ASTIN Colloquium

Berlin, Germany — 24-27 August 2003

Author(s) Paper
Paul Embrechts INSURANCE ANALYTICS: Actuarial Tools for Financial Risk Management
David Mocklow Securitisation of insurance risk - actuarial international trends
Greg Taylor Loss reserving techniques: past, present and future
Aurélie Despeyroux, Charles Levi, Christian Partrat and Jerôme Vignancour Techniques for valuation a general insurance company within the framework of IAS standards: some proposals.
Laura Salvatori, Alessandro Santoni and Darren Michaels Asbestos: The current situation in Europe
Dr. Gerhard Quarg The Munich Chain Ladder - a claims reserving technique that closes the gap between paid and incurred based IBNR-estimates
Thomas Mack and Michael Fackler Exposure Rating in Liability Reinsurance
Thomas Møller Stochastic orders in dynamic reinsurance markets
Andreas Tsanakas Risk exchange with distorted probabilities
Søren Asmussen Some applications of phase-type distributions to insurance and finance
Jens Reich Living is a risky endeavour - less so through genetic medicine?
Jean Lemaire and Angus MacDonald Genetics, family history, and insurance underwriting: an expensive combination?
Hans Bühlmann, Alois Gisler and Denise Kollöffel Multidimensional Credibility applied to estimating the frequency of big claims
Jens Perch Nielsen and Bjørn Lunding Sandqvist Proportionality adjustment in credibility weighted hazard estimation
Sandra Pitrebois, Michel Denuit and Jean-Francois Walhin Marketing and Bonus-Malus Systems
Enkelejd Hashorva and Jürg Hüsler Estimation of Tails and Related Quantities Using the Number of Near-Extremes
Olivier Belguise and Charles Levi Automobile et Incendie à l'aide de la théorie des copulas: Topic 1 Risk evaluation
Arthur Charpentier Tail distribution and dependence measures
Gilles Dupin, Alain Monfort and Jean-Pierre Verle Robust Inference in Rating Models
Frank Krieter Basis Risk and Cat Risk Management
Fabien Faivre Copula: A new vision for Economic Capital and application to a four line of business company
Antonin Gillet and Benjamin Serra Effets de la dépendance entre différentes branches sur le calcul des provisions
Dietmar Pfeifer and Johana Nešlehová Modeling and generating dependent risk processes for IRM and DFA
Gary G Venter A Survey of Capital Allocation Methods with Commentary Topic 3: Risk Control
Harry Panjer Development of international solvency standards for insurance companies


Topic 1: Risk evaluation
– Measuring risk, identifying risk factors, segmentation of risks
– Profit and loss distributions
– Major and catastrophic losses
– Pricing risk, rate making
– Health care, genetics

Topic 2: Risk finance and risk transfer
– Reinsurance
– Financial reinsurance
– Alternative risk transfer
– Insurance derivatives

Topic 3: Risk control
– Claims reserving
– Ruin theory, solvency
– Asset liability management, dynamic financial analysis
– Overall capital requirements and allocation to portfolio segments

Topic 4: Other
– Miscellaneous subjects not covered under topics 1–3