DOCUMENTOS (AFIR/ERM)
TÍTULO |
AUTOR(ES) |
|---|---|
| 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 |
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 Jø rgensen |
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