Madrid, Spain
19-22 June, 2011

Final Programme

Monday 20

Plenary Session 1 @ 10:00 - 11:00 : Alejandro Balbás
    Risk Measures and the Role of Derivatives in Risk Minimization

Parallel Session 1 @ 11:00 - 12:00

AFIR Castellana 2 MARKET-CONSISTENT REPLICATION OF INSURANCE LIABILITIES IN A MULTIPLE RISK ECONOMY
Werner Hürlimann
    The mechanics of actuarial and risk management – role of actuarial and risk management in the financial services sector
Martin Tarusenga
    To hedge or not o hedge that is the problem
Ricardo A. Tagliafichi

Plenary Session 2 @ 12:00 - 13:00 : Paul Embrechts
    Risk Aggregation and Diversification: Issues and Pitfalls

Parallel Session 2 @ 14:00 - 15:00

AFIR Castellana 2 The Impact of Policyholder Behavior on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities
Alexander Kling, Frederik Ruez, Jochen Ruß
    The Impact of Introducing Insurance Guaranty Schemes on Pricing and Capital Structures
Hato Schmeiser, Joël Wagner
    Policyholder Exercise Behavior for Variable Annuities including Guaranteed Minimum Withdrawal Benefits
Thorsten Moenig

Plenary Session 3 @ 15:00 - 16:00 : Pierre Devolder
    Solvency Measure for Pension Liabilities : Time, Inflation and Longevity Aspects

Parallel Session 3 @ 16:30 - 17:30

AFIR Auditorium Market Consistent Valuation of Long Term Insurance Portfolios
Jan-Philipp Schmidt
    Cash flow-based valuation of insurance liabilities
Teemu Pennanen

Tuesday 21

Parallel Session 4 @ 08:30 - 09:30

AFIR Auditorium Adjusted Forward Rates Within Two Theory of Interest Rates
Joseba Iñaki De La Peña Esteban, Eduardo Trigo Martínez, Rafael Moreno Ruiz, Iván Iturricastillo Plazaola
    Financial Planning and Risk-Return Profiles
Stefan Graf, Alexander Kling, Jochen Russ
AFIR Castellana 2 Heterogeneity: measure integrating risk of estimate in the case of a modeling of the observable factors
Frédéric Planchet, Aymric Kamega
    Pricing S-forwards via the Risk Margin under Solvency II
Susanna Levantesi, Massimiliano Menzietti, Tiziana Torri
    Bargaining for Over-The-Counter Risk Redistributions: The Case of Longevity Risk
Tim Boonen, Anja De Waegenaere, Henk Norde

Plenary Session 4 @ 10:00 - 11:00 : David Wilkie
    Real-world Economic Scenario Generators

Parallel Session 5 @ 11:00 - 12:00

AFIR Auditorium Decomposing Hedge Effectiveness in Longevity Hedges
Andrew J.G. Cairns, Kevin Dowd, David Blake, and Guy D. Coughlan
    Consistent Dynamic Affine Model for Mortality and Longevity Risk Applications
Craig Blackburn, Michael Sherris
    Investigation of Hedging Strategies Between Assurances and Annuities for the Purpose of Mitigating Longevity Risk
Frans Koning, Stefan Bekker
AFIR Castellana 2 Prudence Revisited: The Use of Expected-Utility Theory for Decision-Making by the Trustees of a Retirement Fund
Robert J. Thomson
    A Note on Life-cycle Funds
Stefan Graf
    A Joint Valuation of Premium Payment and Surrender Options in Participating Life Insurance Contracts
Hato Schmeiser, Joël Wagner

Plenary Session 5 @ 12:00 - 13:00 : David Ingram
    Choices and Choosing: ERM and Rational Adaptability

Afternoon excursion @ 14:30 - 23:00
    Organ concert & Choir School at the Royal Monastery of San Lorenzo de El Escorial

Wednesday 22

Parallel Session 6 @ 08:30 - 09:30

AFIR Auditorium Analyzing Surplus Appropriation Schemes in Participating Life Insurance from the Insurer’s and the Policyholder’s Perspective
Alexander Bohnert, Nadine Gatzert
    The Impact of Mortality Risk on a Life Insurer’s Risk Situation and RiskManagement
Nadine Gatzert, Hannah Wesker
    A Stochastic Mortality Model based on Smoking prevalence
Torsten Kleinow, Andrew J. G. Cairns

Plenary Session 6 @ 10:00 - 11:00 : José María Sarabia
    A General Methodology for Enriching a Family of Distributions with Applications in Insurance

Parallel Session 7 @ 11:00 - 12:00

AFIR Auditorium The CAPM Reconsidered: Tests in Real Terms on a South African Market Portfolio Comprising Equities and Bonds
Taryn L. Reddy, Robert J. Thomson
    On the Analytical Evaluation of the Insurance Market Risk Target Capital
Werner Hürlimann

Plenary Session 7 @ 12:00 - 13:00 : Jean Lemaire
    The Impact of Culture and Political Risk on Non-Life Insurance

Plenary Session 8 @ 14:00 - 15:00 : Michael Sherries
    Enterprise Risk Management, Insurer Value Maximisation and Market Frictions

Plenary Session 9 @ 15:00 - 16:00 : Jean Berthon
    Finance: To Be Ethical or Not To Be

Parallel Session 8 @ 16:30 - 17:30

AFIR Auditorium IFRS Convergence in Japan: The Past and Present Impact for the Values in the Stock Market and Forward Looking Thoughts
Miwaka Yamashita
    Delta and Gamma Hedging of Mortality and Interest Rate Risk
Elisa Luciano, Luca Regis, Elena Vigna
    A stochastic model for the sustainable investment policy in a defined benefit pension fund
Giuseppina Cannas, Giovanni Masala, Marco Micocci

Parallel Session 9 @ 17:30 - 18:30

AFIR Auditorium A Complete Model of General Dynamic Immunization
Iván Iturricastillo Plazaola, Joseba Iñaki De La Peña Esteban, Rafael Moreno Ruiz, Eduardo Trigo Martínez
    Model Uncertainty and its Impact on Solvency Measurement in Property-Liability Insurance
Hato Schmeiser, Caroline Siegel, Joël Wagner
AFIR Castellana 2 Stock vs Mutual Insurers:Who Does and Who Should Charge More
Alexander Braun, Przemyslaw Rymaszewski, Hato Schmeiser
    Hedging Mortality Risk through Portfolio Composition: A Comprehensive Risk Analysis
Nadine Gatzert, Hannah Wesker