1.A/ Stochastic dependence (correlation nonlinear dependence)

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Some observations on the random walk model
  • David Wilkie

    • Models of the shot interest rate dynamics with theta- differentials
  • Petr Lappo

    • The implied volatility announce the behavior of the market risk
  • Ricardo Alfredo Tagliafichi

    • Diversification
  • Jean-François Walhin

    • The effects of parameter uncertainty in dependency structures
  • Jakub M. Borowicz~James P. Norman

    • On calculation of surplus value using stochastic modeling
  • Aldona Skucaite

    • Premium Determination Based on Change of Measure
  • Farrokh Guiahi

    • Modélisation dynamique du bilan d’une compagnie d’assurance non-vie
  • Vincent Damas

    • Comparison of Methods and Software for Modeling Nonlinear Dependencies: A Fraud Application
  • Richard Derrig~Louise Francis

    • Une méthode alternative de provisionnement stochastique en Assurance Non Vie : Les Modèles Additifs Généralisés
  • Elise Lheureux

    • Economic capital: a plea for the Student copula
  • Marc Bagarry

    • Fitting return periods for largest claims with a frechet copula: a case study
  • Werner Hürlimann

    • Modelling claim size in time via copulas
  • Pettere Gaida~Tonu Kollo

    • Measuring tail dependence for collateral losses using bivariate Lévy process
  • Jiwook Jang

    • Differentiation of some functionals of risk processes and optimal reserve allocation
  • Stéphane Loisel

    • Contribution values for allocation of risk capital and for premium calculation
  • Dieter Denneberg

    • Preparing for Solvency II – Theoretical and Practical issues in Building Internal Economic Capital Models Using Nested Stochastic Projections
  • Marc Slutzky~Ed Morgan

    • Measuring Efficiency in the Life Insurance Industry with a Stochastic Frontier Model
  • Carlos Pestana Barros~Nazaré Barroso~Maria Rosa Borges

    • Necessary Conditions for Internal Models with regard to Annuitant Mortality
  • Tony Jeffery

    • Economic Capital and the Aggregation of Risks using Copulas
  • Emiliano A. Valdez~Andy Tang

    • Diffusion interest rate models in actuarial computation
  • Tereza Jarolimkova

    • Inverse Problems in Markov Models and Actuarial Calculations
  • Semyen Spivak

    • Stochastic Modelling of the Dependence of Lifetimes and Application to Life Insurance
  • Sébastien Fulla~Jean-Paul Laurent~Aim Sandrine

    • Approximation model for the additional pension capital dynamics
  • Andrejs Matvejevs~O. Pavlenko~V. Gribkova

    • Courbes d'exposition: étude par les fonctions de la classe MBBEFD et analyse en fonction du capital assuré
  • Julien Saunier

    • L’asymétrie de la dépendance, quel impact sur la tarification ?
  • Stéphane Jasson

    • Political Risk Reinsurance Pricing – A Capital Market Approach
  • Athula Alwis~Vladimir Kremerman~Yakov Lantsman~Jason Harger~Junning Shi

    • Modelling dependency between different lines of business with copulas
  • Jackie Li

    • Etude de risque pour un portefeuille d’assurance récolte
  • Hervé Odjo~Viviane Ritz

    • Dependence between mortality and morbidity: is underwriting scoring really different for Life and Health products?
  • Andrey Kudryavtsev

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