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Programme

 

Sunday 13 July

18:00

Registration

19:00-21:00

Welcome Drinks Reception & Buffet
Sculpture Hall, Manchester Town Hall

Monday 14 July

08:00

Registration (for those who did not register on 13 July)

09:00

Formal Opening of 38th ASTIN Colloquium

09:30

PLENARY 1
Climate change and its impacts
Julia Slingo, Director, Centre for Global Atmospheric Modelling, Department of Meteorology, University of Reading, UK

10:30-11:00

Refreshment Break

11:00-12:30

CONCURRENT SESSION 1
Please attend either Session 1 A or 1B

Session 1A
Climate Change and its Impacts

Hurricanes in the North Atlantic, should insurance pricing be based on long-term averages?

Trevor Maynard


Climate change and its impact on building water damage

Ola Haug, Xeni K Dimakos, Jofrid F Vårdal, Magne Aldrin


An introduction to insurance in the carbon market

Nick Silver


Session 1B
Modelling and Model Risk

Model Risk in Claims Reserving within Tweedie's Compound Poisson Models

Gareth Peters, Pavel Shevchenko, Mario Wuthrich


Bootstrap Estimation of the Predictive Distributions of Reserves using Paid and Incurred Claims

Hui Liu, Richard Verrall


A Loss Reserving Method for Incomplete Claim Data

René Dahms

12:30

Lunch

13:30-15:00

CONCURRENT SESSION 2
Please attend either Session 2A, 2B or 2C

Session 2
Emerging Risks

Economic Consequences of a Global Energy Crisis

Anthony Day


Applying Option Pricing Theory to Flood Insurance and other Catastrophe Risks

Luiz Vitiello, Ser-Haung Poon


Tax-deductable Pre-event Catastrophe Loss Reserves: The Case of Florida

Andreas Milidonis, Martin Grace


Session 2 B
Shortfall

Expected Shortfall of Claims Amounts: some Practical Aspects

Frederic Planchet, Pierre E Therond


Transform Approach for Operational Risk Modelling: VaR and TCE

Jiwook Jang, Genyuan Fu


Quantile-Based VaR (Value at Risk) to Appraise an Insurance/Reinsurance Business's ERM-Economic Risk Capital

Chitro Majumdar


Session 2 C
Risk Transfer and Securitization

Addressing Credit and Basis Risk Arising from Hedging Weather-Related Risk with Weather Derivatives

Patrick Brockett, Linda Golden, Charles Yang, Hong Zou


Towards and Understanding Approach of the Insurance Linked Securities Market

Mathieu Gatumel, Dominique Guegan


Most Elegant Premium Formulas for the Most General Drop Down Excess of Loss Cover

Erhard Kremer

15:00

Refreshment Break

15:30-17:00

CONCURRENT SESSION 3
Please attend either Session 3A or 3B

Session 3 A
The Actuary's Toolkit: Software

XL Property Rating: a Reinsurance Pricing Tool Combining Experience and Exposure Rating for Property Excess of Loss Treaties

Mohammed Snoussi, S Desmedt,  Xavier Chenut, J Walhin


The Actuary's Toolkit: A View from EMB

Peter England


Dynamic Financial Analysis: An Untrodden Path of Catrisk and Solvency II

Chitro Majumdar


Session 3 B
Claims Development Process and Loss Reserving

Modelling the Claims Development Result for Solvency Purposes

Michael Merz, Mario Wuethrich


Bayesian Approach for Prediction Error in Chain-ladder Claims Reserving

Ji Yao


Bornhuetter-Ferguson as a General Principle of Loss Reserving

Klaus Schmidt

17:00

Close

18:30

Civic Drinks Reception

19:30-22:30

Formal Conference Dinner
Manchester Town Hall

Tuesday 15 July

09:00

PLENARY 2
Accounting for Extreme-Value Dependence in Multivariate Data

Guest Speaker: Professor Christian Genest, Department of Mathematics & Statistics, Faculty of Sciences & Engineering, Laval University, Canada

Christian Genest, Ph.D., is Professor of Statistics at Université Laval, Québec, Canada. Multivariate analysis, nonparametric inference and dependence modelling using copulas are recurring themes of his research work, which includes applications in actuarial science and finance.

Christian is the current President of the Statistical Society of Canada, an Associate Editor for various journals and a former Editor of The Canadian Journal of Statistics.

10:00

Refreshment Break

10:30-12:00

CONCURRENT SESSION 4
Please attend either Session 4A, 4B or 4C

Session 4 A  
Dependence Modelling

Modelling Dependence of Interest Rates, Inflation Rates and Stock Market Returns

Hans Waszink


Extensions of the Wang Transform for the Pricing of Insurance and Financial Risks

M Kijima, Yukio Muromachi


Modelling Aggregate Non-life Underwriting Risk: Standard Formula vs. Internal Model

Gian Clemente, Nino Savelli


Session 4 B
Capital Allocation and Finance

Capital Allocation by Percentile Layer

Neil Bodoff


Return Attribution Analysis of the UK Insurance Portfolios

George A Christodoulakis, Emmanuel Mamatzakis


About the Uncertainty of Past Inflation

Michael Fackler


Session 4 C
Statistical Modelling and Insurance

Claim Counts Modelling and Stable Distributions

José Vilar-Zanón, Antonio Heras-Martínez, José 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

