ASTIN 2011 19-22 June - Madrid, Spain
 Hosted by Instituto de Actuarios Españoles Madrid

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
ASTINAuditorium 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
ASTINAuditorium 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
ASTINCastellana 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
ASTINCastellana 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
ASTINCastellana 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
ASTINCastellana 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
ASTINCastellana 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)

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
ASTINCastellana 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
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