OF INSURANCE LIABILITIES IN A MULTIPLE RISK ECONOMY Werner Hürlimann
		The mechanics of actuarial and risk management – role of actuarial and risk management in the financial services sector Martin Tarusenga
		To hedge or not o hedge that is the problem Ricardo A. Tagliafichi

Plenary Session 2 @ 12:00 - 13:00 : Paul Embrechts
    Risk Aggregation and Diversification: Issues and Pitfalls

Parallel Session 2 @ 14:00 - 15:00

AFIR	Castellana 2	The Impact of Policyholder Behavior on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities Alexander Kling, Frederik Ruez, Jochen Ruß
		The Impact of Introducing Insurance Guaranty Schemes on Pricing and Capital Structures Hato Schmeiser, Joël Wagner
		Policyholder Exercise Behavior for Variable Annuities including Guaranteed Minimum Withdrawal Benefits Thorsten Moenig

Plenary Session 3 @ 15:00 - 16:00 : Pierre Devolder
    Solvency Measure for Pension Liabilities : Time, Inflation and Longevity Aspects

Parallel Session 3 @ 16:30 - 17:30

AFIR	Auditorium	Market Consistent Valuation of Long Term Insurance Portfolios Jan-Philipp Schmidt
		Cash flow-based valuation of insurance liabilities Teemu Pennanen

Tuesday 21

Parallel Session 4 @ 08:30 - 09:30

AFIR	Auditorium	Adjusted Forward Rates Within Two Theory of Interest Rates Joseba Iñaki De La Peña Esteban, Eduardo Trigo Martínez, Rafael Moreno Ruiz, Iván Iturricastillo Plazaola
		Financial Planning and Risk-Return Profiles Stefan Graf, Alexander Kling, Jochen Russ
AFIR	Castellana 2	Heterogeneity: measure integrating risk of estimate in the case of a modeling of the observable factors Frédéric Planchet, Aymric Kamega
		Pricing S-forwards via the Risk Margin under Solvency II Susanna Levantesi, Massimiliano Menzietti, Tiziana Torri
		Bargaining for Over-The-Counter Risk Redistributions: The Case of Longevity Risk Tim Boonen, Anja De Waegenaere, Henk Norde

Plenary Session 4 @ 10:00 - 11:00 : David Wilkie
    Real-world Economic Scenario Generators

Parallel Session 5 @ 11:00 - 12:00

AFIR	Auditorium	Decomposing Hedge Effectiveness in Longevity Hedges Andrew J.G. Cairns, Kevin Dowd, David Blake, and Guy D. Coughlan
		Consistent Dynamic Affine Model for Mortality and Longevity Risk Applications Craig Blackburn, Michael Sherris
		Investigation of Hedging Strategies Between Assurances and Annuities for the Purpose of Mitigating Longevity Risk Frans Koning, Stefan Bekker
AFIR	Castellana 2	Prudence Revisited: The Use of Expected-Utility Theory for Decision-Making by the Trustees of a Retirement Fund Robert J. Thomson
		A Note on Life-cycle Funds Stefan Graf
		A Joint Valuation of Premium Payment and Surrender Options in Participating Life Insurance Contracts Hato Schmeiser, Joël Wagner

Plenary Session 5 @ 12:00 - 13:00 : David Ingram
    Choices and Choosing: ERM and Rational Adaptability

Afternoon excursion @ 14:30 - 23:00
    Organ concert & Choir School at the Royal Monastery of San Lorenzo de El Escorial

Wednesday 22

Parallel Session 6 @ 08:30 - 09:30

AFIR	Auditorium	Analyzing Surplus Appropriation Schemes in Participating Life Insurance from the Insurer’s and the Policyholder’s Perspective Alexander Bohnert, Nadine Gatzert
		The Impact of Mortality Risk on a Life Insurer’s Risk Situation and Risk Management Nadine Gatzert, Hannah Wesker
		A Stochastic Mortality Model based on Smoking prevalence Torsten Kleinow, Andrew J. G. Cairns

Plenary Session 6 @ 10:00 - 11:00 : José María Sarabia
    A General Methodology for Enriching a Family of Distributions with Applications in Insurance

Parallel Session 7 @ 11:00 - 12:00

AFIR	Auditorium	The CAPM Reconsidered: Tests in Real Terms on a South African Market Portfolio Comprising Equities and Bonds Taryn L. Reddy, Robert J. Thomson
		On the Analytical Evaluation of the Insurance Market Risk Target Capital Werner Hürlimann

Plenary Session 7 @ 12:00 - 13:00 : Jean Lemaire
    The Impact of Culture and Political Risk on Non-Life Insurance

Plenary Session 8 @ 14:00 - 15:00 : Michael Sherries
    Enterprise Risk Management, Insurer Value Maximisation and Market Frictions

Plenary Session 9 @ 15:00 - 16:00 : Jean Berthon
    Finance: To Be Ethical or Not To Be

Parallel Session 8 @ 16:30 - 17:30

AFIR	Auditorium	IFRS Convergence in Japan: The Past and Present Impact for the Values in the Stock Market and Forward Looking Thoughts Miwaka Yamashita
		Delta and Gamma Hedging of Mortality and Interest Rate Risk Elisa Luciano, Luca Regis, Elena Vigna
		A stochastic model for the sustainable investment policy in a defined benefit pension fund Giuseppina Cannas, Giovanni Masala, Marco Micocci

Parallel Session 9 @ 17:30 - 18:30

AFIR	Auditorium	A Complete Model of General Dynamic Immunization Iván Iturricastillo Plazaola, Joseba Iñaki De La Peña Esteban, Rafael Moreno Ruiz, Eduardo Trigo Martínez
		Model Uncertainty and its Impact on Solvency Measurement in Property-Liability Insurance Hato Schmeiser, Caroline Siegel, Joël Wagner
AFIR	Castellana 2	Stock vs Mutual Insurers:Who Does and Who Should Charge More Alexander Braun, Przemyslaw Rymaszewski, Hato Schmeiser
		Hedging Mortality Risk through Portfolio Composition: A Comprehensive Risk Analysis Nadine Gatzert, Hannah Wesker