AFIR/ERM Colloquium

Tokyo, Japan — August 24-27, 1999

Author(s) Paper
Isao Hayashi Foreward
Michael Adam and Raimond Maurer An Empirical Test of Risk-Adjusted Performance Utilising Call Option Writing and Put Option Buying Hedge-Strategies
Kimiaki Aonuma and Hidetoshi Nagasawa Valuation of Credit Default Swap and Parameter Estimation for Vasicek-type Hazard Rate Model
William Babcock and Steven Craighead Portfolio Optimization in Corporate Models
Gyongyi Bugar and Raimond Maurer International Portfolio Diversification for European Countries: The Viewpoint of Hungarian and German Investors
Andrew J.G. Cairns A Multifactor, Equilibrium Model for the Term Structure and Inflation
Geoff Chaplin Insuring Corporate Failure: Credit Default Swaps
Wen-Tseng Chu and Kazuo Kishimoto On Empirical Heteroskedastic Properties of Japanese Stock Price Changes
Samuel H. Cox and Hal W. Pedersen Nonparametric Estimation of Interest Rate Term Structure and Insurance Applications
Tobias S. Dillmann and Jochen Ruß

Implicit Options in Life Insurance Contracts

Jan Donselaar Guaranteed Returns: Risks Assured?
Bronshtein Efim and Spivak Semyen Problems of Optimization of an Investment Portfolio
Martin de Gelder and Falco R. Valkenberg Solvency Margin and Investment Risk for Pension Funds in the Netherlands
Anders Grosen and Peter Løchte Jørgensen Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options and Bonus Policies
Masaaki Kijima and Masamitsu Ohnishi Stochastic Orders and Their Application in Financial Optimization
Kristian R. Miltersen and Svein-Arne Persson Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
Hiroshi Miyai Return Expectation Based on Economic Growth and its Implication for Public Pension System
Nobuhiro Nakamura Increasing Markovian Families in Multi-Factor Health-Jarrow-Morton Models and Pricing Credit Derivatives
Edwin H. Neave and George L Ye Valuation of Arithmetic Average Calls: Further Results
Akihiko Oba and Syunsuke Kasuga Dynamic Models for Investment of Pension Fund Assets - The Sundresan-Model Approach
Jeffrey Pai and Hal W. Pedersen Threshold Models of the Term Structure of Interest Rates
Spivak Semyen and Bronshtein Etim How to Reform the Portfolio
Elias S.W. Shiu and Yong Yao Closed-Form Formulas for Generalized Cox, Ingersoll and Ross Models
Miwaka Yamashita VaR Control, as a Source of Profit
Joint Day Proceedings
Niklaus Bühlmann and Hans-Fredo List Economic Rationale for Reinsurance Stochastic Models
Chiu-Cheng Chang Counter-Measures Against Earthquake Risks Around the World
Yu Cheng and Jeffrey S. Pai The Maintenance Properties of nth Stop-Loss Order
K.L. Chu, H. Yang and K.C. Yuen Estimation in the Constant Elasticity of Variance Model
Marc J. Goovaerts, Jan Dhaene and Ann D. Schepper Stochastic Upper Bounds for Present Value Functions
Satoru Kimura Cost of Capital for Equity Holders and Related Credit Risk Premium
Paul Nealon and Bill Yit A Financial Approach for Determining Capital Adequacy and Allocating Capital for Insurance Companies
Arjen H. Siegmann and André Lucas Continuous-Time Dynamic Programming for ALM with Risk Averse Loss Functions
Shuji Tanaka and Yukio Muromachi A New Method for Evaluating and Managing the Complex Risks Embedded in a Life Insurer's Balance Sheet
A. David Wilkie Asset-Liability Modelling for Pension Schemes
Y. Yaboubov, M. Teeger and D.B. Duval A Stochastic Investment Model for Asset and Liability Management
Masahiko Yamahata and Catastrophe Risk Research Group A Study of Methods for Coping with Typhoons Cash-Flow Simulation Using CAT Bonds
Invited Speaker's Papers
Hirotugu Akaike On the Strategy for Efficient Realization of Statistical Reasoning
James N. Stanard The Effective Use of Actuarial Models
Hans Bühlmann Can You See the Quality of a Financial Risk?
Thomas S. Y. Ho Corporate Performance Measures: An Integrated Approach
Freddy Delbaen Coherent Risk Measures on General Probability Spaces
Takeaki Kariya Financial Engineering and the Japanese Financial Industry - Toward Finansurance
Shigeo Kusuoka The Foundation of Mathematical Finance - Historical Tour in Stochastic Analysis
Teiichi Anazawa Market Value of Insurance Liability
Hideki Iwaki and Masaaki Kijima An Economic Premium Principle in Multiperiod Time Horizon
Naoki Matsuyama A Feasibility Study of the Optimal Asset Mix for Japense Life Insurer's General Account
Jun Sekine Quantile Hedging for Defaultable Securities in an Incomplete Market
A. David Wilkie Asset-Liability Modelling for Pension Schemes