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.
Abstracts
Accepted Papers
Climate Change and its Impacts
Climate Change and its Impact on Building Water Damage [ Abstract ] [ Paper ]
Ola Haug,
Xeni K. Dimakos,
Jofrid F. Vårdal,
Magne Aldrin
Hurricanes in the North Atlantic, Should Insurance Pricing Be
Based on Long-Term Averages? [ Abstract ] [ Paper ]
Trevor Maynard
An Introduction to Insurance in the Carbon Market [ Abstract ] [ Paper ]
Nick Silver
Modelling and Model Risk
A Loss Reserving Method for Incomplete Claim Data [ Abstract ] [ Paper ]
René Dahms
Bootstrap Estimation of the Predictive Distributions of Reserves Using Paid and Incurred Claims [ Abstract ] [ Paper ]
Huijuan Liu, Richard Verrall
Model Risk in Claims Reserving within Tweedie’s Compound Poisson Models [ Abstract ]
Gareth W Peters, Pavel V Shevchenko, Mario V Wuthrich
Emerging Risks
Economic Consequences of a Global Energy Crisis [ Abstract ] [ Paper ]
Anthony Day
Tax-Deductable Pre-Event Catastrophe Loss Reserves: The Case of Florida [ Abstract ] [ Paper ]
Andreas Milidonis, Martin F. Grace
Applying Option Pricing Theory to Flood Insurance and Other Catastrophe Risks [ Abstract ] [ Paper ]
Ser-Huang Poon, Luiz Vitiello
Shortfall
Transform Approach for Operational Risk Modelling: VaR and TCE [ Abstract ] [ Paper ]
Jiwook Jang, Genyuan Foo
Quantile Based VaR (Value at Risk) to Appraise an
Insurance/Reinsurance Business’s ERM-Economic Risk Capital [ Abstract ]
Chitro Majumdar
Expected Shortfall of Claims Events: Some Practical Aspects [ Abstract ] [ Paper ]
Frederic Planchet, Pierre E Therond
Risk Transfer and Securitization
Addressing Credit and Basis Risk Arising From Hedging Weather-related
Risk with Weather Derivatives [ Abstract ] [ Paper ]
Patrick L Brockett, Linda L. Golden, Charles C Yang, Hong Zou
Towards an Understanding Approach of the Insurance Linked Securities Market [ Abstract ] [ Paper ]
Mathieu Gatumel, Dominique Guegan
Most Elegant Premium Formulas for the most General Drop Down Excess of Loss Cover [ Abstract ] [ Paper ]
Erhard Kremer
The Actuary's Toolkit: Software
The Actuary’s Toolkit: A View from EMB [ Abstract ] [ Paper ]
Peter D. England
Dynamic Financial Analysis: An Untrodden Path of Catrisk
and Solvency II [ Abstract ]
Chitro Majumdar
XL Property Rating: A Reinsurance Pricing Tool Combining Expertise and Exposure Rating for Property Excess of Loss Treaties [ Abstract ]
M Snoussi, S Desmedt, X Chenut, J F Walhin
Claims Development Process and Loss Reserving
Modelling the Claims Development Result for Solvency Purposes [ Abstract ] [ Paper ]
Michael Merz, Mario V Wuthrich
Bornhuetter-Ferguson as a General Principle of Loss Reserving [ Abstract ] [ Paper ]
Klaus D. Schmidt
Bayesian Approach for Prediction Error in Chain-Ladder Claims Reserving [ Abstract ] [ Paper ]
Ji Yao
Dependence Modelling
Extensions of the Wang Transform for the Pricing of Insurance and Financial Risks [ Abstract ] [ Paper ]
Masaaki Kijima, Yukio Muromachi
Modelling Aggregate Non-Life Underwriting Risk: Standard Formula Vs Internal Model [ Abstract ] [ Paper ]
Nino Savelli, Gian Paolo Clemente
Modelling Dependence of Interest Rates, Inflation Rates
and Stock Market Returns [ Abstract ] [ Paper ]
Hans Waszink
Capital Allocation and Finance
Captial Allocation by Percentile Layer [ Abstract ] [ Paper ]
Neil M Bodoff
Return Attribution Analysis of the UK Insurance Portfolios [ Abstract ] [ Paper ]
George A Christodoulakis, Emmanuel C Mamatzakis
About the Uncertainty of Past Inflation -
A Mathematical Answer to Why We Don’t Use the Data oOf 80 Years Ago [ Abstract ] [ Paper ]
Michael Fackler
Statistical Modelling and Insurance
Zone-Adaptive Control Strategy for a Multiperiodic Model of Risk [ Abstract ] [ Paper ]
Vsevolod K. Malinovskii
Claim Counts Modeling and Stable Distributions [ Abstract ] [ Paper ]
José L. Vilar-Zanón, Antonio Heras-Martínez, José A. Gil-Fana
A Generalized Linear Discrete Time Model for Managing the Solvency Interaction and Singularities Arising from Potential Regulatory Constraints Imposed within a Portfolio of Different Insurance Products [ Abstract ] [ Paper ]
Alexandros A. Zimbidis, Athanasios A. Pantelous, Grigoris I. Kalogeropoulos
Solvency II and Risk
Give Credit Where Credit is Due: Operational Risk goes Bayesian [ Abstract ] [ Paper ]
Dominik D Lambrigger, Pavel V Shevchenko, Mario V Wuthrich
The Solvency II Actuary [ Abstract ] [ Paper ]
Kathryn Morgan, Annette Olesen
The One-Year Non-Life Insurance Risk [ Abstract ] [ Paper ]
Esbjorn Ohlsson, Jan Lauzeningks
Statistical Modelling and Ratemaking
Robust Fitting of Claim Severity Distributions and Method of Trimmed Moments [ Abstract ] [ Paper ]
Vytaras Brazauskas
About Justification of Experience Rating: Bonus Malus System and a New Poisson Mixture Model [ Abstract ] [ Paper ]
Magda Schiegl
Clustering in Ratemaking: With Application in Terriatories Clustering [ Abstract ] [ Paper ]
Ji Yao
Economic Modelling in Insurance
Optimal Insurance Coverage of a Durable Consumption Good with a Premium Loading in a Continus Time Economy [ Abstract ] [ Paper ]
Masaaki Kiijima, Teruyoshi Suzuki
An Actuarial Model of Cross Subsidization in Price-Regulated
Insurance Markets under Moral Hazard [ Abstract ]
Andreas Milidonis
A Dynamic Model of a Non-Life Insurance Portfolio [ Abstract ] [ Paper ]
Colin M. Ramsay
ERM and Catastrophes
Measurement and Transfer of Catastrophic Risks. A Simulation Analysis [ Abstract ] [ Paper ]
Enrique de Alba, Jesús Zúñiga, Marco A. Ramírez Corzo
Stochastic Modelling of Catastrophe Risks in DFA Models [ Abstract ] [ Paper ]
Dorothea Diers
Reinsurance Contract Valuation when the Liabilities are of Fractional Brownian Motion Type [ Abstract ] [ Paper ]
N. E. Frangos, A. N. Yannacopoulos, S. D. Vrontos
Solvency II and Internal Models
Dynamic Financial Analysis of the Minimum Capital
Requirement. Empirical Analysis of Polish Non-life Insurance
Companies [ Abstract ] [ Paper ]
Wojciech Bijak
On the Non-Life Solvency II Model [ Abstract ] [ Paper ]
Werner Hurlimann
Solvency II versus IFRS:
Cost of Capital Implications for Insurance Firms [ Abstract ] [ Paper ]
Paul J M Klumpes, Kathryn Morgan