AFIR/ERM Colloquium

Rome, Italy — April 2, 1993 

Author(s) Paper
Giuseppe Ottaviani Foreward
Analysis of financial markets and financial products
Bob J.J. Alting von Gesau A First Analysis of the Risk in the Dutch RSK-Asset-Compensation System
Jean-Claude Augros Evaluation des euro-obligations convertibles à option de change
Anna Rita Bacinello and Fulvio Ortu Pricing Guaranteed Securities-linked Life Insurance Under Interest-rate Risk
Marc Bonnassieux and Vincent Brunel Un modèle de Ho & Lee generalisé
Philippe Delienne, Pierre Brugière and Philippe Mimran Options de change dans le SME
Lawrence Dryden and Mark Hancock The Myth of Index-linked Bond Duration
L. Elie, N. El Karoui, T. Jeantheau and A. Pferzel Les modèles arch sur les cours de change
Elisa Luciano Bond Pricing Through Bargaining
Eduardo Melinksy Stock Options in Argentine Capital Market
Edwin H. Neave Exact Solutions for Average Spot and Average Strike Price European Options on a Recombining Random Walk
Esko Prokkola Learning from Depression
Antonio Roma Theoretical Prices of Currency-basket Bonds
Adriaan C. Ryder and Heather D. McLeod The Reporting of Portfolios Containing Futures and Options: The Trustee Perspective
Michael Sherris Pricing and Hedging Loan Prepayment Risk
James A. Tilley Valuing American Options in a Path Simulation Model
Christian Walter Mesure de performance corrigée du risque: Une synthèse des méthodes existantes
A. David Wilkie Can Dividend Yields Predict Share Price Changes?
Andrew J. Wise The Investment Return from a Constantly Rebalancing Asset Mix
Effects of the modern thoery of finance on financial institutions
Marida Bertocchi and Enrico Cavalli Decision Support Methodologies in Finance
Richard A. Derrig Theoretical Considerations of the Effect of Ffederal Income Taxes on Investment in Property-liability Ratemaking
Paul Kennedy Financial Risks in the Audit of a Life Insurer
Björn Palmgren Supervision and Asset Risk in Insurance
Models and techniques for financial risk management
Peter Albrecht Normal and Lognormal Shortfall-risk
Baruch Berliner and Niklaus Buehlmann A Generalisation of the Fuzzy Zooming of Cash Flows
Stefano Bosco Solvency Standards in an Insurance Company
Jean François Boulier, Michel André Levy and Serge Demay Enhanced Immunization Technique Applied to the French Bond Market
Mark S. Claassen A Systemic Approach to the Financial Management and Risk Control of Employee Benefit Funds
Robert S. Clarkson Some Observations on the Theory of Games
Stewart Coutts Immunization is Dead
Chris Daykin, Grant Ballantine and Douglas Anderson Modelling the Assets and Liabilities of a Pension Fund
Peter E.B. Ford Some Further Investigations into Cashflow Matching
Jose A. Gil Fana, Antonio H. Martinez and Jose L. Vilar Zanon Etude du comportement de la probabilité de ruine dans un cas de réassurance quote-part avec plusieurs sous portefeuilles
Mark W. Griffin Asset/Liability Management of the Bons de Capitalisation Product
Mark Griffin A New Rationale for the Different Asset Allocation of Dutch and UK Pension Funds
Paul Haines The Investment of Pension Funds
Christian Hipp Hedging General Claims
Ralph Honegger and Christiane Mathis Duration of Life Insurance Liabilities and Asset Liability Management
Werner Hürlimann Méthodes stochastiques d'évaluation du rendement
Antonio Iannizzotto Risk-Loading to Match Cost of Equalisation Reserve for Bonds
Paul Kennedy Managing Financial Instruments in a Life Company Portfolio
Hoai Minh Lam and Christine Barbier Gestion actif/passif (ALM) de portefeuilles des institutionnels
Patrick J. Lee Portfolio Selection in the Presence of Options and the Distributions of Return of Portfolios Containing Options
Giovanni Longo Portfolio Insurance by Dynamic Asset Allocation
Peter M. Ludvik The Wilkie Model Revisited
Angus S. MacDonald What is the Value of a Valuation?
Joseph W.E. Mariathasan and Peter F. Rains Strategic Financial Management in a General Insurance Company
Thomas J. Merfeld The Ffinancial Intuition Behind a Lognormal Interest Rate Diffusion Process
Marguerite Metz and Marianne Ort Stochastic Models for the Swiss Consumer's Price Index and the Cost of the Adjustment of Pensions to Inflation for a Pension Fund
Carlo Mottura Managing Profit-sharing Policies in a Financial Immunization Framework
Ragnar Norberg A Solvency Study in Life Insurance
Gary Parker Distribution of the Present Value of Future Cash Flows
Godfrey Perrott Stochastic Analysis of Universal Life Products
Eugenio Prieto Perez The Investment Risks of Insurnace Entities
Atso Saajoranta A Segmented Analysis of the Underwriting Reserve and its Cover in a Pension Insurance Company
Pierre Sequier and Jacques Sikorav Bond Warrants: How to Hedge?
Michael Sherris Portfolio Selection Models for Life Insurance and Pension Funds
Andrew Smith Towards a Quantitative Matching Philosophy
Richard J. Squires The Operation of Unitised Funds Incorporating Minimum Benefit Guarantees
Falco R. Valkenburg, Peter Versloot, Margreet D. Wagenaar-Walch and Dick Wenting Asset & Liability Management for Dutch Pension Ffunds