Alexandros Zimbidis,  Athanasios Pantelous, Grigoris  Kalogeropoulos


Zone-adaptive Control Strategy for a Multiperiodic Model of Risk

Vsevolod Malinovskii

12:00

Lunch on the Run

12:10

Coaches depart for afternoon social trip to Tatton Park and Chester

19:00

For delegates having dinner in Manchester:
(please check the back of you badge for your selected option)

Coaches depart Chester from the Little Roddee Car Park

22:30

For delegates having dinner in Chester:
(please check the back of you badge for your selected option)

Coaches depart Chester from the Little Roddee Car Park

Wednesday 16 July

09:00

PLENARY 3

Solvency II: Invited Panel to be chaired by James Orr, Financial Services Authority

Annette Olesen, Arne Sandstrom, Kathryn Morgan and Petra Wildemann

10:00

Refreshment Break

10:30-12:00

CONCURRENT SESSION 5
Please attend either Session 5A, 5B or 5C

Session 5 A
Solvency II and Risk

The Solvency II Actuary

Kathryn Morgan, Annette Olesen


The One-Year Non-Life Insurance Risk

Esbjorn Ohlsson, Jan Lauzeningks


Give Credit Where Credit is Due: Operational Risk goes Bayesian

Donminik Lambrigger, Paul Shevchenko, Mario Wuethrich


Session 5 B
Statistical Modelling and Ratemaking

About the Justification of Experience Rating: Bonus Malus System and a New Poisson Mixture Model

Magda Schiegl


Clustering in Ratemaking: With Application in Territories Clustering

Ji Yao


Robust Fitting of Claim Severity Distributions and the Method of Trimmed Moments

Vytaras Brazauskas, Bruce Jones, Ričardas Zitikis


Session 5 C
Economic Modelling in Insurance

A Dynamic Model of a Non-life Insurance Portfolio

Colin Ramsay


An Actuarial Model of Cross Subsidization in Price-regulated Insurance Markets Under Moral Hazard

Andreas Milidonis


Optimal Insurance Coverage of a Durable Consumption Good with a Premium Loading in a Continuous Time Economy

Masaaki Kiijima, Teruyoshi Suzuki

12:00-13:00

PLENARY 4
Insurance Enterprise Risk Management

Guest Speaker: David Ingram, Senior Director, ERM, Standard & Poor's, Insurance Ratings, USA

13:00

Lunch

14:00-15:30

CONCURRENT SESSION 6
Please attend either Session 6A or 6B

Session 6 A
ERM and Catastrophes

Stochastic Modelling of Catastrophe Risks in DFA Models

Dorothea Diers


Measurement and Transfer of Catastrophe Risks: A Simulation Analysis

Enrique de Alba, Jesus Zuniga, Marco Ramirez Corzo


Reinsurance Contract Valuation when the Liabilities are of Fractional Brownian Motion Type

Nikos Frangos, Athanasios Yannacopoulos and Sypros Vrontos


Session 6 B
Solvency II and Internal Models

Dynamic Financial Analysis of the Minimum Capital Requirement: Empirical Analysis of Polish Non-life Insurance Companies

Wojciech Bijak


The Non-Life Solvency II Model

Werner Huerlimann


Solvency II vs. IFRS

Kathryn Morgan, Paul Klumpes

15:30

Refreshment Break

16:00

Education for Risk Management

The Great Hall

17:00

ASTIN General Meeting and Formal Close of 38th ASTIN Colloquium

The Great Hall

17:30

Close

19:00

Coaches will depart from Manchester Town Hall for the Gala Dinner at the Imperial War Museum North

19:25

Drinks Reception and Gala Dinner
Imperial War Museum North

The 2008 ASTIN Colloquium’s final gala dinner will be held under the Harrier jump-jet at one of the most talked about Museums in Britain today. The Imperial War Museum North is about people and their stories, about how lives have been and still are shaped by war and conflict.  The award-winning building by international architect Daniel Libeskind is a symbol of our world torn apart by conflict. Delegates will have the apportunity to tour the musuem before the gala dinner begins.

Members of the Actuarial Profession may find the Colloquium a useful contribution to their Continuing Professional Development needs.  The total hours of CPD claimable for the Colloquium are 15 hours.

Accompanying Persons Programme

Monday 14 July 2008

10.00

Registration at Manchester Town Hall
The registration desk will be placed outside the Great Hall

10.30

Discover Manchester!
A Guided City Walking Tour

12.30

Lunch at Yang Sing
Set in Manchester’s China Town

14.00

Coach pick up to Lyme Park
Please join the coach opposite the Yang Sing Restaurant

16.40

Coach departs from Lyme Park
Please join the coach at the Main Car Park

 

Tuesday 15 July 2008

09.40

Group assembles at Manchester Town Hall
Please note you will be walking to and from the Urbis Museum

09.45

Urbis Museum
Explore at your leisure

11.30

Depart Urbis Museum

11.50

Return to Manchester Town Hall
Please collect your packed lunch from outside the Great Hall

 

Wednesday 16 July 2008

10.25

Group assemble at Manchester Town Hall

10.30

Coach departs for the Lowry Gallery 
Please join the coach outside the Town Hall

11.00

Lowry Gallery
Explore at your leisure

12.30

Coach departs

13.00

Coach returns to Manchester Town Hall

 

Free time in Manchester