mexico colloquia Mexico 2012 Mexico 2012

Abstracts and Papers (AFIR/ERM)

TITLE
AUTHOR(S)
Comparing Life Insurer Longevity Risk Management Strategies in A Firm Value Maximizing Framework
[ABSTRACT]  [PAPER]  [PRESENTATION]
Craig Blackburn, Katja Hanewald,
Annamaria Olivieri and Michael Sherris
Investment Risk Taking Policy in the Context of ERM
[ABSTRACT]  [PAPER]  [PRESENTATION]
Miwaka Yamashita
Optimal Portfolios under Worst Case Scenarios
[ABSTRACT]  [PAPER]  [PRESENTATION]
Carole Bernard, Jit Seng Chen and Steven Vanduffel
Mean-Variance Optimal Portfolios under State-dependent Preferences
[ABSTRACT]  [PAPER]  [PRESENTATION]
Carole Bernard and Steven Vanduffel
Guaranteed Minimum Surrender Benefits and Variable Annuities: The Impact of Regulator-Imposed Guarantees
[ABSTRACT]  [PAPER]  [PRESENTATION]
Alexander Kling, Frederik Ruez and Jochen Ruß
The fundamental definition of the Solvency Capital Requirement in Solvency II
[ABSTRACT]  [PAPER]  [PRESENTATION]
Andreas Niemeyer and Marcus C. Christiansen
The Impact of Inflation Risk on Financial Planning and Risk-Return
[ABSTRACT]   [PAPER]  [PRESENTATION]
Stefen Graf, Alexander Kling, Lena Härtel and Jochen Ruß

Elliptical Symmetry of Real Returns in South Africa and its Implications for Long-Term Actuarial Modelling
[ABSTRACT]  [PAPER]  [PRESENTATION]

R.J. Thomson
BEST PAPER
Measuring Economic Risk Using Principal Component Analysis

[ABSTRACT]  [PAPER]  [PRESENTATION]
David Parsons and Albert Lo
Parameterization of Cox-Ingersoll-Ross interest rate model for zero coupon yield curve and his application for selecting the discount rate and using Floorlets and Caplets for postretirement and pension plans
[ABSTRACT]  [PAPER]  [PRESENTATION]
Angel Flores and Igor P Rivera
Index options and measuring co movement behavior in stock markets
[ABSTRACT]  [PAPER]  [PRESENTATION]
Jan Dhaene
Corporate Capital Structure under Endogenous Bankruptcy and Volatility Risk
[ABSTRACT]  [PAPER]  [PRESENTATION]
Flavia Barsotti
Valuation and solvency of long term insurance Liabilities
[ABSTRACT]  [PAPER]  [PRESENTATION]
Pierre Devolder and Gabriela Piscopo
A note on independence between financial and actuarial risk
[ABSTRACT]  [PAPER]  [PRESENTATION]
Ben Stassen
Methodology improvements to evaluting Counterparty Risk and Premmium Risk in QIS 1 Mex
[ABSTRACT]  [PAPER]  [PRESENTATION]
Miguel de la Garza, Susana Castillo and María de los Angeles Yáñez
Risk Measurement and Management of Operational Risk in Insurance Companies under Solvency II
[ABSTRACT]  [PAPER]  [PRESENTATION]
Nadine Gatzert and Andreas Kolb
Interest Rate Derivatives under the Standard Market Model
[ABSTRACT]   [PAPER]  [PRESENTATION]
Carlos Alexander Grajales Correa
Experienced-Based Stochastic Mortality for Internal Models
[ABSTRACT]   [PAPER]  [PRESENTATION]
Annamaria Olivieri and Ermanno Pitacco
Defining risk management within an organization: Results of the 2012 survey for Japanese risk managers
[ABSTRACT]   [PAPER]  [PRESENTATION]
Kenji Fujii and Yuji Morimoto
BEST PAPER
Long-Term Insurance Products and Volatility under the Solvency II Framework

[ABSTRACT]   [PAPER]  [PRESENTATION]
Korneel van den Broek
Modeling in the Spirit of Markowitz Portfolio Theory in a Non Gaussian World
[ABSTRACT]   [PAPER]  [PRESENTATION]
Tapen Sinha and Rajeeva Karandikar
Black Swan Theory: We know absolutely nothing
[ABSTRACT]   [PAPER]  [PRESENTATION]
Carlos Castro Correa
Gaussian Mixtures and Financial Returns
[ABSTRACT]   [PAPER]  [PRESENTATION]
Carlos Cuevas-Covarrubias
and Jorge Rosales-Contreras
Stochastic Interpolation for Stochastic Asset Models
[ABSTRACT]   [PAPER]  [PRESENTATION]
A. D. Wilkie
Asset and Liability Composition in Participating Life Insurance: The Impact on Shortfall Risk and Shareholder Value
[ABSTRACT]  [PAPER]  [PRESENTATION]
Alexander Bohnert, Nadine Gatzert and Peter Løchte Jørgensen

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