Programme

            
DATE HOSTING CHAPTER TIME (CET)
18 May 2021

9:00 - 9:30: Welcome and introduction to the Chapter
9:30 - 10:30: Presentations

  • Session A1: One-year and ultimate reserve risk in Mack Chain Ladder model (Marcin Szatkowski)
  • Session B1: On the study of premium renewal problem in non-life insurance based on two families of customer renewal probability through reinforcement learning (Christian Ngnie Fokoua)
  • Session A2: Schnieper’s method revisited (Esbjörn Ohlsson)
  • Session B2: Generalized Pareto Regression Trees for extreme claim prediction (Maud Thomas)

10:30 - 11:00:  Break - A virtual bike ride through the streets of Copenhagen
11:00 - 11:45: Keynote Speake
r:
Sam Millard (Renewable Energy Insurance – An Underwriter’s Perspective)
11:45 - 12:45: 
Presentations:

  • Session A3: Panjer class revisited – one formula for the distributions of the Panjer (a,b,m) class (Michael Fackler)
  • Session B3: Internal modeling without copulas : the beauty of multivariate Thorin classes (Oskar Laverny)
  • Session B4: Actuarial and financial valuation of catastrophe bonds (Saeid Safarveisi)
12:45 - 13:00: Conclusion
09:00 – 13:00

14:00 - 15:00: Welcome and inauguration of the Chapter
15:00 - 15:45: Keynote Speaker: 
Philippe Talleux (Autonomous vehicle risks & insurance)
15:45 - 16:45:  Break - 
Climate Change and Wine: consequences of climate change on French wines (Martial Phélippé-Guinvarc'h)
16:45 - 17:45: Presentations

  • Session A5: Valuation of cyber-insurance derivatives indexed by Hawkes processes (Caroline Hillairet)
  • Session B5: "Hasta la vista, Actuary"? (Lucy Quemeneur & Adrian Ericsson)
  • Session A6: Accumulation of cyber claims: modeling contagion (Olivier Lopez)
  • Session B6: One-Year and Ultimate Reserving Uncertainties for the new Bornhuetter-Ferguson Method (Przemyslaw Sloma)

17:45 - 18:00: Conclusion

14:00  18:00
19 May 2021

9:00 - 9:30: Welcome and introduction to the Chapter
9:30 - 10:30: Presentations

  • Session A7: General Insurance Loss Reserving in a Network Model (Victory Idowu)
  • Session B7: Customer Price Sensitivities in Competitive Automobile Insurance Markets (Robert Verschuren)
  • Session A8: Risk Flow Patterns in the Chain Ladder Model (Ancus Röhr)
  • Session B7: Collaborative Insurance Sustainability and Network Structure (Philipp Ratz)

10:30 - 11:00:  Break - A music interlude with Johann Sebastian Bach
11:00 - 11:45: Keynote Speake
r:
Randomness, scenarios and structured reinsurance (Hansjörg Albrecher)
11:45 - 12:45: 
Presentations:

  • Session A9: On the numerical computation of optimal reinsurance treaties for dependent risks (Alexandra Bugalho de Moura)
  • Session B9: Moral Hazard in Health Insurance: Modelling the Behaviour of the Insured and the Optimal Contract (Costin Oarda)
  • Session A10: Pricing Adverse Development Cover using option pricing methods (Eric Dal Moro)
  • Session B10: Ethical use of data in insurance (Esko Kivisaari)
12:45 - 13:00: Conclusion
09:00 – 13:00

14:00 - 14:30: Welcome and introduction of the Chapter

14:30 - 15:30: Presentations

  • Session A11: Unsupervised Learning applied to Customer Lifetime Value (CLV) (Claudio Giorgio Giancaterino)
  • Session B11: Identification of serious claims thresholds and reinsurance optimisation (Thomas Carlier)
  • Session A12: Autocalibration for insurance pricing with machine learning (Arthur Charpentier)
  • Session B12: Modelling spatial insurance risk using complex networks (Gian Paolo Clemente)

15:30 - 16:00:  Break - Quiz game
16:00 - 17:00: Keynote Speakers: Pandemia effects on Italian Insurance Market (Nicola Biscaglia, Sergio Desantis and Francesca Di Paola)
17:00 - 17:15:  Break - Quiz game results
17:15 - 17:45: Presentations

