AFIR/ERM Colloquium

Paris, France — April 23-27, 1990

Author(s) Paper
Financial Institution Risks
Michael Cohen The financial structure of pension plan
Ashok K. Gupta and Michael Black Formulating a pricing policy for financial service conglomerates
Andrew J. Wise and Matthew J. Annable The current state of assets/liability modelling in the U.K.
Andrew F. Thompson, Prasad V. Medury, Anju Ramjee and Balasubramani Ramjee An actuarial approach to the analysis of post deregulation thrift failures in the USA
Michel Giguère Normes de solvabilité des institutions financières et traitement des filiales à l'intérieur de ces normes
Roberto Gorgues and Vicente Serra Perspectives du risque dans les opérations de crédit des sociétés financières
Dominique Garabiol La relativité des valorisations financières et l'approche prudentielle du risque de taux : le cas des activités bancaires en France
Portfolio Management
Ashok K. Gupta and Michael Black Formulating a pricing policy for financial service conglomerates
Andrew J. Perrins An introduction to capital protection strategies
Flavio Pressacco and Patrizia Stucchi Theory and practive in stock index portfolio insurance on the Italian market ; some reflexions
Nico van der Sar and Gerritt Antonides The price of risk empirically determined by the capital market line
Peter Ludvik Pension fund portfolio management
Mark Tippett Estimating returns on financial instruments - stochastic analysis
Alasdair D. Wilkie Modern portfolio theory - some actuarial problems
Haoi M. Lam Performance d'un portefeuille
Patrice Fontaine Peut-on prédire l'évolution des marchés d'actions à partir des cours et des dividences passés?
Philippe Boursin, Hervé Burger, Rémy Pierre and Nicolas Zamfirescu Une mesure de risque des emprunts à taux variable définie par un mélange de méthodes actuarielles et stochastiques
Rate Risk Management
Robert S. Clarkson The measurement of investment risk
Les Balzer Term structure of volatility in financial markets
James A. Tilley A stochastic yield curve model for asset/liability simulations
Mark W. Griffin An excess spread approach to non-participating insurance products
Mary Nisbet Transaction costs on the London traded options market and a test of market efficiency based on put-call parity theory
Costanza Torricelli Forward trading and exchange rates variability
Eliseo Navarro and Vicente Meneu Duration : its role in immunization
Eduardo Melinsky Issue and analysis if bonds in inflationary conditions
Robert S. Clarkson The assessment of financial risk
Heather McLeod The development of a market yield curive : the South African solution
Philippe Delienne and Pierre Valentin Suivi du risque de taux dans une banque de marché
Slim Bentami, Bruno Hallak and Hédi Kallal Interest rates risk immunization by linear programming
Naim Kocer Le marché boursier parisien : un modèle de prévision basé sur les anticipations de croissance des dividences
Arnaud Clément-Grandcourt Pour une gestion actuarielle des obligations à taux fixe
Gilberto Castellani, Massimo de Felice and Franco Moriconi Price and risk of variable rate bonds : an application of the COX, INGERSOLL, ROSS model to Italian treasury certificates
Hélyette Geman, Roland Portrait and Thomas D'archibaud Évaluation et risque de taux des instruments à taux variable ou révisable : une analysie par arbitrage
New Financial Markets
Wolfgang Buhler Portfolio insurance in the German bond market
Serdar A. Avsar An empirical test of market efficiency hypothesis in the currency futures and forward markets
Mihai Brancovan, Tanguy Dehapiot and Nicolas Zamfirescu Risque de volatilité et sensibilité d'une option à une perturbation de volatilité
Christain du Payrat Évaluation des actifs optionnels de taux de longue durée - méthode de Ho & Lee
Mary Nisbet Transaction costs on the London traded options market and a test of market efficiency based on put-call parity theory
Jean Berthon and Georges Gallais-Hamonno Robustesse des techniques de Dynamic Hedging
Ip Yiu Keung and Charlmane Wong Hedging with stock index futures in Hong Kong
Jean-Claude Augros and Pierre Gay Modèle d'évaluation à taux d'intérêts stochastiques d'une option sur contrat futures obligataire
Patrice Simonnet Les risques inhérents aux interventions des institutions financières sur le MATIF
Edwin Neave and I.G. Morgan A discrete time model for pricing treasury bills, forward and futures contracts
Bernard Bricheux, Claire Guillaumot, Taoufik Kharroubi and Jacques Werren Le contrat CAC 40 du MATIF
Jean Lefoll, Richard Ormond and Miguel Velazquez Arbritrage conditions for option pricing on the SOFFEX
Christian Walter Mise en évidence de distributions Lévy-stables et d'une structure fractable sur le marché de Paris
Corynne Jaffeux L'efficience sous la forme faible : l'exemple du second marché
Michel Crouhy and Dan Galai Warrant valuation : a binomial approach
Insurance and Finance
Colm Fagan Profit reporting and analysis in unit-linked life insurance
Eugenio Prieto-Perez Insurance as investment
Steen Sorensen Development of unit-linked life insurance
Knut K. Aase Stochastic equilibrium and premiums in insurance
Erhardt Kremer On a risk process with autoregressive interest return
Mark W. Griffin An excess spread approach to non-participating insurance products
Steven Haberman Stochastic approach to pension funding methods
Jidah A. Nader A duration rule for evaluating corporate pension plan generosity
Peter Albrecht Combining actuarial and financial risk : a stochastic corporate model and its consequences for premium calculation
Gérard Croset La gestion des bons d'assurance et de capitalisation à taux garanti
Phlim P. Boyle and Angelien Kemna Analysis of solvency guarantees provided by the insurance industry
Edward J. Levay C.F.T. : Computerized financial tomography
Helge-Ivar Magnussen Life insurance, inflation and investment
Henk von Eije Reinsurance, actuarial concepts and financial values
Antonio Minzoni and Ana Luisa Santillan Financial risks of insurance companies during an inflationary period : a Mexican case
Richard Derrig The development of property-liability insurance pricing models in the United States 1969-1989
Francine Roure Structure et rythme de placement des sociétés d'assurance en France
Greg Taylor The rate of return for discounting non-life insurance loss reserves