ASTIN Colloquium

Tokyo, Japan — August 22-25, 1999

Author(s) Paper
Yasuto Yoshizoe Foreward
Rating Systems and Methods
Beruch Berliner The Strategic Reinsurance Program (SRP)
Thiry Gilbert Assurance automobile/Influence du modèle de voiture sur le calcul de la cotisation d'assurance en France
Jon Holtan Optimal Loss Financing under Bonus-Malus Contracts
Jon Holtan Optimal Insurance Coverage under Bonus-Malus Contracts
Erhard Kremer An Extension of The Bühlmann Credibility Model
Maria de Lourdes Centeno and João Manuel Andrade e Silva Bonus Systems in an Open Portfolio
Tetsuji Mayuzumi A Study of the Bonus-Malus System
Barham Mirzai On the Rating o f Dependent Risks
Masaaki Fujikura, Shigeru Kiuchi and Nobushi Mitsuishi Overview of Japanese Earthquake Insurance and Its Characteristics
Annamaria Olivieria and Ermanno Pitacco Funding Sickness Benefits for the Elderly
Tak Kuen Siu and Hailiang Yang Subjective Risk Measures: Bayesian Predictive Scenarios Analysis
Krupa Subramanian and Jean Lemaire Estimating Adverse Selection Costs in a Market with Genetic Testing for Breast and Ovarian Cancer
Statistical Analysis of Insurance
David C.M. Dickson and Bjørn Sundt Comparison of Methods for Evaluation of the Convolution of Two Compound R1 Distributions
Sperling Eberhard Assessing the Underwriting Risk of a Composite Insurance Company
Paul Embrechts, Alexander McNeil and Daniel Strauman Correlation and Dependency in Risk Management
Erhard Kremer Minimum Distance Loss-Reserving
Thomas Mack and Gary Venter A Comparison of Stochastic Models that Reproduce Chain Ladder Reserve Estimates
Bjørn Sundt and David C.M. Dickson Comparison of Methods for Evaluation of the n-fold Convolution of an Arithmetic Distribution
Joint Day Proceedings
Niklaus Bühlmann and Hans-Fredo List Economic Rationale for Reinsurance Stochastic Models
Chiu-Cheng Chang Counter-Measures Against Earthquake Risks Around the World
Yu Cheng and Jeffrey S. Pai The Maintenance Properties of nth Stop-Loss Order
K.L. Chu, H. Yang and K.C. Yuen Estimation in the Constant Elasticity of Variance Model
Marc J. Goovaerts, Jan Dhaene and Ann D. Schepper Stochastic Upper Bounds for Present Value Functions
Satoru Kimura Cost of Capital for Equity Holders and Related Credit Risk Premium
Paul Nealon and Bill Yit A Financial Approach for Determining Capital Adequacy and Allocating Capital for Insurance Companies
Arjen H. Siegmann and André Lucas Continuous-Time Dynamic Programming for ALM with Risk Averse Loss Functions
Shuji Tanaka and Yukio Muromachi A New Method for Evaluating and Managing the Complex Risks Embedded in a Life Insurer's Balance Sheet
A. David Wilkie Asset-Liability Modelling for Pension Schemes
Y. Yaboubov, M. Teeger and D.B. Duval A Stochastic Investment Model for Asset and Liability Management
Masahiko Yamahata and Catastrophe Risk Research Group A Study of Methods for Coping with Typhoons Cash-Flow Simulation Using CAT Bonds
Invited Speaker's Papers
Hirotugu Akaike On the Strategy for Efficient Realization of Statistical Reasoning
James N. Stanard The Effective Use of Actuarial Models
Hans Bühlmann Can You See the Quality of a Financial Risk?
Thomas S. Y. Ho Corporate Performance Measures: An Integrated Approach
Freddy Delbaen Coherent Risk Measures on General Probability Spaces
Takeaki Kariya Financial Engineering and the Japanese Financial Industry - Toward Finansurance
Shigeo Kusuoka The Foundation of Mathematical Finance - Historical Tour in Stochastic Analysis
Teiichi Anazawa Market Value of Insurance Liability
Hideki Iwaki and Masaaki Kijima An Economic Premium Principle in Multiperiod Time Horizon
Naoki Matsuyama A Feasibility Study of the Optimal Asset Mix for Japense Life Insurer's General Account
Jun Sekine Quantile Hedging for Defaultable Securities in an Incomplete Market
A. David Wilkie Asset-Liability Modelling for Pension Schemes