Rome, Italy
September 30 - October 3, 2008

Author Title
Topic 1: Regulation and Risk Management
R. Cerchiara, M. Edwards, B. Verbrigghe, A. Gambini Generalized Linear Models in Life Insurance: Decretements and Risk factor analysis under Solvency II
S. Corsaro, P.L. De Angelis, Z. Marino, F. Perla, P. Zanetti Computational issues in internal models: the case of profit sharing life insurance policies
M. Fedor Solvency II et selection du portefeuille d'actifs: approche theorique
W. Huerlimann On the Optimal SST Initial Capital of a Life Contract
F. Krieter, D. Rau Limited liabilities within a (re-)insurance group
L. Passalacqua Optimal trade credit reinsurance programs with solvency requirements
S. Tanaka On Japanese solvency standards: current situation and discussions for further reform
Topic 2: Risk Analysis in Corporate Finance
A. Battauz, M. De Donno, A. Sbuelz, M. Tolotti Risk Tolerance Levels for Insurance Companies
G. Bugàr, R. Maurer, H. Thanh Vo Gauging risk with higher moments: handrails in measuring and optimizing conditional value at Risk
M. Brogi Regulation, Corporate Governance and Risk Management in Banks and Insurance Companies
F. Cesarone, A. Scozzari, F. Tardella Efficient Algorithms for mean-variance portfolio optimization with Hard Real-World Constraints
M. Corradini, A. Gheno, C. Mottura Swap Derivatives and Bounds for the Hedge Accounting Effectiveness Test
M. Micocci, G. Masala, G. Cannas, G. Flore Reputational Effects of Operational Risk Events for Financial Institutions
Topic 3: Pension, Life and Health Risks
Life Assurance
D. Bauer, D. Bergmann, R. Kiesel On the risk neutral valuation on life insurance contracts with numerical methods in view
A. Cairns, T. Kleinow, S. Sahin, D. Wilkie Revisiting the Wilkie Investment Model
E. Fraga Lima de Melo Valuation of Participating Inflation Annuities with Stochastic Mortality, Interest and Inflation rates
T. Kleinow Valuation and Hedging of Participating Life-Insurance Policies under Management Discretion
L. Koskinen, A. Luoma, A. Puustelli Bayesian analysis of participating life insurance contracts
E. Vannucci, L. Vannucci Analytic formulas for options embedded in life Insurance policies
Financial Strategies For Pension Funds
I. Colivicchi, S. Mulinacci, E. Vannucci A dynamic control strategy for pension plans in a stochastic framework
M. Di Giacinto, S. Federico, F. Gozzi, E. Vigna Constrained portfolio choices in the decumulation phase of a pension plan
S. Federico A Pension Fund Model with surplus: an infinite Dimensional Stochastic Control Approach
R. Gerrard, B. Hoigaard, E. Vigna Choosing the optimal annuitization time post retirement
W. Horneff, R. H. Maurer, O. S. Mitchell, M. Z. Stamos Money in Motion: Dynamic Portfolio Choice in Retirement
R. H. Maurer, C. Schlag, M. Z. Stamos Optimal Life-Cycle Strategies in the Presence of Interest Rate and Inflation Risk
V. Reznik, U. Spreitzer Double risks portfolio optimization problem for pensions funds
A.J. G. Cairns, D. Blake, K. Dowd Modelling and Management of Mortality Risk: A review
M. Juillard, F. Planchet, P. Therond Perturbations Extremes sur la dérive de mortalité anticipée. Application à un régime de rentes
S. Levantesi, M. Menzietti, T. Torri Longevity bond pricing models: and application to the Italian annuity market an pension schemes
N. Nakagome, M. Kawaguchi The longevity risk associated with the pension liability
Sharif Planning for Retirement in the Emerging Socio Economic Scenario
S. Wills, M. Sherris Integrating Financial and Demographic Longevity Risk Models: An Australian Model for Financial Applications
Speakers' Corner
J. Iñaki De La Peña An Actuarial Approach for Adjusted Forward Rates
R. Thomson Modelling the Market in a risk-averse world
Gary Venter Triangles in Life and Casualty
N. Savelli, G. Clemente Modelling aggregate non-life underwriting risk: standard formula vs internal model