AFIR/ERM Colloquium

Nürnberg, Germany — October 1-3, 1996 

Author(s) Paper
Peter Albrecht Foreward
Risk Measurement and Risk Control
Peter Albrecht, Hemann F.W. Bährle and Alexander König Value-at-Risk: A Risk Theoretical Perspective with Focus on Applications in Insurance
Peter Albrecht, Alexander König, Raimond Maurer and Heinrich R. Schradin An Actuarial Approach to Determine the Required Capital for Portfolios of Options with Default Risk
Norbert Ammon Financial Reporting of Derivatives in Banks: Disclosure Conventions in Germany, Great Britain and USA
Masahiko Fujiki Measurement of Risk
Elisabeth Hehn Derivatives in Risk Management
Wolfgang Kürsten Bank Risk, Regulation, and Financial Futures Policy
Carlo Mottura and Marco S. Ristuccia Optimal Control Strategies versus Supervisory Rules: Suggestions from Bond Portfolio Selection Theory
Michael Schröder The Value at Risk Approach - Proposals on a Generalization
Willi Ufer The "Value at Risk Concept" for Insurance Companies
Portfolio/Capital Market Theory and Investment Management
Andrew Adams Components of Risk for Investment Trusts
Robert Ashurst, Gerald Blundell, Philip Booth, Martin Cumberworth, Glynn Griffiths and Guy Morrell Securitisation and Institutional Property Investment
Remi Bourrette and Etienne Trussant Optimal Fund Design for Investors with Holding Constraints
Pierre Brugière Optimal Portfolio and Optimal Trading in a Dynamic Continuous Time Framework
Robert S. Clarkson A Dynamic Equilibrium Model for Capital Market Behaviour
Jon Exley, Shyam Mehta and Andrew Smith Market Efficiency
Susan Gosling Active Asset Allocation in the UK: The Potential to Add Value
Werner Hürlimann Mean-Variance Portfolio Selection under Portfolio Insurance
Jochen V. Kaduff Shortfall-Probability-Based Diagrams of Efficient Frontiers
Asset/Liability Management (General)
Niklaus Bühlmann, Stephane Junod and Hans-Fredo List Baseline for Exchange Rate - Risks of an International Reinsurer
Gilberto Castellani, Massimo de Felice, Franco Moriconi and Carlo Mottura IT-Supported Solutions for Asset-Liability Management: The ALM-Max Approach
Salvatore Correnti, Paul A. Nealon and Stephen M. Sonlin Decomposing Risk to Enhance ALM and Business Decision Making for Insurance Companies
Henry Essert A General Framework for Financial Risk
John M. Mulvey and A. Eric Thorlacius The Towers Perrin Global Capital Market Scenario Generation System: CAP-Link
Peter Schenk Simulation of Asset/Liability-Profiles as Part of an Insurance Management Simulation Game
Falco R. Valkenburg Managers Do Not Lean Back. A Profit Testing Model that Evaluatess Scenario Dependent Management Decisions
Asset/Liability-Management (Life and Pensions)
Gunther Baum Asset-Liability-Management for Pension-Funds: Some General Remarks
Jean-François Boulier, Stéphane Michel and Vanessa Wisnia Optimizing Investment and Contribution Policies of a Defined Benefit Pension Fund
Andrew J.G. Cairns Continuous-Time Pension-Fund Modelling
Michael Cohen and Marlyn Bilodeau Assessing the Option Premiums in Hybrid Pension Plans
Jon Exley and Shyam Mehta Asset Strategy for Defined Benefit Pension Schemes
Alexander König Consequences of Differing Actuarial Interest Rates on the Profitability of an Endowment Policy: An Analysis in Consideration of Stochastic Investment Income and a Simple Profit Participation System
Martin J. Muir and Richard J. Squires Asset/Liability-Modelling for Life Offices Allowing for Dated Fixed Interest Investments and Performance Related Changes in Liability
Thomas G. Stephen Asset Allocation Optimization for German Life Insurers
Ken Sugita Change of Japanese Regulation of Corporate Pension and its Impact
Bond Valuation and Bond Management
Anna Rita Bacinello and Fulvio Ortu Arbitrage Valuation and Bounds for Sinking-Fund Bonds with Multiple Sinking-Fund Dates
Marida Bertocchi, Jitka Dupacová and Vittorio Moriggia Sensitivity Analysis on Inputs for a Bond Portfolio Management Model
Gianna Boero, Foruhar Madjlessi and Costanza Torricelli The Information in the Term Structure of German Interest Rates
Guillaume Bouet and Richard Dalaud Extension of Financial Concepts in Fuzzy Calculus and Application to Cash-Flow Matching
Andrew J.G. Cairns Modelling Bond Yield and Forward-Rate Curves for the Financial Times Actuaries British Government Securities Yield Indices
Josef Kriecherbauer Valuation of Fixed-Income Securities with Uncertain Cash-Flow
Hoài-Minh Lam Etude et simulation de la sensibilité d'un portefeuille de valeurs mobilières
Gennady Medvedev and Samuel H. Cox The Market Price of Risk for Affine Interest Rate Term Structures
Frank Nielsen and Simon Juen An Integrated Valuation and Risk Model for German Fixed-Income Portfolios
Applications of Numerical and Econometrical Methods in Finance
Ulrich Anders Statistical Model Building for Neural Networks
Gianna Boero and Enrico Cavalli Forecasting the Exchange Rate: A Comparison Between Econometric and Neural Network Models
Andreas Frick, Ralf Hermann, Martin Kreidler, Alexander Narr and Detlef Seese Genetic-Based Trading Rules - A New Tool to Beat the Market With?
