Papers and Presentations - AFIR/ERM Colloqium

Title

Authors

Unfunded hedging strategies - Some practical lessons for asset owners (Presentation)

J-P. Charmaille, M. Clarke, O. Sara, T. McCartan & D. Mikulskis

Keep your lid on! A Financial Analyst's View of the Cost and Valuation of DB Pension Provision

Con Keating

A common risk classification system for the actuarial profession (Presentation)

Patrick Kelliher, D. Wilmot, J. Vij & P.J.M. Klumpes

Modelling Longevity Risk: Generalization of the Olivier-Smith Model

Daniel Alai, Katja Ignatieva & Michael Sherris

Solvency assessment within the ORSA framework : issues and quantitative methodologies (Presentation)

Julien Vedani & Laurent Devineau

Coherent mortality forecasting for small populations: an application to Swiss mortality data (Presentation)

Cheng Wan, Ljudmila Bertschi & Yishan Yang

Evaluation of Uncertainty Risk of The Limit Life by Brownian-Bridge Mortality Model (Presentation)

Noriaki Yokoo

Hedging mortality risk in order to decrease the regulatory capital requirement under the new Australian prudential standards in effect since 1 January 2013

Philip Clark

Analytical calculation of risk measures for variable annuity guaranteed benefits (Presentation)

Feng, Runhuan & Hans W. Volkmer

Portfolio Theory and Pension Funding in a Stochastic Framework

Pierre Devolder & Roberta Melis

Optimal liquidation with directional views and additional information

Stefan Ankirchner, Christophette Blanchet-Scalliet & Anne Eyraud-Loisel

Distortion risk measures, ambiguity aversion and optimal effort

Christian Y. Robert & Pierre-E. Thérond

Asymtotic behavior, comparisons of risk indicators and applications to optimal reserve allocation

P. Cenac, S. Loisel, V. Maume-Deschamps & C. Prieur

A Comparison of the Wilkie Model and a "Yield-Macro" model for UK data

Şule Şahin, Andrew J.G. Cairns, Torsten Kleinow & David Wilkie

Some characteristics of an equity security next-year impairment

Julien Azzaz, Stéphane Loisel &, Pierre-E. Thérond

Estimation Errors and SCR Calculation

E. Karam & Frédéric Planchet

Model Risk and Capital Requirements

Parit Jakhria, Stuart Jarvis & Andrew Smith

Insurance Regulation and Plural Rationalities

David Ingram, Michael Thompson, Alice Underwood & Elliot Varnell

Best estimate calculations of savings contracts by closed formulas - Application to the ORSA (Presentation)

François Bonnin, Frédéric Planchet & Marc Juillard

RAPMs in a multi-standard environment (Presentation)

Baptiste Bréchot & Thomas Béhar

Optimal quadratic hedging with insurance linked securities (Presentation)

Ragnar Norberg

Update on IAA progress: Development of model standards and actuarial notes for insurance in the context of IFRS 4 phase 2 (Presentation)

Micheline Dionne

The Impact of Disability Insurance on a Life Insurer's Risk Situation (Presentation)

Nadine Gatzert & Alexander Maegebier

Non Gaussian Returns: Which impact on default options retirement plans? (Presentation)

Stéphane Hamayon, Florence Legros & Yannick Pradat

Modelling and Management of Longevity Risk

Andrew Cairns

Valuation of life insurance liabilities under changes of regimes

Rosario Monter

Optimal Payoffs under State-dependent Constraints

Carole Bernard, F. Moraux, L. Rüschendorf & S. Vanduffel

How a single-factor CAPM works in a multi-currency world

Rob Thomson, S. Sahin & T.L. Reddy

Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model

Łukasz Delong & Antoon Pelsser

Optimal Capital Allocation: Mean-Variance Models (Presentation)

Krzysztof M. Ostaszewski & Maochao Xu

Living With Solvency II - An Economic Capital Perspective From Recent History (Presentation)

Russell Ward, Matthew Cocke & Russell Osman

ILS Market-derived Metrics; Finding the Market Transform (Presentation)

Morton Lane & Jerome Kreuser

Aggregation of market risk capital and credit risk capital assessments via integrated scenarios (Presentation)

Steven Morrison

Systemic sovereign risk in the valuation of solvency capital requirements

Gilberto Castellani, Carlo Mottura & Luca Passalacqua

Valuation and Risk Assessment of Participating Life Insurance in the Presence of Credit Risk (Presentation)

Nadine Gatzert & Michael Martin

Measuring Bank Funding Liquidity Risk using A Survival Model

Fidelis T Musakwa

Gestion des risques d'entreprise : Qualité des données, levier de pilotage stratégique (Presentation)

S. Wittmer, V. Ranaivozanany & Anani Olympio

Générateurs de Scénarios Economiques et Portefeuilles Répliquants : Techniques de calibration

Nordine Choukar, Xavier Larrieu, Christophe Bonnefoy & Walid Hachicha

Approche Solvabilité 2 et ERM du risque Dépendance

Néfissa Sator & Grégory Sother

Problèmes théoriques et pratiques dans le calcul des provisions best estimate sous Solvabilité II Pierre Mathoulin, Emmanuel Tassin & Patrice Palsky
Convergence of Capital and Insurance Markets: Pricing Aspects of Industry Loss Warranties (Presentation) Nikolai Vogl & Nadine Gatzert
A proposal of interest rate dampener for Solvency II Framework introducing a three factors mean reversion model (Presentation) Alexandre Le Maistre & Frédéric Planchet

 



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