11.00-11.30

11.30-12.00

12.00-12.30

12.30-13.00

13.00-13.30

13.30-14.00

14.00-14.30

14.30-15.00

15.00-15.30

15.30-16.00

16.00-16.30

16.30-17.00

19.00-20.30

Welcome reception, City Hall, The Hague

Wednesday 22 May 2013

08.00-08.30

08.30-09.00

09.00-10.30

10.30-11.00

11.00-13.00

Session 2: Extreme Value Statistics

1. Statistics of heteroscedastic extremes
   Dr. Chen Zhou, DNB and Erasmus University Rotterdam
   
   
2. Modeling and Estimating the Multivariate Tail Dependence
   Dr. Andrea Krajina,
   Universität Göttingen
   
   
3. Estimation of extreme risk regions under multivariate regular variation (Paper)
   Dr. Juan-Juan Cai,
   Delft Technical University
   
   

Session 3: Loss reserving

1. Kurtosis and skewness estimation for non-life reserve risk distribution (Paper)
   Eric dal Moro
   
   
2. A deep dive into Reversible Jump Markov Chain Monte Carlo method, a practical alternative to Chain Ladder (Paper)
   Pierre Miehé
   
   
3. Combining Chain-Ladder Claims Reserving with Fuzzy Numbers (Paper)
   Anne Thomas
   
   

Session 4: Risk management

1. Robust Hedging in Incomplete Market (Paper)
   Sally Shen
   
   
2. Scenario Aggregation (Paper)
   Mathieu Cambou, Damir Filipovic
   
   
3. Liquidity-Adjusted Risk Measures (Paper)
   Anna Maria Hamm

13.00-14.00

14.00-15.20

Session 5: Loss reserving

1. Individual Loss Reserving with the Multivariate Skew Normal Distribution (Paper)
   Katrien Antonio
   
   
2. Continuous Chain Ladder (Paper)
   Richard Verrall
   
   

Session 6: Pricing

1. The Use of Annual Mileage as a Rating Variable (Paper)
   Jean Lemaire
   
   
2. Premium indexing in lifelong health insurance (Paper)
   Ward Vercruysse

Session 7: Catastroph risk, a practitioner’s view

1. Help from weather forecasters from verification to validation (Paper)
   Joseph Lo
   
   
2. Catastrophe Model Blending (Paper)
   Alan Calder
   
   

15.20-15.50

15.50-17.10

Session 8: Loss reserving

1. Modeling Multiple Runoff Tables(Paper)
   Vincent Lous
   
   
2. Best Estimate Reserves and the Claims Development Results in Consecutive Calendar
   Annina Saluz
   
   
   

Session 9: Lifetime models

1. A subordinated Markov model for stochastic mortality (Paper)
   Xiaoming Liu
   
   
2. Multivariate Tweedie Lifetimes: The Impact of Dependence (Paper)
   Daniël Alai
   
   

Session 10: Risk theory and reinsurance

1. On a Sparre-Andersen risk model with PH(n) interclaim times (Paper)
   Alfredo Egidio dos Reis
   
   
2. Reinventing Pareto: Fits for both small and large losses(Paper)
   Michael Fackler
   
   

19.00-21.30

Dinner ASTIN Committee & Organising Committee – Restaurant Garoeda The Hague

10.00-10.20

10.20-12.20

Session 12: Predictive modeling

1. Customer retention and price elasticity. Are motor insurance policies homogeneous with respect to loyalty? (Paper)
   Prof.dr. Montserrat Guillen, University of Barcelona
   
   
2. A Multivariate Analysis of Intercompany Loss Triangles (Paper)
   Dr. Peng Shi
   University of Wisconsin, Madison
   
   
3. Stochastic Loss Reserving with Bayesian MCMC Models (Paper)
   Glenn G. Meyers PhD, F.C.A.S.

Session 13: Solvency

1. Considerations on the Discount Rate in the Cost of Capital Method for the Risk Margin (Paper)
   Hans Waszink
   
   
2. Market value margin via mean-variance hedging (Paper)
   Andreas Tsanakas
   
   
3. Time-Consistent and Market-Consistent Evaluations (Paper)
   Antoon Pelsser

Session 14: Statistical methods for pricing and risk management

1. Optimization approaches to multiplicative tariff of rates estimation in non-life insurance (Paper)
   Martin Branda
   
   
2. About the Risk Quantification of Technical Systems (Paper)
   Magda Schiegl
   
   
3. Can we use kernel smoothing to estimate Value at Risk and Tail Value at Risk? (Paper)
   Ramon Alemany
   
   

12.20-13.20

13.20-15.20

Session 15: Loss reserving

1. Half-Mack Stochastic Reserving (Paper)
   Frank Cuypers
   
   
2. Calendar Year Dependence Modeling in Run-Off Triangles    (Paper)
   Mario Wühtrich
   
   
3. Chain ladder with random effects  (Paper)  
   Greg Taylor

Session 16: Financial mathematics

1. Portfolio Optimization under Solvency Constraints: A dynamical approach (Paper)
   Alexandru Badescu
   
   
2. Closed-form solutions for options in incomplete markets (Paper)
   Oana Floroiu
   
   
3. Dynamic optimal investment in Markov-modulated Levy markets default and general utility function(Paper)
   Peter Diko
   
   

Session 17: Practitioners’ Session

1. Internal Model Capital Use (Paper)
   Yuriy Krvavych
   
   
2. Demystifying validation tools  (Paper)
   Sebastian Rath
   
   
3. Pricing a Motor Extended Warranty with Limited Usage Cover (Paper)
   Fidelis Musakwa

Excursions:

• Guided city walk
• Guided bike tour
• Visit to Gemeentemuseum
  
  

19.00-21.30

Dinner at Madurodam

08.30-09.10

Session 18: Credit risk

1. Solvency II - underwriting credit risk models (Paper)  
   Juan Casanovas Arbó

Session 19:  Risk theory

1. Moments of Dividends and Optimal Expected Dividends in the Erlang(n) dual risk model (Paper)  
   Alfredo Egidio dos Reis
   

Speakers' Corner

How to use a wrong tariff
Michael Fackler

09.10-09.50

2. A mixed weibull model for counterparty credit risk in reinsurance
   Jurgen Gaiser-Porter
   
   

2. Insurance Contract Design and Endogenous frailty (Paper)  
   Davide Benedetti

09.50-10.50

Session 20
Solvency and Risk Management

10.50-11.20

11.20-11.50

11.50-12.50

12.50-13.30

13.30-18.00

19.00-23.00