Brighton, United Kingdom
April 17-20, 1991

Author(s) Paper
Gery Barry Credit risk research: private placement bonds and commercial mortgage loans
Jean-Philippe Baur Drames conjoncturel et structurel des caisses d'epargne a vocation immobiliere aux Etats-Unis: l'analyse des risques
Dominique Larue L'analyse du risque de taux du systeme bancaire francais
Jacques Préfontaine and André Thibeault Capitalisation bancaire, risque de solvabilité et croissance soutenable
David I W Reynolds, Christopher M George and Nicholas J Greenwood Capital adequacy for banks and other credit institutions
Angeles Gil Luezas and Vincente Meneu Ferrer A note on the variables used to describe the term structure of interest rates
Robert R Reitano Nonparallel yield curve shifts and durational leverage
James A Tilley and Mark Mueller Managing interest rate risk for long liabilities
Pierre Valentin Un modêle d'évaluation des obligations à taux variable à partir de la courbe des taux zero-coupons des emprunts d'État
Cesar Villazon Bond duration, yield to maturity and bifurcation analysis
Jean-François Boulier and J Sikorav Yield curve fluctuations: does French market fit the Ho and Lee's model
Ieuan G Morgan and Edwin H Neave A mean reverting process for pricing treasury bills and futures contracts
Cees J Prins Interest rate models for some financial markets: scenarios and forecasting
Colin M. Ramsay On maximising the internal rate of return for zero-coupon bonds
J A Soares da Fonseca and Nicolas Zamfirescu Une approche stochastique mixte du risque des obligations a coupon variable dont le taux de reference est administre
Bert Korevaar and Gert Verheij Quantifying the callable risk of a bond portfolio: a binomial approach
Jean-Paul Challet Adequation actif-passif en assurance vie capitalisation
Karen Fireman Asset liability management: how matched is this company?
Prakesh A Shimpi Realized return optimization: a targeted total return approach to funding liabilities
Meye (Meije) Smink Risk measurement for asset liability matching: a simulation approach to single premium deferred annuities
Jean-Claude Augros Evaluation des bons de souscription d'actions ordinaires et des bons de souscription d'actions remboursables
Charles Kennedy and Paul Kennedy The assessment of warrants and convertibles
Harold J Brownle and Richard Daskais Pension plans: choosing critical assumptions
Sergio M Coppini Consequences of the variations in the rate of return on the financial equilibrium of a pension fund
Steven Haberman Pension funding methods and autoregressive interest rate models
Jihad S Nader Corporate pension plan design in a mean-variance framework
John M Bragg The real interest rate
Martin J Hall Required rate of return for life insurers
Eugenio Prieto Perez Technical rate of interest and risks to the life insurer
Naoki Matsuyama Unrealized gains in stocks from the viewpoint of investment risk management
Godfrey Perrott A approach to asset market risk when regulatory valuation is based on book value
Arnaud Clement Grandcourt Portfolio insurance
Patrizia Stucchi Some reflections about a simplified algorithm of portfolio selection
Bernard Bricheux, Claire Guillaumot, Taoufik Kharroubi and Jaques Werren Tests d'efficience du marché des options notionnel du MATIF
Claudio De Ferra, Giampaolo Viseri and Susanna Bosio An actuarial approach to option pricing
Alan M Judes Executive share options
Andrew D Smith Option pricing formulae
Robert D Arnott, Peter L Bernstein and Alan V Hall Defining and managing pension fund risk
Philip G Scott Strategic asset allocation for pension funds
Edward J Levay The financial actuary and the European consumer
Jihad S Nader Futures market opportunities for a 'homemade' solution to the pension indexing controversy in Canada: an exploratory analysis
John H Rowell Retirement financial risk management: a US perspective
Pierre Devolder Actualization process and financial risk
Werner Hürlimann A stochastic dynamic valuation model for investment risk
Thomas J Kozik Another proof that the proper rate for discounting insurance loss reserves is less than the risk free rate
Geraldine D Kaye Risk factors affecting the level of expenses in UK life offices
Michael Bayard Smith The need for expense and efficiency measures for financial institutions
E Demerle and L Bouaziz Approche globale dynamique du risque de taux d'une compagnie d'assurance-vie
Tapen Sinha Relation between spot and futures: an analysis of Nikkei index and Nikkei futures during the October 1987 crash
Matthew S Easley and Stephen A J Sedlak Risk based pricing of life assurance products
Michael Gendron and Denis Moffet On the coexistence of mutualist and capitalist shareholders in insurance companies: ownership considerations in a new legal structure of life insurance companies
Robert S Clarkson A non-linear stochastic model for inflation
Paul Doran Search for empirical evidence of strange attractors in historic gold price data
N E Maddocks, Mary J Nisbet, R M Nisbet and S P Blythe Determinism and chaos in long financial series
Cees L Dert and Alexander H G Rinnooy Kan Fixed income asset liability management
Peter E B Ford Cashflow matching using modified linear programming
Robert Meneu Gaya and Elieseo Navarro Arribas Immunization as a maximin strategy: the effects of transaction costs and imperfect divisibility of financial assets
Nicholas Day, Solomon J Green, Alan Pendleton and John Plymen Active investment models
Peter F Rains, A M Rubinstein, Anthony H Silverman, L P Tomlinson Indexation and tilted funds
Corynne Jaffeux Signal et efficience des marchés: impact d'une notation lors de l'emission de billets de Trésorerie sur le marché à rêglement mensuel
Angus S Macdonald On investment strategies using the Wilkie model
Cees J Prins A simple model for the determination of stock prices on Wall Street 1871-1990
Dominique Ami, Robert Kast and Andre Lapied Generalized Arrow pricing to understand financial markets
Heikki Bonsdorff A model for investment return: asymptotic behaviour
Andrew D Smith The use of martingales in actuarial work
Sidney Benjamin A practical approach to dynamic financial control of a non-life insurance company
Stewart M Coutts and Gordon J Clark A stochastic approach to asset allocation within a general insurance company
Chris D Daykin and G Brian Hey A stochastic cash-flow model of a general insurance company
Stan Beckers Measuring risk in internationally diversified bond portfolios
Y K. Ip International diversification and exchange rate risk
Shuji Tanaka International investing by Japanese life insurance industry
Eduardo Melinsky New financial instruments for financial risk in inflationary conditions: financial index linked loans
Jason S Propp and Michael Rosenblatt Implications for life insurance in Israel of the break from an index-linked economy
Peter Albrecht Financial approach to actuarial risks?
Douglas A Eckley Quantifying the risk of deviation from experience assumptions
Richard Noble Translating traditional asset allocation into a quantitative model: the risk is getting it wrong
Roger C Urwin Identifying tomorrow's highflier today: an analysis of the factors which can help forecast the relative performance of investment managers
T Canel, B Gautier and Nicolas Zamfirescu Mesure de performance-risque des SICAV
Alex Carpenter Reporting and performance measurement of futures and options
Albert Hayem, Beatrice Levy and Bernard Peglion Les arbitrage sur indice CAC 40: attention au risque de deport.
P Simonnet and M Favreau La mesure des risques sur le MATIF et la determination de regles prudentielles adequates
Oakley E Van Slyke Solvency standards