Tuesday
June 21, 2022 |
9:45 - 10:00: Welcome and introduction
10:00 - 11:00: Parallel Sessions 1
- ASTIN 1: A new framework of prediction error decomposition for the machine learning era (Kazuki Kuriyama, Hirokazu Iwasawa) | Slides
- ASTIN 1: Estimating the effect on payment due to COVID-19 by machine learning method using causal inference (Fumihiro Endo, Yuji Hiramatsu) | Slides
- ASTIN 2: Stochastic Ensemble Loss Reserving (Yanfeng Li, Benjamin Avanzi, Bernard Wong) | Slidesa
- ASTIN 2: Stochastic Loss Reserving with a Special Bi-directional Recurrent Neural Network Algorithm (Yuning Zhang) | Slides
- AFIR-ERM: AI in longevity risk management: improved long-term projections by machine learning (Peter Vekas, Ronald Richman, Laszlo Kovacs) | Slides
- AFIR-ERM: Suicide Death Number Estimation for Insurers by Neural Networks: Grasping trend changes (Miwaka Yamashita) | Slides
11:00 - 11:30: Break
11:30 - 12:30: Parallel Sessions 2
- ASTIN 1: Anti-discrimination Insurance Pricing: Regulations, Fairness Criteria, and Models (Xi Xin, Fei Huang) | Slides | Paper
- ASTIN 1: Capital market effects of full fair value insurance accounting (Stefan Veith) | Slides
- ASTIN 2: Multivariate matrix exponential affine mixtures and their applications in risk theory (Eric Cheung) | Slides
- ASTIN 2: Deep Composite Regression (Mario Wüthrich) | Slides
- AFIR-ERM: Risk management for climate change and catastrophes in Asia (Wataru Hirose) | Slides
AFIR-ERM: Sustainable Financial Risk Modelling Fitting the SDGs: Some Reflections (Christian WALTER)
12:30 - 13:30: Keynote Speaker: Model error and its estimation, with particular application to loss reserving (Dr. Greg Taylor) | Slides
13:30- 14:30: Parallel Sessions 3
- ASTIN 1: Estimation of the mean square error of a product of random variables (Alois Gisler) | Slides
- ASTIN 1: Modelling Insurers Cyber Risk by Hybrid Methodology – Scenario Analysis and LDA (Madhu Acharyya) | Slides
- ASTIN 2: The Skewness of Bornhuetter-Ferguson (Eric Dal Moro) | Slides | Paper
- ASTIN 2: Thinning of loss counts and the Mixed Contagion model (Michael Fackler) | Slides
- AFIR-ERM: Efficient Monte Carlo simulation of portfolio value, value-at-risk and other portfolio metrics (Malcolm Kemp) | Slides
- AFIR-ERM: Pension accounting forecasts based on nested stochastic modelling (Ljudmila Bertschi) | Slides | Paper
14:30 - 15:00: Break
15:00- 16:00: Parallel Sessions 4
- ASTIN 1: GemAct: a comprehensive actuarial package for non-life (re)insurance (Gabriele Pittarello) | Slides | Paper
- ASTIN 1: One-year and ultimate reserve risk in Mack Chain Ladder model (Marcin Szatkowski) | Slides | Paper
- ASTIN 2: Social inclusion in the world of modern predictive analytics (Esko Kivisaari) | Slides
- ASTIN 2: Stable Dividends are Optimal under Linear-Quadratic Optimization (Debbie Kusch Falden) | Slides
- AFIR-ERM: Analysis of financial contagion among economic sectors through Dynamic Bayesian Networks (Nathalia Costa Fonseca, João Viníciusde França Carvalho) | Slides | Paper
- AFIR-ERM: Modern Life-Care Tontines (Peter Hieber) | Slides
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Wednesday,
June 22, 2022 |
15:45 - 16:00: Welcome and introduction
16:00 - 17:00: Parallel Sessions 1
- ASTIN 1: An aggregate trend renewal micro model for loss reserves,with inflation and discount (Anas Abdallah) | Slides
ASTIN 1: Contingent Claim, Lender of Last Resort (LoLR), Helicopter Money in the Era of LIBOR Conversion (Chitro Majumdar)- ASTIN 2: Risk model with dependent frequency and severity, premium and ruin probability calculation (Renata Alcoforado) | Slides
- ASTIN 2: Scenario Testing for Large Fleets during the yearly price adjustment process - a practical example (Michael Klamser) | Slides
17:00 - 17:30: Break
17:30 - 18:30: Parallel Sessions 2
- ASTIN 1: Cyber risk: An analysis of self-protection and the prediction of claims (Alana Azevedo) | Slides
- ASTIN 1: Efficient computation of expected allocations (Christopher Blier-Wong) | Slides | Paper
- ASTIN 2: Enhancing Claims Triage with Dynamic Data (Peng Shi) | Slides | Paper
- ASTIN 2: Rebalancing the off-Balance Factor Using the Complement of Credibility (Joe Boor) | Slides
- AFIR-ERM: An Asset-Liability Model for Stable Value Fund Wraps (Guaranteed Retirement Plans) (Behzad Alimoradian) | Slides