  • Session A13: Cyber claim analysis using Generalized Pareto regression trees with applications to insurance (Sébastien Farkas)
  • Session B13: The Actuary and IBNR Techniques: A Machine Learning Approach (Ronald Richman and Caesar Balona)

17:45 - 18:00: Conclusion

14:00  18:00
 20 May 2021

9:00 - 9:30: Welcome and introduction to the Chapter
9:30 - 10:15: Keynote Speaker: 
Modeling and Prediction of Recurrent Earthquakes (Shunichi Nomura)
10:15 - 10:30:  Break

10:30 - 11:30: Presentations

  • Session A14: Forecasting of Insurance Claim Distributions using Markov-modulated non-homogeneous Poisson processes (Alan Xian)
  • Session B14: Decomposition of the prediction error in predictive modeling (Ryutaro Yamada)
  • Session A15: AGLM as an Area of Investigation (Suguru Fujita & Hirokazu Iwasawa)
  • Session B15: MDN: Probabilistic forecasting of outstanding liabilities with neural networks on loss triangles (Muhammed Al-Mudafer)

11:30 - 12:00:  Break - R demos on AGLM, a predictive modeling method developed for actuaries and on a risk error decomposition method
12:00 - 12:30: 
Presentations:

  • Session A16: Optimal relativities in a modified Bonus-Malus system with long memory transition rules and frequency-severity dependence (Eric Cheung)
  • Session B16: Unbiased Estimation of the Economic Value of Pricing Strategies (Dimitri Semenovich)
12:30 - 12:45: Conclusion
09:00 – 12:45

14:00 - 14:30: Welcome and introduction to the Chapter
14:30 - 15:30: Presentations

  • Session A17: Scenario Testing for Large Fleets during the yearly price adjustment process (sequel) - solution of 2 open problems (Michael Klamser)
  • Session B17: Generating unfavourable VaR scenarios with patchwork copulas (Dietmar Pfeifer)
  • Session A18: The Impact of Counterparty Risk (Management) in Non-Life Insurance Risk Transfer: A Shareholder Value Maximization Perspective under Solvency Constraints (Heike Bockius)
  • Session B18: Capturing the dependence among large losses using extreme-value copulas (Thiago Dutra de Araujo)

15:30 - 16:00:  Break - Music in math - math in music
16:00 - 16:45: Keynote Speake
r: 
The European way to sustainable insurance - the ESG challenge (Dietmar Pfeifer)
16:45 - 17:45: 
Presentations:

  • Session A19: Cyber risk: An analysis of self-protection and the prediction of claims (Alana Azevedo)
  • Session B19: Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles (Mario Wüthrich)
  • Session A20: TBC
  • Session B20: Three-layer problems and the Generalized Pareto Distribution (Michael Fackler)
17:45 - 18:00: Conclusion
14:00  18:00
 21 May 2021 ASTIN General Assembly

11:00 - 11:45: Welcome from the Chair / Overview of Annual Report
11:45 - 12:30: Keynote Speaker: 
Model error in loss forecasts - What is it?  Why should we care?  How might it be measured? (Greg Taylor)
12:30 - 13:00: Elections / Hachemeister Prize
13:00 - 13:15: Break
13:15 - 13:45: Other Chapters and Closing

11:00 – 13:45

14:00 - 14:30: Welcome and introduction
14:30 - 15:00: Presentations

  • Session A21: Nonlife Insurance Risk Classification Using Categorical Embedding (Peng Shi)
  • Session B21: Modeling the Reserving Cycle Using Fourier Methods (James Ely)

15:00 - 15:45: Keynote Speaker: Actuarial Engineering in the Digital Age (Donald Mango)
15:45 - 16:15: 
Presentations:

  • Session A22: Peer-to-Peer Risk Sharing with an Application to Flood Risk Pooling (Runhuan Feng)
  • Session B22: Quantifying Reserve Risk Based on Triangles of Estimated Ultimate Losses (Andy Feng & Ira Robbin)
16:15 - 16:30: Conclusion
14:00 – 16:30

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