AFIR/ERM Colloquium

Orlando, United States — April 20-22, 1994 

Author(s) Paper
James A. Tilley Foreward
Economics, Finance, and Insurance Theory
Robert S. Clarkson The Coming Revolution in the Theory of Finance
Henk von Eije and Bert Kramer The Demand for Equity and Reinsurance by Non-Life Insurance Companies if Consumers React and Interest Rates Change
Henk von Eije and Pieter Otter Market Endogenous Solvency and Dividend Policy
Gary Parker Stochastic Analysis of an Insurance Portfolio
Syed Nizam Kirmani, A. Frank Thompson, and Mir A. Zaman Differential Analysis of the Impact Catastrophic Loss has on Publicly Traded Property/Casualty Insurers
Risk Measures and Risk Analysis
Peter Albrecht Shortfall Returns and Shortfall Risk
Yair M. Babad and Baruch Berliner The Use of Intervals of Possibilities to Measure and Evaluate Financial Risk and Uncertainty
Richard A. Derrig and Krzystof M. Ostaszewski Fuzzy Techniques of Pattern Recognition in Risk and Claim Classification
Matthew S. Easley and Stephen A.J. Sedlak Risk Tolerance of Insurance Companies
Tapen Sinha Relation Between Total Risk and Return: Analaysis Under a New Paradigm
Portfolio Analysis, Strategy, and Optimization
Philip Booth and and Alen Ong A Simulation Based Approach to Asset Allocation Decisions
J.F. Boulier and S. Demay Empiricasl Analysis of Global Bond Investments Based on Fundamentals
Christian Hipp Portfolio Management and Transaction Costs
Iskandar S. Hamwi and Chang-tseh Hsieh Long-Term Investment Strategy Using Stock as a Hedge Against Inflation
Patrick J. Lee Maximising Long Term Return
Kwok Ho, Moshe Arye Milevsky, and Chris Robinson Asset Allocation Via the Conditional First Exit Time or How to Avoid Outliving Your Money
Kathleen W. Ferguson and Brian M. Rom Post-Modern Portfolio Theory Comes of Age
S. Locksley Smaller Glits and Equities
Immunization Theory and Practice
David X. Li and Harry H. Panjer Immunization Measures for Life Contingencies
Eliseo Navarro and Juan M. Nave Dynamic Immunization and Transaction Costs
Robert R. Reitano Non-Parallel Yield Curve Shifts and Immunization
César Villazón The Yield Curve and Bond Portfolio Immunization
Stochastic Dynamics of Markets
Andrew R. Aziz and Eliezer Z. Prisman Using Canadian Index Linked Bonds to Model Real Interest Rates and to Detect Inflation Risk Premiums
Steve Craighead Chaotic Analysis of U.S. Treasury Interest Rates
Vincent Hua Modelling Equity Returns Using a Simple ARCH Model
Hal W. Pedersen Some Aspects of the Martingale Approach to the Term Structure of Interest Rates
Tarmo Pukkila, Antero Ranne and Simo Sarvamaa On Stochastic Modelling of Inflation
Guiseppe Russo Modelling and Measuring Volatility in the Black-Scholes Economy: A Bayesian Approach
A.D. Wilkie A Stochastic Model for Consumer Price Indices and Exchange Rates in Several Countries
Options Pricing Techniques
Hans U. Gerber and Elias S.W. Shiu Martingale Approach to Pricing Perpetual American Options
J. Ph. Jousseaume Paradoxes sur le calcul des options: Extension des modèles
Edwin H. Neave and Stuart M. Turnbull Quick Solutions for Arithmetic Average Options on a Recombining Random Walk
Simon Rosenblatt and Ould Amar Yahya Modelisation du prix d'une option européenne par la fonction de densité des rendements à terme Density of Yields to Maturity
Peter Albrecht and Thoms Stephan Single-Factor Immunizing Duration of an Interest Rate Swap
Pierre Brugière and Anne Gille Quality Option
Louis Gagnon, Ieuan G. Morgan, and Edwing H. Neave Pricing Eurodollar Time Deposit Futures
L. Jaimie Pickles and Michael Bayard Smith An Introduction to Catastrophe Insurance Futures
Rudy Yaksick Valuation of an American Put Catastrophe Insurance Futures Option: A Martingale Approach
Asset/Laibility Management 
Pierre Ars and Jacques Janssen Operationality of a Model for the Asset Liability Management
Salvatore Correnti and John C. Sweeney Asset-Liability Management and Asset Allocation for Property and Casualty Companies - the Final Frontier
Anthony Dardis and Vinh Loi Huynh Application of a Stochastic Asset/Liability Model in Formulating Investment Policy for Long-Term Financial Institutions
John P. Lavecky and Andrew J. Sanders Some Practical Aspects of Stochastic Asset and Liability Modelling of UK With Profits Business
Meije Smink A Numerical Examination of Asset-Liability Management Strategies
Analysis of Products With Investment Guarantees 
Hélyette Geman and Martine Vareilles Valuation of the Rollover Option of Life Insurance Policies in the Health Jarrow-Morton Framework
Michel Gendron and Van Son Lai On the Valuation of Loan Guarantees Under Stochastic Interest Rates
Hoai Minh Lam Gestion Actif/Passif (ALM) Contrat d'assurance-vie en capital à prime non unique
Anne Sundby Magnussen and Sissel Rodevand Unit-Linked Defined Benefit Plans
B. John Manistre The Equivalent Single Scenario in an Arbitrage Free Stochastic Interest Rate Model
Measuring Solvency Risk
Henry Essert Solvency Risk
Mary R. Hardy Incorporating Individual Life Company Variation in Simulated Equity Returns
Angus S. Macdonald Appraising Life Office Valuations
Björn Palmgren Realistic Accounting of Balance Sheet Risks
Steen Sorensen Can Customers Rely on Predicted Savings? A Way to Help the Actuary
Bank and Insurer Solvency
James M. Carson Financial Distress in the Life Insurance Industry: an Empirical Examination
Mukesh K. Chaudhry Commercial Bank,s Off-Balance Sheet Activities and Their Relationship With Market-Based Risk Measures
Patricia Derez La prévision de faillite dans l'industrie de l'assurance-vie
Michele Caputo, James Kolari, and Drew Wagner A Pattern Recognition Approach to Early Warning Systems in Commercial Banking
Pensions and Money Management
Les A. Balzer Risk/Return Histories: Measuring Fund Manager Performance Over Time
Jacques Janssen and Raimondo Manca Semi-Markov Modelization for the Financial Management of Pension Funds
Peter Ludvik Investment Strategy for Defined Contribution Plans
Roger Urwin Strategies for the Selection of Investment Managers
Reports from Task Forces and Study Groups
Michael Cohen and Task Force Members Report on the Task Force on Application of Cash Flow Techniques to Pension Plans
Mark Doherty and Warren Luckner Final Report 1986-1989 Credit Risk Event Loss Experience, Commercial Mortgage Loans and Private Placement Bonds
FIM Group (Heikki Bonsdorff, Teivo Pentikäinen, Martti Pesonen, Tarmo Pukkila, Antero Ranne, Jukka Rantala, Matti Ruohonen, and Simo Sarvamaa) On the Asset Models as a Part of All Company Insurance Analysis
Eastern Europe
Cees J. Prins and Dorota Strzalkowska Stock Exchanges in Eastern Europe; Warsaw isn't Budapest!
Eugeniusz A. Stroinski and Krzysztof J. Stroinski The impact of Lmited Investment Choices on Life Insurance Companies in Poland