- AFIR-ERM: Sustainable Financial Risk Modelling Fitting the SDGs: Some Reflections (Mauro Triulzi) | Slides | Paper
18:30 - 19:30: Break
19:30- 20:30: Parallel Sessions 3
- ASTIN 1: Monte Carlo Simulation, Dependence, and Risk Accumulation (Katherine Dalis) | Slides
- ASTIN 1: Capturing the dependence among large losses using extreme-value copulas (João Vinícius Carvalho, Thiago Araujo) | Slides
- ASTIN 2: Modeling the Reserving Cycle with the Discrete Fourier Transform (James Ely) | Slides
- ASTIN 2: The predictive power of the multinomial distribution - 2 practical examples (Michael Klamser) | Slides
- AFIR-ERM: Pandemic effects on investors behaviour: Tesla valuation with Holt-Winters and fundamental analysis (Juan Carlos Bribiescas, Luciana Ehrsam, Fernando Marine) | Slides
- AFIR-ERM: COVID-19 Mitigations in the U.S (David Ingram, Daniel Ingram) | Slides
20:30 - 21:00: Break
21:00- 22:00: Parallel Sessions 4
- ASTIN 1: A Unified Theory of Decentralized Insurance (Runhuan Feng) | Slides
- ASTIN 1: Required Sample Size in Capital Modeling (Kevin Zhang) | Slides | Paper
- ASTIN 2: Simulation-based Earthquake Insurance Risk Calculation (Roba Bairakdar) | Slides
- ASTIN 2:Update on Actuarial Density and Actuarial Penetration (Michael Smith, Cristina Mano) | Slides
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Thursday,
June 23, 2022 |
9:45 - 10:00: Welcome and introduction
10:00 - 11:00: Parallel Sessions 1
- ASTIN 1: Fraud detection in insurance using generative adversarial networks for data imbalance (Rohan Yashraj Gupta, Sri Sathya Sai) | Slides
- ASTIN 1: Integrating hidden markov model with machine learning for fraud detection in health insurance (Phani Kandala) | Slides
- ASTIN 2: Optimal prevention strategies in the classical risk model (Stephane Loisel) | Slides
- ASTIN 2: Optimal reinsurance under terminal value constraints (Benjamin Avanzi) | Slides | Paper
- AFIR-ERM: Taxation treatment of retirement income products in Australia focusing on variable annuity contracts (Jonathan Ziveyi) | Slides
AFIR-ERM: Selling life insurance in Africa and Modeling Loss Reserving for surrounding in Micro saving Product (Alpha M. Balde)
11:00 - 11:30: Break
11:30 - 12:30: Parallel Sessions 2
- ASTIN 1: Generating unfavorable VaR scenarios with patchwork copulas (Dietmar Pfeifer) | Slides
- ASTIN 1: Internal Modeling without copulas: the beauty of multivariate Thorin classes (Oskar Laverny) | Slides
- ASTIN 2: Seismic Risk Assessment in UAE by the Large-Magnitude Offshore Shallow Crustal Earthquake (Tadahiro Kishida, Chitro Majumdar, Rita Sousa) | Slides
- AFIR-ERM: Impact of management actions such as policyholder dividends on solvency ratio (Miwaka Yamashita) | Slides
- AFIR-ERM: Computation of bonus in multi-state life insurance (Jamaal Ahmad) | Slides | Paper
12:30 - 13:30: Break
13:30- 14:30: Parallel Sessions 3
- ASTIN 1: A copula estimation through recursive partitioning of the unit hypercube (Oskar Laverny) | Slides
- ASTIN 1: Gamma Mixture Density Networks and their application to modelling insurance claim amounts (Łukasz Delong) | Slides | Paper
- ASTIN 2: Longevity and mortality risk management post-Covid (Andrew Cairns) | Slides
- ASTIN 2: Mental health and insurance cover (Esko Kivisaari) | Slides
- AFIR-ERM: Cyber Risk Management (Marco Pirra) | Slides
AFIR-ERM: Regulation risk: the case of Solvency II (Christian Walter) | Slides
14:30 - 15:00: Break
15:00- 16:00: Parallel Sessions 4
- ASTIN 1:Actuarial and IT (R)evolutions (Pierre Miehe) | Slides
- ASTIN 1: Bootstrap Consistency for the Mack Bootstrap (Julia Steinmetz) | Slides
- ASTIN 2: Capital requirements modeling for market and non-life premium risk in a dynamic insurance portfolio (Stefano Cotticelli) | Slides
- ASTIN 2: Continuous partition-of-unity copulas and their application to risk management and other fields (Dietmar Pfeifer) | Slides
- AFIR-ERM: Insurability and Pandemic (or More Generally, Shared Resilience) Risk (Esko Kivisaari) | Slides
- AFIR-ERM: Covering pandemic risk: insurance or smart saving? (Michael Fackler) | Slides | Paper
16:00- 17:00: Keynote Speaker: Pricing Insurance Risk: Practice and Theory (Dr. Steve Mildenhall) | Slides
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