Faris Hamza and Jacques Janssen Linear Approach for Solving Large-Scale Portfolio Optimization Problems in a Lognormal Market
Maria Hartpence and J. Sikorav Tactical Asset Allocation: Predictability of Capital Markets Using Error Correction Models
Sergio G. Koreisha and Tarmo Pukkila A New Approach for Identifying Seasonal Autregressive Time Series Forecasting Models
Lasse Koskinen and Tarmo Pukkila An Application of the Vector Autoregressive Model with a Markov Regime to Inflation Rates
Udo Schmidt-Mohr Volatility Forecasting with Nonlinear and Linear Time Series Models: A Comparison
Thomas G. Stephan A Time Series Analysis of an Asset Class Returns Model for the German Capital Market
Option Pricing
Hans-Jochen Bartels Variations on a Theme of Bruno Dupire
Vincent Brousseau and Claire Guillamot Evaluation de contrats à terme et d'options sur yields
Wolfgang Bühler, Marliese Uhrig, Ulrich Walter and Thomas Weber An Empirical Comparison of Valuation Models for Interest Rate Derivatives
Hélyette Geman and Marc Yor Pricing and Hedging Doube-Barrier Options: A Probabilistic Approach
Jacques Janssen, Malika Saib and Khamiss Taous Techniques d'estimation pour le modèle de Black & Scholes
Jean-Philippe Jousseaume Paradoxes Regarding the Calculation of Options
Matthias Möller Pricing PCS-Options with the Use of Esscher-Transforms
Christian Schmitt Option Pricing Using EGARCH Models
Marliese Uhrig Examination of a Two-Factor Bond Option Valuation Model
Applications of Options in Investment Management and Insurance
Michael Adam, Peter Albrecht and Raimond Maurer Shortfall-Risks and Excess-Chances of Option-Based Rollover Hedge-Strategies with Respect to Alternative Target Returns: Empirical Evidence from the German Stock Market
Michael Adam, Raimond Maurer and Matthias Möller Evaluation of the Chance-Risk-Profile of Combined Stock and Option Strategies in Context of Excess-Chance and Shortfall-Risk
Jean-François Boulier, Remi Bourrette and Etienne Trussant Options as an Asset Class
Cees Dert and Bart Oldenkamp Optioned Portfolios: The Trade-off Between Expected and Guaranteed Returns
Christian Hipp Options for Guaranteed Index-linked Life Insurance
Annette Kurz Pricing of Equity-linked Life Insurance Policies with an Asset Value Guarantee and Periodic Premiums
Gerhard Scheuenstuhl and Rudi Zagst Optimal Optioned Portfolios with Confidence Limits on Shortfall Constraints
Heinrich R. Schradin PCS Catastrophe Insurance Options - A New Instrument for Managing Catastrophe Risk
Current Problems in Insurance and Finance
Pascal Alphonse De l'opportunité d'arbitrage mesurée à l'opération d'arbitrage réalisée: Analyse intraday de la valorisation du contrat à terme sur indice CAC 40
Frank Altrock and Andreas Pfingsten Proper Discounting whtn Tax Payments are Postponed
David C. Bowie and Robert S. Clarkson An Exploratory Analysis of the Structure of the FT-SE 100 Index
Vincent Brousseau Sur le pilotage du Mark-Paris avant sa fixation irrevocable
Yueyun Chen and Iskandar S. Hamwi Indirect Cost, Reinsurance Pricing, and the Availability of Disaster Insurance
Steve Craighead Insolvency Testing, Extreme Value Statistics and Resampling
Michael W. Hopf Asset Allocation Implementation with Structured Guaranteed Investments
Alexander Kempf and Olaf Korn Trading System and Market Integration
Piera Mazzoleni Prudence and Intertemporal Utility
Shyam Mehta Development of an Inflation Model