2007 ASTIN Colloquium Paper Presentations
Over 40 papers, authored by both practitioners and academics, will be presented at the 37th ASTIN Colloquium. Paper topics cover risk management, reserving, and pricing. Pricing issues include applications of credibility, bonus-malus systems, and risk margins, such as those from jump diffusion processes. Several new directions for stochastic modeling of loss reserves are explored. About half the papers concern risk management, subcategories of which include:
- Issues involved in strategic and operational risk;
- Applications of risk modeling, such as insolvency risk, reinsurance, capital needs and allocation, market analysis, and strategic planning of subsidiaries;
- Model building topics, like choice of risk measures, modeling of dependencies, and efficient calculation.
Authors from North America, Australia, and Europe are well represented, but authors from Asian locations such as Beijing, Shanghai, Taiwan, Indonesia, Israel, and Iran are also prominent in this year’s list of authors.
| ERM Modeling |
| Eling, Martin and Toplek, Denis |
Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis (Presentation) |
| Gatzert, Nadine Schmeiser, Hato Schuckmann, Stefan |
Enterprise Risk Management in Insurance Groups: Measuring Risk Concentration and Default Risk (Presentation) |
| Gluck, Spencer |
A Multiline Risk Factor Model |
| Gorvett, Rick and Liu, Ningwei |
Using Interpretive Structural Modeling to Identify and Quantify Interactive Risks |
| Majumdar, Chitro |
Dynamic Financial Analysis as the untrodden path for company risk measurement under Solvency-II |
| Thérond, Pierre-E. and Planchet, Frédéric |
Provisions techniques et capital de solvabilité d'une compagnie d'assurance : méthodologie d'utilisation de Value-at-Risk (English Version) (Presentation) |
| Xie Zhigang, Wang Shangwen, Zhou Jinhan |
The Study of Chinese P&C Insurance Risk for the Purpose of Solvency Capital Requirement (Presentation) |
| ERM Risk |
| Aalabaf, Morteza |
Risk Perceptions and Rationality in Measures of Risk |
| Degen, Embrechts, and Lambrigger |
The Quantitative Modeling of Operational Risk: Between g-and-h and EVT (Presentation) |
| Desmedt, Stijn and Wahlin JF |
On the Subadditivity of Tail-Value at Risk: An Investigation with Copulas (Presentation) |
| Mango, Don |
An Introduction to Insurer Strategic Risk |
| Mango, Don and Venter, Gary |
An Introduction to Insurer Operational Risk |
| ERM Ruin |
| Afonso Reis Waters |
A model for numerical evaluation of continuous time ruin probabilities with a variable premium rate |
| Guerra, Manuel and Centeno, Maria de Lourdes |
Optimal reinsurance for variance related premium calculation principles (Presentation) |
| Kaishev, V. K., Dimitrova, D. S. and Ignatov, Z. G. |
Operational Risk and Insurance: A Ruin-probabilistic Reserving Approach |
| Loisel, Stéphane |
Ruin Theory with K Lines of Business |
| Tsai, Cary Chi-Liang and Parker, Gary |
Optimal strategies for ruin probabilities and expected gains (Presentation) |
| ERM Strategy |
| Furman, Edward and Prof. Zinoviy Landsman |
Economic Capital Allocations for Non-Negative Portfolios of Dependent Risks |
| Krvavych, Yuriy |
Enhancing insurer value through reinsurance, dividends and capital optimization: an expected utility approach (Presentation) |
| Pricing - Bonus-Malus |
| Kryszen, Barbara |
The Expected Premium Properties in the Bonus-Malus System |
| Xiao, Yugu, Meng, Shengwang, and Conger, Robert |
An Extension Model of Financially-balanced Bonus-Malus System (Presentation) |
| Pricing - Credibility |
| Couret, Jose and Venter, Gary |
Classification Credibility |
| Gisler, Alois and Müller, Petra |
Credibility for additive and multiplicative models (Presentation) |
| Robbin, Ira |
Understanding Split Credibility (Presentation) |
| Taylor, Greg |
Credibility, Hypothesis Testing and Regression Software (Presentation) |
| Pricing - Market |
| Lindset, Snorre and Persson, Svein-Arne |
Continuous Monitoring: Look before You Leap |
| Mango, Don |
Reinsurance Market Microstructure |
| Qian, Tao and Yao Ray |
Analysis of Chinese Motor Insurance (Presentation) |
| Santoni, Folch and Sanche |
The Last Thing A Fish Notices Is The Water In Which It Swims Competitive Market Analysis: An Example For Motor Insurance (Presentation) |
| Pricing - Stochastics |
| Lin, Shih-Kuei and Chang, Chia-Chien |
Catastrophe Equity Put in Markov Jump Diffusion Model |
| Lin, Shih-Kuei and Chang, Chia-Chien |
Catastrophe Insurance Products in Markov Jump Diffusion Model |
| Wright, Thomas |
Modeling Claim Counts (Presentation) |
| Reserves - Credibility |
| Barnett, Jack |
Cape Cod Credibility (Presentation) |
| Gisler, Alois |
Credibility in Reserving (Presentation) |
| Reserves - Stochastics |
| Hürlimann, Werner |
A Gamma IBNR Claims Reserving Model with Dependent Development Periods (Presentation) |
| Jedlika, Petr |
Various extensions based on Munich Chain Ladder method (Presentation) |
| Liu, Huijuan and Verrall, Richard |
Predictive Distributions for Reserves which Separate True IBNR and IBNER Claims |
| Marsden, Stephen and Anhalt, Peter |
A Closure-Based Regression Methods (Presentation) |
| Meyers, Glenn |
Thinking Outside the Triangle |
| Orr, James |
A Simple Multi-State Reserving Model (Presentation) |
| Venter, Gary |
Refining Reserve Runoff Ranges (Presentation) |
| Venter, Gary |
Generalized Linear Models beyond the Exponential Family with Loss Reserve Applications (Presentation) |
| Autres sujets |
| Goulet, Vincent |
actuar: An R Package for Actuarial Science |
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