Final Programme

Monday 20

Plenary Session 1 @ 10:00 - 11:00 : Alejandro Balbás
    Risk Measures and the Role of Derivatives in Risk Minimization

Parallel Session 1 @ 11:00 - 12:00

ASTIN	Auditorium	Risk Margin for a Non-Life Insurance Run-Off (Paper) Mario V. Wuthrich , Paul Embrechts , Andreas Tsanakasy
		Development Pattern and Prediction Error for the Stochastic Bornhuetter-Ferguson Claims Reserving Method (Paper) Annina Saluz, Alois Gisler, Mario Wuthrich
		Bornhuetter-Ferguson Reserving Method with Repricing Alois Gisler, Annina Saluz, Mario V. Wüthrich
	Castellana 1	Pricing in Microinsurance Markets (Paper) Christian Biener

Plenary Session 2 @ 12:00 - 13:00 : Paul Embrechts
    Risk Aggregation and Diversification: Issues and Pitfalls

Parallel Session 2 @ 14:00 - 15:00

ASTIN	Auditorium	Explicit ruin formulas for models with dependence among risks (Paper) Corina Constantinescu
		On the distortion of a copula and its margins (Paper) Emiliano A. Valdez, Yugu Xiao
		Simulation of High-Dimensional T-Student Copula (Paper) Gerard Torrent
	Castellana 1	Climate Change and Resource Depletion: The Challenge For Actuaries (Review of Literature) S.D. Baxter, O.D. Bettis, S.J.R. Brimblecombe, C.A. Fitzgerald, Dr. S. Harrison, V.J. Hodge, B.P. Maher, P.G. Meins, A. Mookerjee. L. Perroy and N.G. Silver
		The financial crisis – risk transfer, insurance layers and (no?) reinsurance culture (Paper) Michael Fackler

Plenary Session 3 @ 15:00 - 16:00 : Pierre Devolder
    Solvency Measure for Pension Liabilities : Time, Inflation and Longevity Aspects

Parallel Session 3 @ 16:30 - 17:30

ASTIN	Castellana 1	Multirisks models in discrete time (Paper) Anna Castañer, M. Mercè Claramunt, Claude Lefèvre
		Actuarial Applications of Distance-Based Generalized Linear Models (Paper) Eva Boj, Josep Fortiana, Anna Esteve, M. M. Claramunt, T. Costa
		Index of Ranking for bonus-malus system (Paper) José A. Álvarez Jareño, Prudencio Muñiz Rodríguez
	Castellana 2	The Retrospective Testing of Stochastic Loss Reserve Models (Paper) Glenn Meyers, Peng Shi
		Diagonal effects in claims reserving Niels Rietdorf, Anders Hedegaard Jessen
		Provisions for loss adjustment expenses (Paper) Niels Rietdorf, Anders Hedegaard Jessen

Tuesday 21

Parallel Session 4 @ 08:30 - 09:30

ASTIN	Castellana 1	Implementing a Solvency II internal model: Bayesian stochastic reserving and Parameter Estimation (Paper) Marco Pirra, Salvatore Forte, Matteo Ialenti
		Calendar Year Reserves in the Multivariate Additive Model (Paper) Alexander Ludwig, Klaus D. Schmidt
		A Model Study about the Applicability of the Chain Ladder Method (Paper) Magda Schiegl

Plenary Session 4 @ 10:00 - 11:00 : David Wilkie
    Real-world Economic Scenario Generators

Parallel Session 5 @ 11:00 - 12:00

ASTIN	Castellana 1	Non parametric approach to analyzing operational risk losses (Paper) Catalina Bolancé, Mercedes Ayuso, Montserrat Guillén
		Count Data Modeling with Multifractal Processes Jean-Philippe Boucher, Donatien Hainaut
		Applications of convex optimization in premium rating (Paper) Dimitri Semenovich, Ian Heppell

Plenary Session 5 @ 12:00 - 13:00 : David Ingram
    Choices and Choosing: ERM and Rational Adaptability

Afternoon excursion @ 14:30 - 23:00
    Organ concert & Choir School at the Royal Monastery of San Lorenzo de El Escorial

Wednesday 22

Parallel Session 6 @ 08:30 - 09:30

ASTIN	Castellana 1	A credibility method for profitable cross-selling of insurance products (Paper) Fredrik Thuring
		On a Hierarchical Credibility Model for Quantiles (Paper) Georgios Pitselis
		Multicollinearity in credibility regression models (Paper) Andrey Kudryavtsev
	Castellana 2	Insurance Risk Economic Capital For Excess-Of-Loss Contracts With an Inflation Stability Clause (Paper) Werner Hürlimann
		Managing exposure to reinsurance credit risk (Paper) Yuriy Krvavych
		A two-dimensional risk model with proportional reinsurance Andrei Badescu

Plenary Session 6 @ 10:00 - 11:00 : José María Sarabia
    A General Methodology for Enriching a Family of Distributions with Applications in Insurance

Parallel Session 7 @ 11:00 - 12:00

ASTIN	Castellana 1	Claims Development Result in the Paid-Incurred Chain Reserving Method (Paper) Sebastian Happ , Michael Merzy, Mario V. WuthricH
		Double Chain Ladder (Paper) María Dolores Martínez Miranda, Jens Perch Nielsen, Richard Verrall
		Double Chain Ladder and Bornhuetter-Ferguson (Paper) María Dolores Martínez Miranda, Jens Perch Nielsen, Richard Verrall
	Castellana 2	Bayesian Graduation. A Fresh View (Paper) Enrique de Alba, Ricardo Andrade
		Health care insurance pricing when the healthy and sick periods form an alternating renewal process with stochastic force of interest (Paper) Franck ADEKAMBI

Plenary Session 7 @ 12:00 - 13:00 : Jean Lemaire
    The Impact of Culture and Political Risk on Non-Life Insurance

Plenary Session 8 @ 14:00 - 15:00 : Michael Sherries
    Enterprise Risk Management, Insurer Value Maximisation and Market Frictions

Plenary Session 9 @ 15:00 - 16:00 : Jean Berthon
    Finance: To Be Ethical or Not To Be

Parallel Session 8 @ 16:30 - 17:30

ASTIN	Castellana 1	Multi-Year Enterprise Risk Management based on Internal Models Dorothea Diers
		A correlation analysis for non life underwriting module SCR (Paper) Lluís Bermúdez, Antoni Ferri, Montserrat Guillén
		Sustainability of Earnings: A Framework for Quantitative Modeling of Strategy, Risk, and Value (Paper) Neil M. Bodoff
	Castellana 2	Dividend problems in the dual risk model (Paper) Lourdes B. Afonso, Rui M.R. Cardoso, Alfredo D. Egídio dos Reis
		Measuring the Impact of Inflation on the undiscounted Loss Reserves (Paper) René Stephan
		Inflation and excess insurance (Paper) Michael Fackler

Parallel Session 9 @ 17:30 - 18:30

ASTIN	Castellana 1	METHODOLOGY IN SIMULATION ESTIMATION OF COLLECTIVE RISK IN NON-LIFE INSURANCE Jozef Hajnala
		Stochastic Claim Reserving Based on CRM for Solvency II Purposes (Paper) Gian Paolo Clemente, Nino Savelli
		Modelling Dependence in Insurance Claims Processes with Levy Copulas (Paper) Benjamin Avanzi, Luke C. Cassara, Bernard Wong