Session 1

Chris Watts, UK

Longevity and mortality risk transfer in the capital markets through the LifeMetrics platform [ abstract ] [ presentation ]

Topic 1

Tiziana Torri, D

Building blocks for a mortality index in an international context [ abstract ] [ presentation ]

Guido Grützner, D

Cautionary remarks about conclusions from the observation of record-life expectancy [ abstract ] [ presentation ]

Session 2

Alexander Kling, D

Tax incentives for annuitization – direct and indirect effects [ abstract ] [ presentation ] [ paper ]

Topic 2

Benjamin Avanzi, AU

What is it that make the Swiss annuitise? A description of the Swiss retirement system [ abstract ] [ presentation ] [ paper ]

Esben Massoti Kryger, DK

Pension fund design under fairness and efficiency constraints [ abstract ] [ presentation ]

Session 3

Gudrun Hörmann, D

Optimal Risk Classification and Underwriting Risk for Substandard Annuities [ abstract] [ presentation ] [ paper ]

Topic 2

Adele Groyer, UK, Inga Kreiensiek, D

Assessing critical illness - the facts behind the stats [ abstract] [ presentation ] [ paper ]

Werner Hürlimann, CH

Actuarial analysis of the multiple life endowment insurance contract [ abstract ] [ presentation ] [ paper ]

Session 1

Steven Haberman, UK

Comparative study of mortality forecasting models [ abstract ] [ presentation ]

Topic 1

Andrew Cairns, UK

Stochastic multi-population mortality models [ abstract ] [ presentation ]

Juliette Duchassing, F; Fabrice Suter, CH

Longevity: A "simple" stochastic modelling of mortality [ abstract ] [ presentation ]

Session 2

Nadine Gatzert, D

Understanding the death benefit switch option in universal life policies [ abstract ] [ presentation ] [ paper ]

Topic 2

Jari Niittuinperä, FI

Mortality when converting from conventional life insurance policies into universal life policies [ abstract ] [ presentation ] [ paper ]

Martin Eling, CH

The performance of microinsurance programs: A frontier efficiency analysis [ abstract ] [ presentation ] [ paper ]

Session 3

Stefan Heyers, D

Managing value using market consistent methodologies: MCEV-value management accelerator or hand brake? [ abstract ] [ presentation ]

Topic 4

Nick Dexter, UK

Market Value Management [ abstract ] [ presentation ]

Tigran Kalberer, CH

Internal Models [ abstract ] [ presentation ]

Session 1

Dr. Paul Triggs, D

Does morbidity modelling solve the problem of predicting death and disability? [ abstract ] [ presentation ]

Topic 1

Susanna Levantesi, I

Biometric risks assessment and management in annuities with long term care benefits [ abstract ]

Session 2

Frederik Weber, D

Mortality-indexed annuities: Avoiding unwanted risk [ abstract ] [ presentation ] [ paper ]

Topic 1

Esther Schütz, D

The biometric risk in internal models for Solvency II [ abstract ] [ presentation ]

Topic 4

Session 3

Larry Rubin, USA

Economic measurement of insurance liabilities [ abstract ] [ presentation ] [ paper ]

Topic 4

Ed Morgan, UK; Matthias Bonikowski, D

The role and structure of profit participation products in the European life insurance market following Solvency II [ abstract ] [ presentation ]

Session 1

Romain Bridet, F

Extreme Mortality Bonds [ abstract ] [ presentation ]

Heinz Holler, D; Gary Finkelstein, UK

Variable annuity risk management and hedging effectiveness [ abstract ] [ presentation ]

Lars Pralle, D

Variable annuities: Some reserving and regulation considerations [ abstract ] [ presentation ] [ paper ]

Oskar Goecke, D

The group-balanced concept of long-term saving: A continuous time model [ abstract ] [ presentation ]

Ralph Stevens, NL

Longevity risk and hedge effects in portfolios of life insurance products with investment risk [ abstract ] [ presentation ] [ paper ]

Thorsten Wagner, D

Replicating portfolios in the life insurance business: Use and limitations [ abstract ] [ presentation ]

Raimund Rhiel, D

Company pension plans and financial crisis: Lessons learned? [ abstract ] [ presentation ]

Session 3

Anne Puustelli, FI

Hedging against volatility, jumps and longevity risk in participating life insurance contracts - a Bayesian analysis [ abstract ] [ presentation ] [ paper ]

Laura Ballotta, UK

Investment strategies and risk management for participating contracts [ abstract ] [ presentation ]

Frederic Planchet, F

Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee [ abstract ]

Session 1

Gyöngi Bugar, HU

A longitudinal study on portfolio optimisation: Is the “success” time dependent? [ abstract ] [ presentation ] [ paper ]

Topic 5

Andrew Cairns, UK

Mathematical models and the credit crunch [ abstract ] [ presentation ]

Harald Kinateder, D

Market risk prediction under long memory: when VaR is higher than expected [ abstract ] [ presentation ] [ paper ]

Session 2

Thomas Salisbury, CA

Valuation, hedging and demand for ruin-contingent life annuities (RCLA) [ abstract ] [ presentation ]

Topic 6

Mogens Steffensen, DK

Pension fund management based on solutions to constrained consumption-investment problems [ abstract ] [ presentation ]

Shaun Levitan, ZA, Youri Dolya, ZA

Optimal post-retirement investment strategies [ abstract ] [ presentation ] [ paper ]

