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Programme

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Monday 1 June

18.00–20.00

Registration

18.00–21.00

Welcome Reception

Tuesday 2 June

8.00–10.00

Registration

9.00

Formal Opening of the 39th ASTIN Colloquium

9.30

Plenary 1

In Honour of Teivo Pentikäinen: The Evolution of Internal Models in Non-life Insurance
Jukka Rantala, Managing Director Finnish Center for Pensions
Chris Daykin CB, former Government Actuary of the UK

10. 30

Refreshment break

11.00

Concurrent Session 1

Session 1A • Internal Models
The Use of Multi-year Internal Models for Management Decisions in Multi-year Risk Management
Dorothea Diers

Hierarchical Structures in Aggregation of Premium Risk for Insurance Underwriting
Nino Savelli and Gian Paolo Clemente

Various Faces of Risk Measures: Internal Model’s Perspective
Min Wang and Lasse Koskinen

Session 1B • Asset Side Risks
Reinsurance Credit Risk Modelling - DFA APPROACH -
Stephen Britt and Yuriy Krvavych

Decomposing Total Risk of a Portfolio into the Contributions of Individual Assets
Yukio Muromachi

Pricing of CDO’s Based on the Multivariate Wang Transform
Masaaki Kijima, Shin-ichi Motomiya and Yoichi Suzuki

Session 1C • Risk Transfer, Reinsurance
Evaluating the Impact of the Increase in Hurricane Frequency Using an Internal Model. A Simulation Analysis
Enrique de Alba and Ricardo Andrade

Optimal per Claim Reinsurance for Dependent Risks
Manuel Guerra and Maria de Lourdes Centeno

A Predictive Earthquake Model and Alternative Risk Transfer Techniques
Alexandros A. Zimbidis and Athanasios A. Pantelous

12.30

Lunch

13.30

Plenary 2

Post Claim Reserving Methods
Piet de Jong, Professor of Actuarial Studies, Macquarie University

14.30

Concurrent Session 2

Session 2A • General Actuarial Mathematics
Change of Measures for Frequency and Severity
Farrokh Guiahi

Model Uncertainty within the Tweedie Exponential Dispersion Family
Daniel H. Alai and Mario V. Wüthrich

Session 2B • Tariffication
Number of Accidents or Number of Claims? An Approach with Zero-inflated Poisson Models for Panel Data
Jean-Philippe Boucher, Michel Denuit and Montserrat Guillen

Rating without Data – How to Estimate Loss Frequency of Loss-free Risks
Michael Fackler

15.30

Refreshment break

16.00

Concurrent Session 3

Session 3A • General Actuarial Mathematics
Modelling and Simulation of Dependence Structures in Non-life insurance with Bernstein Copulas
Dietmar Pfeifer, Doreen Strassburger and Jörg Philipps

Scenario Analysis for a Multiperiodic Diffusion Model of Risk
Vsevolod K. Malinovskii

Dynamic Financial Analysis (DFA) and Portfolio Management under Recent Stress Scenario
Chitro Majumdar

Session 3 B • Tariffication
Panjer Class United – One Formula for Poisson, Binomial and Negative Binomial Distribution
Michael Fackler

Migrations of Heterogeneous Population of Drivers across Classes of a Bonus-Malus System
Wojciech Otto

Strategic Planning, Risk Pricing and Firm Value
Gary G. Venter

18.30

Helsinki City Reception

Wednesday 3 June

09.00

Plenary 3

Securitisation in Non-life Insurance
Jean-Louis Monnier, Director, Swiss Re

10.00

Refreshment break

10.30

Plenary 4

Solvency II and Technical Provisions: Presentation and Discussion
Annette Olesen, Partner, Actuarial & Insurance Solutions, Deloitte
Pasi Laaksonen, Director, Pohjola Insurance Company

On behalf of the Groupe Consultatif Actuariel Europeen

12.00

Lunch

13.00

Departure for Excursion

Thursday 4 June  

09.00

Plenary 5

“Did a Mathematical Formula Really Blow up Wall Street?”
Professor Paul Embrechts, Department of Mathematics, ETH Zurich

Plenary 6

Financial Crisis: Characteristics and Crisis Management
Seppo Honkapohja, Director of Bank of Finland and Professor at the University of Cambridge

10.00

Refreshment break

10.30

Concurrent Session 4

Session 4A • Economic Factors in Non-life Insurance
Economic Factors and Solvency
Harri Nyrhinen

A Dynamic Analysis of the Underwriting Cycle in Non-life Insurance
Rocco Roberto Cerchiara and Fabio Lamantia

Surviving Downswing Phase of the Underwriting Cycle
Vsevolod K. Malinovskii

Session 4B • Claims Reserving
Stochastic Re-reserving in Multi-year Internal Models – An Approach based on Simulations
Dorothea Diers

Proxies
Glenn Meyers

A Three Dimensional Stochastic Model for Claim Reserving
Magda Schiegl

12.00

Lunch

13.00

Plenary 7

Global warming: Risk of Change and also Chance for Insurance Industry
Peter Hoeppe, Director, Munich Re

Panel Discussion
Heikki Tuomenvirta, Senior Research Scientist, Finnish Meteorological Institute
Esko Kivisaari, Deputy Managing Director, Federation of Finnish Financial Services
Martti Pesonen, Director, Pohjola Insurance Company

Plenary 8

The Prediction Error of Bornhuetter/Ferguson
Thomas Mack, Munich Re

14.30

Refreshment break

15.00

Concurrent Session 5

Session 5A • Securitisation
An Analysis of the Market Price of Cat Bonds
Neil M. Bodoff and Yunbo Gan

Statistical Analysis of the Spreads of Catastrophe Bonds at the Time of Issue
Dimitris Papachristou

Equilibrium Pricing of Contingent Claims in Tradable Permit Markets
Masaaki Kijima, Akira Maeda and Katsumasa Nishide

Session 5B • Solvency II issues
Optimization of the Non-life Insurance Risk Diversification in Solvency II
Werner Hürlimann

Systematic Risk Modelisation in Credit Risk Insurance
Frédéric Planchet, Jean-Francois Decroocq and Fabrice Magnin

The Insurance Risk in the SST and in Solvency II: Modeling and Parameter Estimation
Alois Gisler

16.30

ASTIN General Meeting and Formal Close of the 39th ASTIN Colloquium

19.00

Gala Dinner
Restaurant Boat House