Best Paper Awards

Online Joint Sections Colloquium 2021
Ordered Risk Aggregation Under Dependence Uncertainty - Yuyu Chen, Liyuan Lin and Ruodu Wang
Modern Life-Care Tontines - Peter Hieber and Natalie Lucas

AFIR-ERM Colloquium, Florence 2019
Fair valuation of insurance liability cash flow streams in continuous time Lukasz Delong (Warsaw School of Economics)

ICA, Berlin 2018
An Analysis Of The Solvency II Regulatory Framework’s Smith-Wilson Model For The Term Structure Of Risk-free Interest Rates Peter Løchte Jørgensen (Aarhus University)

Bob Alting Von Geusau Prize

Bob Alting von Geusau Prize

In 2002, AFIR-ERM established The Bob Alting von Geusau Memorial Prize, in honour of its late and long-serving treasurer. The prize was awarded for the first time in 2003 in von Geusau’s home country at the 13th AFIR/ERM Colloquium in Maastricht (Netherlands).

All successful recipients of the Bob Alting von Geusau Prize are listed below.

Recipients of the Bob Alting von Geusau Prize
2021   Applying Economic Measures to Lapse Risk Management with Machine Learning Approaches. By Cheng-Hsien Tsai, Stephan Loisel and Pierrick Piette
2020  Risk Measures Derived from a Regulator's Perspective on the Regulatory Capital Requirements for insurers. By Tiantian Mao and Jun Cai
2019  Economic Scenario Generator and Parameter Uncertainty: A Bayesian Approach. by Jean-François Bégin
2018  Dynamic Hedging of Longevity Risk: The Effect of Trading Frequency. by Hong Li 


Implementing Individual Savings Decisions for Retirement with Bounds on Wealth. By Catherine Donnelly, Monserrat Guillen, Jens Perch Nielsen and Ana Maria Perez Marín
2017  Probability of Sufficiency of Solvency II Reserve Risk Margins: Practical Approximations by Eric Dal Moro and Yuriy Krvavych
2016 Consistent Yield Curve Prediction by Josef Teichmann and Mario V. Wüthrich
2015 Calculating Variable Annuity Liability "Greeks" Using Monte Carlo Silmulation by Mark J. Cathcart, Hsiao Yen Lok, Alexander J. MacNeil and Steven Morrison


Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model by Knut Aase

2014 Pricing and Solvency of Value-Maximizing Life Annuity Providers by Maathumai Nirmalendran, Michael Sherris and Katja Hanewald

On the Calculation of the Solvency Capital Requirement Based on Nested Simulations by Daniel Bauer, Andreas Reuss and Daniela Singer


The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis by Catherine Donnelly and Paul Embrechts


Stochastic Mortality The Impact on Target Capital by Annamaria Olivieri and Ermanno Pitacco


Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions, by Shuan Yow and Michael Sherris

2008 A Discrete-Time Model for Reinvestment Risk in Bound Markets, by Mikkel Dahl

Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk by Andrew J.G. Cairns, David Blake and Kevin Dowd

Life Annuitization: Why and How Much? by Donatien Hainaut and Pierre Devolder

2005 Testing Distributions of Stochastically Generated Yield Curves by Gary Venter
2004 Guaranteed Annuity Options by Mary Hardy and Phelim Boyle
2003 A Universal Framework for Pricing Financial and Insurance Risk by Shaun S. Wang

Research Grants

Call for Papers and Research Grants

Published Papers: 

  Model Governance and Rational Adaptability in Enterprise Risk Management - January 2020 

Authors: Michael Bruce Beck, David Ingram and Michael Thompson

The problem context of this work is what has been called the “Insurance Cycle”. In this cycle we recognise four qualitatively different risk environments, or seasons of risk. We address the use of models for supporting an insurer’s decision making for enterprise risk management (ERM) across all four seasons of the cycle. In particular, the report focusses expressly on: first, the matter of governance for dealing with model risk; and, second, model support for Rational Adaptability (RA) at the transitions among the seasons of risk. This latter examines what may happen around the turning points in the Insurance Cycle (any cycle, for that matter), when the risk of a model generating flawed foresight will generally be at its highest. 

Previous Calls for Papers: