Zurich, Switzerland
5-7 September 2005


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)
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)
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)
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)