Tromsø, Norway
June 20-23, 2000

Author(s) Paper
Anna Rita Bacinello Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
Dennis Bams and Jacco L. Wielhouwer Empirical Issues in Value at Risk Estimation: Time Varying Volatility, Fat Tails and Parameter Uncertainty
H.J. Bartel and Jian Lu Volatility Forecasting and Delta-Neutral Volatility trading for DTB Options on the DAX
Thomas Benesch The Pension Fund Solution by an Austrian Bank
Fred Espen Benth, Jon Gjerde and Sigurd Sannan Portfolio Management and Correlation
Erik Bølviken and Fred Espen Benth Quantification of Risk in Norwegian Stocks Via The Normal Inverse Gaussian Distribution
Steve Hardwick and Anthony Bice An International Survey of Asset-Liability Solvency Management for Life Insurers
Andrew J.G. Cairns, David Blake and Kevin Dowd Optimal Dynamic Asset Allocation for Defined-Contribution Pension Plans
Gyöngyi Bugár and Raimond Maurer Efficient Risk Reducing Strategies by International Diversification : Evidence From a Central European Emerging Market
Robert S. Clarkson A General Theory of Financial Risk
Donald Leggett and Steven Craighead Risk Drivers Revealed: Quantile Regression and Insolvency
Lars Oswald Dahl Valuation of European Call Options on Multiple Underlying Assets by Using a Quasi-Monte Carlo Method. A Case With Baskets from Oslo Stock Exchange
Paul-Antoine Darbelay and Franck Pinette La réassurance des "Garanties plancher" des contrats en unités de compte
Frank De Jong and Jacco L. Wielhouwer The Valuation and Hedging of Variable Rate Savings Accounts
Bjarke Jensen, Peter Løchte Jørgensen and Anders Grosen A Finite Difference Approach to The Valuation of Path Dependent Life Insurance Liabilities
Mette Hansen and Kristian R. Miltersen Minimum Rate of Return Guarantees: The Danish Case
Julia L. Wirch and Mary R. Hardy Ordering of Risk Measures for Capital Adequacy
Werner Hürlimann On a Classical Portfolio Problem: Diversification Comparative Static and Other Issues
Natalia G. Ilieva The Comparative Analysis of the Term Structure Models of the Affine Yield Class
Antero Ranne, Esko Kivisaari and Hillevi Mannonen Determining the Technical Interest Rate in the Finnish Employment Pension Scheme
P.J. Lee and A.D. Wilkie A Comparison of Stochastic Asset Models
Snorre Lindset Hedging Strategies for Rate of Return Guarantees on Multi-Period Assets
James Maitland Interpolating The South African Yield Curve
Gennady Medvedev The Processes With Dependent Increments as Mathematical Models of the Interest Rate Processes
Kristian R. Miltersen and Svein-Arne Persson A Note on Interest Rate Guarantees and Bonus: The Norwegian Case
Thomas Møller On Transformations of Actuarial Valuation Principles
Annamaria Olivieri and Ermanno Pitacco Solvency Requirements for Life Annuities
Antero Ranne Investment Risks and the Solvency Margin
Mogens Steffensen Contingent Claims Analysis in Life and Pension Insurance
Ken Sugita Evaluating Termination Option of Employees' Pension Funds in the Calculation of Projected Benefit Obligations
Rob Thomson An Analysis of the Utility Functions of Members of Retirement Funds
Eric Thorlacius Arbitrage in Asset Modeling for Integrated Risk Management
Jaakko Tuomikoski Financial Solidity of Pension Insurance Companies and Pension Funds Within the Finnish Employment Pension System