Author(s) | Paper |

Joint ASTIN-AFIR/ERM Day - Invited Lectures | |

Phelim Boyle, University of Waterloo | Incomplete Markets: Some Reflections (Presentation) |

Elias S.W. Shiu, University of Iowa | Dynamic Fund Protection (Paper) (Presentation) |

Hans Bühlmann, ETH Zurich | On Three Fundamental Issues of Insurance (Presentation) |

Robert F. Engle, 2003 Nobel Laureate in Economic Sciences, Stern School of Business, NYU | Downside Risk - Econometric Models and Financial Implications (Paper) (Presentation) |

Invited Lectures | |

David R. Cox , Nuffield College, Oxford | Some Challenges Facing Statistical Science (Presentation) |

Thomas Mack, Münchener Rückversicherungs-Gesellschaft | Recent Developments in Claim Reserving (Presentation) |

Corporate Strategy | |

S. Wang | Normalized exponential tilting: pricing and measuring multivariate risks (Paper) (Presentation) |

H. U. Gerber, E. S. W. Shiu and N. Smith | Maximizing dividends without bankruptcy (Paper) |

H. U. Gerber and E. S. W. Shiu | On optimal dividend strategies in the compound Poisson model (Paper) |

X. S. Lin and K. Pavlova | The compound Poisson risk model with a threshold dividend strategy (Paper) (Presentation) |

J. Cai, H.U. Gerber and H. Yang | Optimal dividends in the Brownian motion model with credit and debit interest (Paper) (Presentation) |

Economic Modelling | |

P. Zweifel, Y. Schneider and C. Wyss | Spatial effects in willingness-to-pay: the case of nuclear risks (Paper) (Presentation) |

Fair Valuation and Solvency | |

R. Cocozza, D. De Feo, E. Di Lorenzo, M. Sibillo | On the financial risk factor in fair valuation of the mathematical provision (Paper) (Presentation) |

J. Barbarin | Stochastic surrender with asymmetric information. An alternative approach for the fair valuation of life insurance contracts (Paper) (Presentation) |

W. Bijak | Extended solvency margin as a measure of the insolvency risk of non-life insurance companies (Paper) (Presentation) |

Mortality and Pension | |

U. Mettler | Projecting pension fund cash flows (Paper) |

A. D. Abid, A. A. Kamhawey and O. I. Alsalloum | Graduating the Saudi crude mortality rates and constructing their monetary tables (Paper) (Presentation) |

Portfolio Optimization and Asset Allocation | |

D. Mango | Insurance capital as a shared asset (Paper) (Presentation) |

L. Delong | Optimal investment strategy for a non-life insurance company: quadratic loss (Paper) (Presentation) |

F. Planchet and P-E. Therond | Asset allocation: new constraints induced by the Solvency II project (Paper) (Presentation) |

Premium Calculation | |

M. Niemiec | A Bonus-Malus system as a Markov set-chain (Paper) (Presentation) |

H. Bonsdorff | On asymptotic properties of Bonus-Malus systems based on the number and on the size of the claims (Paper) |

E. A. Valdez | Probability transforms with elliptical generators (Paper) (Presentation) |

Reinsurance | |

R. Schnieper | Modelling the underwriting cycle (Paper) (Presentation) |

I. Lampaert and J.F. Walhin | On the optimality of proportional reinsurance (Paper) (Presentation) |

J. Cai and H. Li | Conditional tail expectations for multivariate phase type distributions (Paper) (Presentation) |

K.-T. Eisele | EM algorithm for bivariate phase distributions (Paper) (Presentation) |

R. Verlaak, W. Hürlimann and J. Beirlant | Benchmark rates for excess of loss reinsurance programs (Paper) (Presentation) |

Reserving | |

C. Pröhl and K. D. Schmidt | Multivariate Chain-Ladder (Paper) (Presentation) |

B. Verdier and A. Klinger | JAB chain: a model-based calculation of paid and incurred loss development factors (Paper) (Presentation) |

G. Taylor and G. McGuire | Synchronous bootstrapping of seemingly unrelated regressions (Paper) (Presentation) |

C.R. Larsen | A dynamic claims reserving model (Paper) (Presentation) |

C. Partrat, N. Pey and J. Schilling | Delta method and reserving (Paper) (Presentation) |

W. Hürlimann | Credible loss ratio claims reserves: the Benktander, Neuhaus and Mack methods revisited (Paper) (Presentation) |

Risk Measures and Dependence | |

H. Castella and A. Chiolero | Dependence structures for a reinsurance portfolio exposed to natural catastrophe risk (Paper) (Presentation) |

G. Wang and K. C. Yuen | On a correlated aggregate claims model with thinning-dependence structure (Paper) (Presentation) |

M. J. Goovaerts, R. Kaas and R. J.A. Laeven | Decision principles derived from risk measures (Paper) (Presentation) |

A. Kull | Sharing risk - An economic perspective (Paper) (Presentation) |

S. Loisel | Differentiation of some functionals of risk processes and optimal reserve allocation (Paper) (Presentation) |

D. Straßburger and D. Pfeifer | Dependence matters! (Paper) (Presentation) |

J. Nešlehová | On rank correlation measures for non-continuous random variables (Paper) (Presentation) |

D. Cadoux and J-M. Loizeau | Copulas and dependencies: practical application for assessing the capital adequacy of a non life insurer (Paper) (Presentation) |

Solvency | |

A. Sandström | Solvency assessment - a pragmatic approach (Presentation) |

T. Luder | Swiss solvency test in non-life insurance (Paper) (Presentation) |

L. Ballotta and N. Savelli | Risk based capital modelling for P&C insurers and financial sensitivity (Paper) (Presentation) |

M. Buchwalder , H. Bühlmann, M. Merz and M. Wüthrich | Legal valuation portfolio in non-life insurance (Paper) (Presentation) |

W. H. Panning | Measuring loss reserve uncertainty (Paper) (Presentation) |

Statistical and Numerical Methods | |

R. Dell’ Aquila | Robust data analysis in insurance and finance: where do we stand? (Paper) |

J. Pinquet, M. Ayuso and M. Guillén | Selection bias and auditing policies on insurance claims (Paper) (Presentation) |

B. Sundt and R. Vernic | Two binomial methods for evaluating the aggregate claims distribution in De Pril’s individual risk model (Paper) (Presentation) |

A. Freddi and G. Sargenti | Classification and ordering of portfolios and of new insured unities of risks (Paper) (Presentation) |

E. Ohlsson | Simplified estimation of structure parameters in hierarchical credibility (Paper) (Presentation) |

E. Kremer | The correlated chain-ladder method for reserving in case of multiple excess layers (Paper) |

A.A. Balkema and P. Embrechts | Multivariate extremes and market risk scenarios (Paper) (Presentation) |