Programme

PDF Program Available Here

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

Programme

Plenary 1

Concurrent Session 1

Plenary 2

Concurrent Session 2

Concurrent Session 3

Plenary 3

Plenary 4

Plenary 5

Plenary 6

Concurrent Session 4

Plenary 7

Plenary 8

Concurrent Session 5