Session 3

Alexander Baier, D

An integrated Cost of Risk model and its application to company valuation [ abstract ] [ presentation ] [ paper ]

Topic 10

Rocco Cerchiara, I

Multivariate analysis to modelling and aggregating surrender risk under internal risk models [ abstract ] [ presentation ]

Alexander Dotterweich, D

Optimization of limit systems for investment risks in accordance with Solvency II and German MaRisk [ abstract ] [ presentation ] [ paper ]

Session 1

Antje Mahayni, D

How good are portfolio insurance strategies? [ abstract ] [ presentation ] [ paper ]

Topic 5

Thomas Moller, DK

Risk-minimization with mortality derivatives: mixed dynamic and static hedging  [ abstract ] [ presentation ] [ paper ]

Session 2

Arne Hove, NO

Pricing interest rate guarantees in Norwegian defined benefit pension [ abstract ] [ presentation ]

Topic 7

Werner Hürlimann, CH

Quasi-exact numerical evaluation of synthetic CDO prices [ abstract ] [ presentation ] [ paper ]

Session 3

Aldo Balestreri, I; Jeremy Kent, UK

Dynamic asset liability management [ abstract ] [ presentation ] [ paper ]

Topic 9

Stefan Graf, D

Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches [ abstract ] [ presentation ] [ paper ]

Session 1

Benjamin Avanzi, AU

On the level of national retirement savings with annuitisation and cross-subsidies: a two-tiered economic model [ abstract ] [ presentation ] [ paper ]

Topic 6

Mabrouk Chetouane, F

Defined contribution pension plans management and market opportunities [ abstract ] [ presentation ] [ paper ]

Ralf Korn, D

Asset allocation for a DC pension fund under regime switching environment [ abstract ] [ presentation ]

Session 2

Albert Enders, D

Index-linked longevity risk transfer – reduced basis risk with sociodemographic parameter [ abstract ] [ presentation ]

Topic 8

Helena Aro, FI

A robust approach to stochastiv mortality modelling [ abstract ] [ presentation ] [ paper ]

Johnny Li, CA

Canonical valuation of mortality-linked securities [ abstract ] [ presentation ] [ paper ]

Session 3

Matti Koivu, FI

Cash-flow based valuation of pension liabilities [ abstract ] [ presentation ] [ paper ]

Topic 10

Olivier Le Courtois, F

Lévy-VaR and Basle Multipliers [ abstract ]

Hubert Müller, USA

Economic Capital – Recent Market Trends and Best Practices for Implementation [ abstract ] [ presentation ] [ paper ]

Session 1

Hal Pedersen, CA

What are the essential features of a good economic scenario generator? [ abstract ] [ presentation ]

Topic 5

Frederik Ruez, D

The impact of stochastic volatility on pricing, hedging, and hedge efficiency of variable annuity guarantees [ abstract ] [ presentation ] [ paper ]

Session 2

Susanne Kruse, D

On the pricing of inflation-indexed caps [ abstract ] [ presentation ] [ paper ]

Topic 7

Teemu Pennanen, FI

Pricing and hedging of mortality linked securities [ abstract ] [ presentation ] [ paper ]

Session 3

Christian Kraus, D

Market consistent embedded value in non-life insurance: How to measure it and why [ abstract ] [ presentation ] [ paper ]

Topic 9

Olivier Le Courtois, F

On credit and surrender risks in insurance companies [ abstract ]

Session 1

Enrico Schumann, CH

Risk-reward optimisation for long-run investors: an empirical analysis [ abstract ] [ presentation ] [ paper ]

Topic 5

Eric Thorlacius, USA

The model quantitative firm [ abstract ] [ presentation ]

Session 2

Michael Sherris, AU

Pricing and Hedging synthetic CDO tranche spread risks [ abstract ] [ presentation ] [ paper ]

Topic 7

Andreas C. Gintschel, D

A global liquidity factor for fixed income pricing [ abstract ] [ presentation ] [ paper ]

Session 3

Rob Thomson, ZA

The arbitrage-free equilibrium pricing of liabilitites in an incomplete market: Application to a South African retirement fund [ abstract ] [ presentation ] [ paper ]

Topic 9

Petri Hilli, FI

Liability driven optimization of investment strategies [ abstract ] [ presentation ] [ paper ]

Session 1

Ralph Rogalla, D

Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints [ abstract ] [ presentation ]

Topic 5

Elena Vigna, I

Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes [ abstract ] [ presentation ] [ paper ]

Ljudmila Bertschi, CH

Solvency requirements for Swiss pension funds and how to ensure the guarantee of benefit payments at any time [ abstract ] [ presentation ] [ paper ]

Session 2

Shimizu Nobuhiro, JP

Economic value of contribution cashflows for a sponsoring employer of a DB pension plan and measures to bring the economic value under control within an affordable range [ abstract ] [ presentation ] [ paper ]

Topic 6

Ferdinand Haas, D

Guaranteed saving plans: An analysis of alternative fund-linked strategies [ abstract ]

Frederik Weber, D

Select birth cohorts [ abstract ] [ presentation ] [ paper ]

Session 3

Chun Shang Wong, HK

Estimating portfolio Value-at-Risk with multivariate mixture time series models [ abstract ] [ presentation ]

Topic 6

Laura Ziani, I

Mean-variance efficient strategies in proportional reinsurance under group correlation in a Gaussian framework [ abstract ] [ presentation ] [ paper ]