AFIR/ERM Colloquium

Zurich, Switzerland — 7-9 September 2005

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Authors Paper
Joint ASTIN-AFIR/ERM Day - Invited Lectures
Phelim Boyle, University of Waterloo Incomplete Markets: Some Reflections (Presentation)
Elias S.W. Shiu, University of Iowa Dynamic Fund Protection (Paper) (Presentation)
Hans Bühlmann, ETH Zurich   On Three Fundamental Issues of Insurance (Presentation)
Robert F. Engle, 2003 Nobel Laureate in Economic Sciences, Stern School of Business, NYU Downside Risk - Econometric Models and Financial Implications (Paper) (Presentation)
Invited Lecture
Mary Hardy , University of Waterloo Validation of Investment Models for Actuarial Applications (Presentation)
Portfolio Models
P. Devolder and D. Hainaut The annuity puzzle revisited: a deterministic version with Lagrangian methods (Paper) (Presentation)
S. Purcal and H. Wang Optimal consumer behaviour in a jump-diffusion environment (Paper) (Presentation)
L. Passalacqua Mixed-integer credit portfolio optimization: an application to Italian segregated funds (Paper) (Presentation)
P. Ehlers and P. Schönbucher The influence of FX risk on credit spreads (Paper) (Presentation)
Stochastic Mortality
M. Dahl and T. Møller Valuation and hedging of life insurance liabilities with systematic mortality risk (Paper) (Presentation)
E. Luciano and E. Vigna Non mean reverting affine processes for stochastic mortality (Paper) (Presentation)
Insurance Pricing
C.K. Madsen , S. Haastrup and H.W. Pedersen A further examination of insurance pricing and underwriting cycles (Paper) (Presentation)
M. Yamashita Non-life insurance liability measure: mark to statistical model, financial market, and clients (Paper) (Presentation)
Invited Lecture
Damir Filipovic, University of Munich Risk-based Solvency Capital Requirements (Presentation)
Risk Management
C. Walter Performance Concentration (Paper) (Presentation)
R. Kaufmann Long-term risk management (Paper) (Presentation)
Guarantees
S. Desmedt, X. Chenut and J.F. Walhin A multi-period view on actuarial and financial pricing for guaranteed minimum death benefits in unit-linked life insurance (Paper) (Presentation)
W. Piaskowski Pricing and risk analysis of maturity guarantees embedded in the retirement investment products - Markov switching approach (Paper) (Presentation)
Bonds
G. Deelstra, D. Heyman and
M. Vanmaele
Risk management for a bond using bond put options (Paper) (Presentation)
M. Dahl A continuous-time model for reinvestment risk in bond markets (Paper) (Presentation)
J. Jang Credit derivatives pricing using the Cox process with shot noise intensity (Paper) (Presentation)
Pricing and Hedging
C. Bernard , O. Le Courtois and F. Quittard-Pinon Development and pricing of a new participating contract (Paper) (Presentation)
A. Eyraud-Loisel Backward stochastic differential equations with enlarged filtration: option hedging of an insider trader in a financial market with jumps (Paper) (Presentation)
B. Fernández , D. Hernández-Hernández, A. Meda and P. Saavedra Optima investment and ruin probability for insurers (Paper) (Presentation)
Risk Measurement and Solvency
P. Artzner, F. Delbaen and P. Koch-Medina Risk Measures and efficient use of capital (Paper) (Presentation)
Z. Xie Exploring on the risk profile of China Insurance for setting appropriate solvency capital requirement (Paper) (Presentation)
F. Planchet and P.-E. Therond Impact of the asset jumps in insurance: IFRS / Solvency II (Paper) (Presentation)
Life Insurance Contracts
L. Ballotta, G. Esposito and S. Haberman The international accounting standards project for life insurance contracts: impact on reserving methods and solvency requirements (Paper) (Presentation)
D. Bauer, R. Kiesel, A. Kling and J. Ruß Risk neutral valuation of with-profits life insurance contracts (Paper) (Presentation)
T. Jarolímková Valuation of life insurance using a diffusion interest rate model (Paper) (Presentation)
Risk Management
H.U. Gerber and E.S.W. Shiu On the merger of two companies (Paper)
G.S.Finkelstein Exotic options & guarantees: 100 years of breakthroughs in financial risk management (Paper) (Presentation)
Pensions
V. Reznik and U. Spreitzer An investigation of a portfolio-loss under the CAPM (Paper) (Presentation)
B.-J. MacDonald and A. Cairns DC pension plans for all: what if? (Paper) (Presentation)