| Author(s) |
Paper |
| Joint ASTIN-AFIR/ERM Day - Invited Lectures |
| Phelim Boyle, University of Waterloo |
Incomplete Markets: Some Reflections (Presentation) |
| Elias S.W. Shiu, University of Iowa |
Dynamic Fund Protection (Paper) (Presentation) |
| Hans Bühlmann, ETH Zurich |
On Three Fundamental Issues of Insurance (Presentation) |
| Robert F. Engle, 2003 Nobel Laureate in Economic Sciences, Stern School of Business, NYU |
Downside Risk - Econometric Models and Financial Implications
(Paper) (Presentation) |
| Invited Lectures |
| David R. Cox , Nuffield College, Oxford |
Some Challenges Facing Statistical Science (Presentation) |
| Thomas Mack, Münchener
Rückversicherungs-Gesellschaft |
Recent Developments in Claim Reserving (Presentation) |
| Corporate
Strategy |
| S. Wang |
Normalized exponential tilting: pricing and measuring multivariate
risks
(Paper) (Presentation) |
| H. U. Gerber, E. S. W. Shiu and N. Smith |
Maximizing dividends without bankruptcy
(Paper) |
| H. U. Gerber and E. S. W. Shiu |
On optimal dividend strategies in the compound Poisson model
(Paper) |
| X. S. Lin and K. Pavlova |
The compound Poisson risk model with a threshold dividend strategy
(Paper) (Presentation) |
| J. Cai, H.U. Gerber and H. Yang |
Optimal dividends in the Brownian motion model with credit and debit
interest
(Paper) (Presentation) |
| Economic Modelling |
| P. Zweifel, Y. Schneider and C. Wyss |
Spatial effects in willingness-to-pay: the case of nuclear risks
(Paper) (Presentation) |
| Fair Valuation and
Solvency |
| R. Cocozza, D. De Feo, E. Di Lorenzo, M. Sibillo |
On the financial risk factor in fair valuation of the mathematical
provision
(Paper) (Presentation) |
| J. Barbarin |
Stochastic surrender with asymmetric information. An alternative
approach for the fair valuation of life insurance contracts
(Paper) (Presentation) |
| W. Bijak |
Extended solvency margin as a measure of the insolvency risk of
non-life insurance companies
(Paper) (Presentation) |
| Mortality and Pension |
| U. Mettler |
Projecting pension fund cash flows
(Paper) |
| A. D. Abid, A. A. Kamhawey and O. I. Alsalloum |
Graduating the Saudi crude mortality rates and constructing their
monetary tables
(Paper) (Presentation) |
| Portfolio Optimization and
Asset Allocation |
| D. Mango |
Insurance capital as a shared asset
(Paper) (Presentation) |
| L. Delong |
Optimal investment strategy for a non-life insurance company:
quadratic loss
(Paper) (Presentation) |
| F. Planchet and P-E. Therond |
Asset allocation: new constraints induced by the Solvency II project
(Paper) (Presentation) |
| Premium Calculation |
| M. Niemiec |
A Bonus-Malus system as a Markov set-chain
(Paper) (Presentation) |
| H. Bonsdorff |
On asymptotic properties of Bonus-Malus systems based on the number
and on the size of the claims
(Paper) |
| E. A. Valdez |
Probability transforms with elliptical generators
(Paper) (Presentation) |
| Reinsurance |
| R. Schnieper |
Modelling the underwriting cycle
(Paper) (Presentation) |
| I. Lampaert and J.F. Walhin |
On the optimality of proportional reinsurance
(Paper) (Presentation) |
| J. Cai and H. Li |
Conditional tail expectations for multivariate phase type
distributions
(Paper) (Presentation) |
| K.-T. Eisele |
EM algorithm for bivariate phase distributions
(Paper) (Presentation) |
| R. Verlaak, W. Hürlimann and J. Beirlant |
Benchmark rates for excess of loss reinsurance programs
(Paper) (Presentation) |
| Reserving |
| C. Pröhl and K. D. Schmidt |
Multivariate Chain-Ladder
(Paper) (Presentation) |
| B. Verdier and A. Klinger |
JAB chain: a model-based calculation of paid and incurred loss
development factors
(Paper) (Presentation) |
| G. Taylor and G. McGuire |
Synchronous bootstrapping of seemingly unrelated regressions
(Paper) (Presentation) |
| C.R. Larsen |
A dynamic claims reserving model
(Paper) (Presentation) |
| C. Partrat, N. Pey and J. Schilling |
Delta method and reserving
(Paper) (Presentation) |
| W. Hürlimann |
Credible loss ratio claims reserves: the Benktander, Neuhaus and Mack
methods revisited
(Paper) (Presentation) |
| Risk Measures and Dependence |
| H. Castella and A. Chiolero |
Dependence structures for a reinsurance portfolio exposed to natural
catastrophe risk
(Paper) (Presentation) |
| G. Wang and K. C. Yuen |
On a correlated aggregate claims model with thinning-dependence
structure
(Paper) (Presentation) |
| M. J. Goovaerts, R. Kaas and R. J.A. Laeven |
Decision principles derived from risk measures
(Paper) (Presentation) |
| A. Kull |
Sharing risk - An economic perspective
(Paper) (Presentation) |
| S. Loisel |
Differentiation of some functionals of risk processes and optimal
reserve allocation
(Paper) (Presentation) |
| D. Straßburger and D. Pfeifer |
Dependence matters!
(Paper) (Presentation) |
| J. Nešlehová |
On rank correlation measures for non-continuous random variables
(Paper) (Presentation) |
| D. Cadoux and J-M. Loizeau |
Copulas and dependencies: practical application for assessing the
capital adequacy of a non life insurer
(Paper) (Presentation) |
| Solvency |
| A. Sandström |
Solvency assessment - a pragmatic approach (Presentation) |
| T. Luder |
Swiss solvency test in non-life insurance
(Paper) (Presentation) |
| L. Ballotta and N. Savelli |
Risk based capital modelling for P&C insurers and financial
sensitivity
(Paper) (Presentation) |
| M. Buchwalder , H. Bühlmann, M. Merz and M. Wüthrich |
Legal valuation portfolio in non-life insurance
(Paper) (Presentation) |
| W. H. Panning |
Measuring loss reserve uncertainty
(Paper) (Presentation) |
| Statistical and Numerical
Methods |
| R. Dell’ Aquila |
Robust data analysis in insurance and finance: where do we stand?
(Paper) |
| J. Pinquet, M. Ayuso and M. Guillén |
Selection bias and auditing policies on insurance claims
(Paper) (Presentation) |
| B. Sundt and R. Vernic |
Two binomial methods for evaluating the aggregate claims distribution
in De Pril’s individual risk model
(Paper) (Presentation) |
| A. Freddi and G. Sargenti |
Classification and ordering of portfolios and of new insured unities
of risks
(Paper) (Presentation) |
| E. Ohlsson |
Simplified estimation of structure parameters in hierarchical
credibility
(Paper) (Presentation) |
| E. Kremer |
The correlated chain-ladder method for reserving in case of multiple
excess layers
(Paper) |
| A.A. Balkema and P. Embrechts |
Multivariate extremes and market risk scenarios
(Paper) (Presentation) |