Stockholm, Sweden
12-15 June, 2007

Author Title
Daniel Bauer, Alexander Kling & Jochen Russ  A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities 
Eduardo Fraga Lima de Melo Valuation of Bivariate Minimum Guarantees through Option Modelling and Copulas 
Gary Young & Emiliano Valdez  Multivariate probit models for conditional claim-types 
Laura Balotta  Pricing and capital requrements for with profit contracts: modelling considerations 
Rik Frehen, Roy Hoevenaars, Franz Palm & Peter Schotman  Regret Aversion and Annuity Risk in Defined Contribution Pension Plans 
Roy Hoevenaars & Eduard Ponds  Valuation of intergenerational transfer in funded collective pension schemes
Wenge Zhu  Ambiguity Aversion, Generalized Esscher Transform, And Catastrophe Risk Pricing 
 Werner Hurlimann  On robust parameter-free pricing principle: Fair value and risk adjusted premium 
Risk Modelling
Aalabaf-Sabaghi Morteza  Risk Perception and Rationality in Measures of Risk 
Kenji Shirai  Interest rate risk modelling using extended lognormal distribution with variable volatility 
Solvency & Risk Capital
Frédéric Planchet & Pierre-E. Therond  Risque de modele et determination du capital economique dans le projet solvabilite 2 
Perrine Kaltwasser & Pierre Le Moine   Modèles de Risques et Solvabilité en assurance Vie 
Leo de Haan & Jan Kakes  Solvency of stock versus mutual insurers: Evidence from Dutch panel data 
Martin Eling & Denis Toplek Modeling and management of nonlinear dependencies - copulas in dynamic financial analysis 
Nadine Gatzert, Hato Schmeiser, Stefan Schuckmann  Enterprise Risk Management in Insurance Groups: Measuring Risk Concentration and Default Risk 
Per Simon Voldsgaard & Sarah Rasmussen  Managing Economic Capital within the Provider and Consumer Framework
Piera Mazzoleni  Variable strike options in life insurance guarantees 
Rosa Cocozza, Emilia Di Lorenzo, Albina Orlando & Marilena Sibillo  Risk-adjusted Perfomance Indicators in Life Insurance 
Model Choice & Model Risk
Kasimir Kaliva, Lasse Koskinen, Vesa Ronkainen  Internal models and arbitrage-free calibration 
Nadine Gatzert & Stefan Kassberger Risk assessment of life insurance contracts: A comparative study in a Lévy framework
Peter Vlaar  Term structure Modeling for Pension Funds: What to do in Practice? 
Stochastic Analysis & Optimization
Carl Lindberg  Robust portfolio optimization
Efim Bronshtein  Limitary profitability of financial operations 
Eric Ralaimiadana  Asset and Liability Management by CADES, a manager of public debt 
Giovanna De Medici, Jacques Janssen & Raimondo Manca  The Aggregate Claim Amount Discrete Time Semi-Markov Model 
Holger Kraft & Mogens Steffensen  Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach 
Jiwook Jang  Measuring CDS rate with copula-dependent default intensity 
Shaun Levitan & Rob Thomson  The application of expected-utility theory to the choice of investment channels in a defined-contribution retirement fund 
Torsten Kleinow  Fair Valuation and Hedging of Participating Life-Insurance Policies under Management Discretion 
Vladimir Reznik & Uli Spreitzer  Optimization of portfolios with longer investment period 
Mortality & Longevity
An Chen & Antje B. Mahayni  Hedging endowment assurance products under interest rate and mortality risk
Elisa Luciano, Jaap Spreeuw & Elena Vigna  Modelling stochastic mortality for dependent lives 
Jiajia Cui  Longevity Risk Pricing 
Lukasz Delong  Indifference pricing of a life insurance portfolio with a systematic mortality risk in a market with an asset driven by a Lévy process 
Mikkel Dahl, Martin Melchior, Thomas Moller  On systematic mortality risk and risk-minimization with survivor swaps