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2007 ASTIN Colloquium Paper Presentations

Over 40 papers, authored by both practitioners and academics, will be presented at the 37th ASTIN Colloquium. Paper topics cover risk management, reserving, and pricing. Pricing issues include applications of credibility, bonus-malus systems, and risk margins, such as those from jump diffusion processes. Several new directions for stochastic modeling of loss reserves are explored. About half the papers concern risk management, subcategories of which include:

  • Issues involved in strategic and operational risk;
  • Applications of risk modeling, such as insolvency risk, reinsurance, capital needs and allocation, market analysis, and strategic planning of subsidiaries;
  • Model building topics, like choice of risk measures, modeling of dependencies, and efficient calculation.

Authors from North America, Australia, and Europe are well represented, but authors from Asian locations such as Beijing, Shanghai, Taiwan, Indonesia, Israel, and Iran are also prominent in this year’s list of authors.

ERM Modeling
Eling, Martin and Toplek, Denis Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis (Presentation)
Gatzert, Nadine Schmeiser, Hato  Schuckmann, Stefan Enterprise Risk Management in Insurance Groups: Measuring Risk Concentration and Default Risk (Presentation)
Gluck, Spencer A Multiline Risk Factor Model
Gorvett, Rick and Liu, Ningwei Using Interpretive Structural Modeling to Identify and Quantify Interactive Risks
Majumdar, Chitro Dynamic Financial Analysis as the untrodden path for company risk measurement under Solvency-II
Thérond, Pierre-E. and Planchet, Frédéric Provisions techniques et capital de solvabilité d'une compagnie d'assurance : méthodologie d'utilisation de Value-at-Risk (English Version) (Presentation)
Xie Zhigang, Wang Shangwen, Zhou Jinhan The Study of Chinese P&C Insurance Risk for the Purpose of Solvency Capital Requirement (Presentation)
ERM Risk
Aalabaf, Morteza  Risk Perceptions and Rationality in Measures of Risk
Degen, Embrechts, and Lambrigger The Quantitative Modeling of Operational Risk: Between g-and-h and EVT (Presentation)
Desmedt, Stijn and Wahlin JF On the Subadditivity of Tail-Value at Risk: An Investigation with Copulas (Presentation)
Mango, Don An Introduction to Insurer Strategic Risk
Mango, Don and Venter, Gary An Introduction to Insurer Operational Risk
ERM Ruin
Afonso Reis Waters A model for numerical evaluation of continuous time ruin probabilities with a variable premium rate
Guerra, Manuel and Centeno, Maria de Lourdes Optimal reinsurance for variance related premium calculation principles (Presentation)
Kaishev, V. K., Dimitrova, D. S. and Ignatov, Z. G. Operational Risk and Insurance: A Ruin-probabilistic Reserving Approach
Loisel, Stéphane Ruin Theory with K Lines of Business
Tsai, Cary Chi-Liang and Parker, Gary Optimal strategies for ruin probabilities and expected gains (Presentation)
ERM Strategy
Furman, Edward and Prof. Zinoviy Landsman  Economic Capital Allocations for Non-Negative Portfolios of Dependent Risks
Krvavych, Yuriy Enhancing insurer value through reinsurance, dividends and capital optimization: an expected utility approach (Presentation)
Pricing - Bonus-Malus
Kryszen, Barbara The Expected Premium Properties in the Bonus-Malus System
Xiao, Yugu, Meng, Shengwang, and Conger, Robert An Extension Model of Financially-balanced Bonus-Malus System (Presentation)
Pricing - Credibility
Couret, Jose and Venter, Gary Classification Credibility
Gisler, Alois and Müller, Petra Credibility for additive and multiplicative models (Presentation)
Robbin, Ira Understanding Split Credibility (Presentation)
Taylor, Greg Credibility, Hypothesis Testing and Regression Software (Presentation)
Pricing - Market
Lindset, Snorre and Persson, Svein-Arne Continuous Monitoring: Look before You Leap
Mango, Don Reinsurance Market Microstructure
Qian, Tao and Yao Ray Analysis of Chinese Motor Insurance (Presentation)
Santoni, Folch and Sanche The Last Thing A Fish Notices Is The Water In Which It Swims Competitive Market Analysis: An Example For Motor Insurance (Presentation)
Pricing - Stochastics
Lin, Shih-Kuei and Chang, Chia-Chien Catastrophe Equity Put in Markov Jump Diffusion Model
Lin, Shih-Kuei and Chang, Chia-Chien Catastrophe Insurance Products in Markov Jump Diffusion Model
Wright, Thomas Modeling Claim Counts (Presentation)
Reserves - Credibility
Barnett, Jack Cape Cod Credibility (Presentation)
Gisler, Alois Credibility in Reserving (Presentation)
Reserves - Stochastics
Hürlimann, Werner A Gamma IBNR Claims Reserving Model with Dependent Development Periods (Presentation)
Jedlika, Petr Various extensions based on Munich Chain Ladder method (Presentation)
Liu, Huijuan and Verrall, Richard Predictive Distributions for Reserves which Separate True IBNR and IBNER Claims
Marsden, Stephen and Anhalt, Peter A Closure-Based Regression Methods (Presentation)
Meyers, Glenn Thinking Outside the Triangle
Orr, James A Simple Multi-State Reserving Model (Presentation)
Venter, Gary Refining Reserve Runoff Ranges (Presentation)
Venter, Gary Generalized Linear Models beyond the Exponential Family with Loss Reserve Applications (Presentation)
Autres sujets
Goulet, Vincent actuar: An R Package for Actuarial Science


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