Toronto, Canada
September 6-7, 2001

Author(s) Paper
Emmanuel Acar and Andrew Pearson Distribution of Returns Generated by Stochastic Exposure: An Applicaton to VaR Calculation in the Futures Markets
Peter Albrecht and Raimond Maurer Self-Annuitization, Ruin Risk in Retirement and Asset Allocation: The Annuity Benchmark
Peter Albrecht, Raimond Maurer and Ulla Ruckpaul The Risk of Stocks in the Long Run: Unconditional vs. Conditional Shortfall

Jean-François Boulier, Pierre Sequier and Grégory Taillard

Tactical Optimization, How to forecast Risks
Pieter Bouwknegt and Antoon Pelsser Market Value of Insurance Contracts with Profit Sharing
Phelim Boyle, Adam Kolkiewicz and Ken Seng Tan Pricing American Derivatives using Simulation: A Biased-Low Approach
Phelim P. Boyle, Geoge Lai and Ken Seng Tan Using Lattice Rules to Value Low-Dimensional Derivative Contracts
Andrew Cairns From Financial Economics to Fair Valuation

Laurent Chretien and François Quittard-Pinon

Pricing Formulae for Barrier Caps
Robert S. Clarkson The Equity Selection Procedure Model
Michael Cohen and Karen Maser Survey of Financial Security Estimating the Value of Employer Pension Plan Benefits - A Discussion Paper
Paul-Antoine Darbellay Critical Approach of the Valuation Methods of a Life Insurance Company under the Traditional European Statutory View
Elke Eberts and Raimond Maurer Comparision of Time Series and Interest Rate Models to Forecasts of the German Inflation Rate
Marc Goovaerts, Ann de Schepper, David Vyncke, Jan Dhaene and Rob Kaas Stable Laws and the Distribution of Cash-Flows
Steven Haberman and Neema Lutula Smoothing in Defined Benefit Pension Schemes: Asset Valuation and Spreading Gains/Losses Part 1 - Part 2
Mahmoud Hamada, Michael Sherris and John van der Hoek Martingale Methods in Dynamic Portfolio Allocation with Distortion Operators
Mary Hardy Investment Guarantees in Equity-Linked Insurance: The Canadian Approach
Diego Hernandez Hedging Strategies and Insurance Securitization
Werner Hurlimann Efficient Asset Liability Portfolios using Mean-Erc and Mean Variance Analysis
G. M. Koshkin and Y.N. Lopukhin On Estimation of Net Premium in Collective Life Insurance
Y. Krvavych On the Stock Price Model Defined by the Fractional Brownian Semilinear Stochastic Differential Equation: Measure Transformation and Equilibrium of Stock Market
Sheldon Lin and Ken Seng Tan Valuation of Equity - Indexed Annuities and Stochastic Interest Rates
B. John Manistre The Financial Economics of Universal Life: An Actuarial Application of Stochastic Calculus
Gennady Medvedev The Asset Pricing when the Interest Rates are Differentiable Stochastic Processes
Moshe A. Milevsky and Thomas S. Salisbury The Real Option to Lapse a Variable Annuity: Can Surrender Charges Complete the Market
Frank Schnapp The Diversification Property
Frank Schnapp The Effect of Risk Diversification on Price
Thomas G. Stephan, Raimond Maurer and Martin Durr A Multiple Factor Model for European Stocks
Christian Walter Searching for Scaling Laws in Distributional Properties of Price Variations: a Review over 40 years
Shaun Wang A Universal Framework for Pricing Financial and Insurance Risks
Dick Wenting The Pensionfund Situation in the Netherlands, and the Introduction of a Simple ALM Model
A. D. Wilkie On the Risk of Stocks in the Long Run: A Response to Zvi Bodie
Yasuo Yamashita Cash Management with Futures in Passive Investment