Boston, United States of America
8-10 November 2004

Authors Paper
S. Desmedt, X. Chenut, J. Walhin Actuarial Pricing for Minimum Death Guarantees in Unit-Linked Life Insurance: A Multi-Period Capital Allocation Problem
T. Rhodes, S. Freitas Advanced Statistical Analysis of Mortality
Y. Zhang Allocating Capital Using the Expected Value of Default
F. Planchet, P. Therond Allocation d’actifs d ’un regime de rentes en cours de service
L. Ballotta Alternative Framework for the Fair Value of Participating Life Insurance Contracts
B. Freedman An Alternative Approach to Asset-Liability Management
D. Andrews An Examination of the Equity Risk Premium Assumed by Canadian Pension Plan Sponsors
I. Dus, R. Maurer, O. Mitchell Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans
J. Dhaene, R.J.A, Laeven, S. Vanduffel, G. Darkiewicz, M.J.Goovaerts Can a Coherent Risk Measure be Too Subadditive?
M. Sherris, J. Van Der Hoek Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value
Kenneth A. Froot, Gary G. Venter, John A. Major Capital and Value of Risk Transfer
M. Barroso, S. Rodriguez Critical Analysis of the European Union Solvency Model for “Non-Life” Insurance Companies: The Portuguese Case
K. Ahlgrim, S. D’Arcy, R. Gorvett A Comparison of Actuarial Financial Scenario Generators
M. Gennady Forward Interest Rates and Volatility of Zero Coupon Yield in Affine Models
A. Shapiro Fuzzy Regression and the Term Structure of Interest Rates Revisited
G. Bugar Global Equity Allocation as a Means of Risk Reduction: A Lesson for Central and Eastern European Countries
J. Cui, F. de Jong, E. Ponds Intergenerational Transfers within Funded Pension Schemes
Prakash Shimpi Leverage and the Cost of Capital in the Insurative Model
C. Bernard, O. Le Courtois, F. Quittard–Pinon Market Value of Life Insurance Contracts Under Stochastic Interest Rates and Default Risk
G. Venter, J. Barnett, M. Owen Market Value of Risk Transfer: Catastrophe Reinsurance Case
S. Cox, Y. Lin Natural Hedging of Life and Annuity Mortality Risks
S. Vanduffel, J. Dhaene, M. Goovaerts On the Evaluation of ‘Saving Consumption’ Plans
M. Van Akkeren, H. Hansen On Mortgage Prepayement and Default: A Historical Distribution Analysis Approach
B. Efim M. Optimization of Time Structure of the Investment Project
R. Van Gaalen Pension Funds: Funding Index, Mismatch Risk Premium and Volatility
M. Kushibiki Potential of Actuarial Approach for Patent Matters – With Some Topics on Recent Increase of Patent Valuation Needs in Japan
A. Cairns, D. Blake, K. Dowd Pricing Frame works for Securitization of Mortality Risk
M. Hardy Ratchet Equity Indexed Annuities
A. Clément-Grandcourt Qu’est ce que la statistique mathematique peut apporter pour une gestion plus rationnelle des fonds de fonds?
C. Sutherland–Wong, M. Sherris Risk-Based Regulatory Capital for Insurers: A Case Study
S. Purcal A Stochastic Control Model for Individual Asset-Liability Management
Jean-François Boulier and Maria Hartpence Fundamental-driven and Tactical Asset Allocation: What Really Matters?