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Accepted Papers

 

The list of papers below gives links to abstracts for papers that have been accepted in their final form. Further abstracts will be added over the coming weeks as well as links to the full papers.

S1: Internal Models
20  Planchet et al : Systematic risk modelisation in credit rsik insurance [ Abstract ] [ Paper ] [ Presentation ]
28  Savelli et al: Hierarchical structures in the aggregation of premium risk for insurance underwritting [ Abstract ] [ Paper ] [ Presentation ]
29 Wang et al: Various facef os risk measures: Internal model perspective [ Abstract ] [ Paper ] [ Presentation ]

S2:Securitisation
2  Bodoff et al: An analysis of the market price of cat bonds [ Abstract ] [ Paper ] [ Presentation ]
6  Papachristou: Statistical analysis of the spreads of catastrophe bonds at the time of issue [ Abstract ] [ Paper ] [ Presentation ]
7  Kijima et al: Squilibrium pricing of contingent claims in tradable permit market [ Abstract ] [ Paper ] [ Presentation ]

S3: Solvency II issues
3   Hürlimann: Optimization of the non-life insurance risk diversification in solvency II [ Abstract ] [ Paper ] [ Presentation ]
12 Diers: The use of multi-year internal models for management decisions in multi-year risk management [ Abstract ] [ Paper ] [ Presentation ]
24 Gisler: The insurance risk in the SST and solvency II: modelling and parameter estimation [ Abstract ] [ Paper ] [ Presentation ]

S4: Claims reserving
11  Diers: Stochastic re-reserving in multi-year internal models -An approach based on simulation [ Abstract ] [ Paper ] [ Presentation ]
21 Myers: Proxies [ Abstract ] [ Paper ] [ Presentation ]
26 Schiegl: A three dimensional stochastic model for claims reserving  [ Abstract ] [ Paper ] [ Presentation ]

S5: Asset side risks
16 Britt et al: Reinsurance credit risk modelling [ Abstract ] [ Paper ] [ Presentation ]
19 Muromachi: Decomposing total risk of a portfolio into the contributions of individual assets [ Abstract ] [ Paper ] [ Presentation ]
2   Kijima et al: Pricing CDO's based on the multivariate Wang transform  [ Abstract ] [ Paper ] [ Presentation ]

S6: Risk transfer, reinsurance
23 de Alba et al: Evaluating the impact of the increase in hurricane frequenfy using an internal model.  A simulation analysis [ Abstract ] [ Paper ] [ Presentation ]
27 Guerra et al: Optimal per claim  reinsurance [ Abstract ] [ Paper ] [ Presentation ]
30 Zimbidis: A predictive earthquake model and alternative risk transfer tecniques [ Abstract ] [ Paper ] [ Presentation ]

S7: Tariffication
1  Boucher et al: Number of accidents or numer of claims? An approach with zero-inflated Poisson models for panel data [ Abstract ] [ Paper ] [ Presentation ]
8  Fackler: Rating without data – how to estimate the loss frequency of loss-free risks [ Abstract ] [ Paper ] [ Presentation ]
13 Fackler: Panjer class united – one formula for the Poisson, binomial and negative binomial distribution [ Abstract ] [ Paper ] [ Presentation ]
17 Otto: Migrations of heterogeneous population of drivers across a bonus-malus system [ Abstract ] [ Paper ] [ Presentation ]
22 Venter: Strategic planning, risk pricing an firm value [ Abstract ] [ Paper ] [ Presentation ]

S8: General actuarial mathematics
4  Guaihi: Change of measures for frequency and severity [ Abstract ] [ Paper ] [ Presentation ]
5  Alai et al: Model uncertainty within Tweedie exponential dispersion family [ Abstract ] [ Paper ] [ Presentation ]
9  Pfeifer et al: Modelling and simulation of dependence structures in nonlife insurance  with Bernstein copulas [ Abstract ] [ Paper ] [ Presentation ]
10 Malinovskii: Scenario analysis for a multiperiodic diffusion model of risk [ Abstract ] [ Paper ] [ Presentation ]
18 Majumdar: Dynamic finncial analysis (DFA) and portfolio management at recent stress scenario [ Abstract ] [ Paper ]

S9:  Economic factors in insurance
14 Nyrhinen: Economic factors and solvency [ Abstract ] [ Paper ] [ Presentation ]
15 Cerchiara: A dynamic analysis of the underwriting cycle in non-life insurance [ Abstract ] [ Paper ] [ Presentation ]
31 Malinovskii: Survive a downswing phase of the underwriting cycle [ Abstract ] [ Paper ] [ Presentation ]