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