AFIR-ERM / ASTIN Joint Colloquium 2005 – International Actuarial Association

AFIR-ERM / ASTIN Colloquium 2005

Zurich, Switzerland - 5-9 September 2005

Speaker	Presentation
Panning, William	Measuring Loss Reserve Uncertainty
Esbj¨orn Ohlsson	Simplified estimation of structure parameters in hierarchical credibility (Paper)
Małgorzata Niemiec	A Bonus-Malus System as a Markov Set-Chain (Paper)
Johanna Neˇslehov´a	Dependence of non-continuous random variables (Paper)
Donald Mango	Insurance Capital as a Shared Asset (Paper)
Thomas Mack	Recent Developments in Claims Reserving
Luder Thomas	Swiss Solvency Test in Non-life Insurance (Paper)
STÉPHANE LOISE	Differentiation of Some Functionals of Risk Processes and Optimal Reserve Allocation (Paper)
Sheldon Lin and Kristina Pavlova	The Compound Poisson Risk Model with a Threshold DividendStrategy (Paper)
Christian Roholte Larsen	A Dynamic Claims Reserving Model (Paper)
lse Lampaert & Jean-Franc¸ois Walhin	On the Optimality of Proportional Reinsurance (Paper)
Andreas Kull,	Sharing Risk – An Economic Perspective (Paper)
Erhard Kremer	The correlated chain-ladder method for reserving in case of multiple excess layers (Paper)
Hürlimann Werner	Credible Loss Ratio Claims Reserves: The Benktander, Neuhaus and Mack Methods Revisited (Paper)
Marc Goovaerts	Decision principles derived from risk measures (Paper)
Hans U. Gerber, Elias S. W. Shiu and Nathaniel Smith	Maximizing Dividends without Bankruptcy (Paper)
Hans U. Gerber and Elias S. W. Shiu	On Optimal Dividend Strategies in the Compound Poisson Model (Paper)
Augusto Freddi, Giulia Sargent	Classification and Ordering of Portfolios and of New Insured Unities of Risks (Paper)
Karl-Theodor Eisele	EM Algorithm for Bivariate (Paper)
Lukasz Delong	Optimal Optimal Investment Investment Strategy Strategy for a Non-Life Insurance Insurance Company Company (Paper)
Rosario Dell’Aquila	Robust Data Analysis in Insurance and Finance where do we stand?
Rosa Cocozza, Donato De Feo, S Marilena Sibillo and Emilia Di Lorenzo	On the financial risk factor in fair valuation of the mathematical provision (Paper)
D.R.Cox	Challenges facing statistical science
Castella Hervé and Chiolero Alain	Dependence structures for a reinsurance portfolio exposed to natural catastrophe risk (Paper)
Jun Cai and Haijun Li	Conditional Tail Expectations for Multivariate Phase Type Distributions (Paper)
Jun Cai, Hans U. Gerber and Hailiang Yang	Optimal Dividends in the Brownian Motion Model with Credit and Debit Interest (Paper)
David Cadoux and Jean-Marc Loizeau	Copulas and dependencies :Practical Application for Assessing the Capital Adequacy of a Non life insur
Hans B¨uhlmann, Mario W¨uthrich, Markus Buchwalder and Michael Merz	Legal Valuation Portfolio in Non-Life Insurance (Paper)
Heikki Bonsdorff	On asymptotic properties of Bonus-Malus systems based on the number and on the size of the claim (Paper)
Bijak Wojciech	Extended Solvency Margin as a Measure of The Insolvency Risk of Non-Life Insurance Companies (Paper)
J´erˆome Barbarin	Stochastic Surrender With Asymmetric Information (Paper)
Laura Ballotta and Nino Savelli	Risk Based Capital Risk Based Capital Modelling For P&C Insurers Modelling for P&C Insurers and Financial Sensitivity (Paper)
Paul Embrechts	Multivariate excess distributions (Paper)
Ahmed D. Abid, Ahmed A. Kamhawey and Othman I. Alsalloum	Graduating The Saudi Crude Mortality Rates and Constructing Their Monetary Tables (Paper)
Peter Zweifel, Yves Schneider, Christian Wyss	Spatial Effects in Willingness-to-Pay The Case of Nuclear Risk (Paper)
Guojing Wang, and Kam C. Yuen	On a Correlated Aggregate Claims Model with Thinning-dependence Structure (Paper)
Shaun Wang	Normalized Exponential Tilting:Pricing and Measuring Multivariate Risks (Paper)
Robert Verlaaka, Werner Hürlimann & Jan Beirlant	Benchmark Rates for Excess of Loss Reinsurance Programs (Paper)
Bertrand Verdier and Artur Klinger	JAB Chain: A model-based calculation of paid and incurred loss development factors (Papers)
Emiliano A. Valdez	Probability Transforms with Elliptical Generators (Paper)
Greg Taylor and Gráinne McGuire	Synchronous Bootstrapping of Seemingly Unrelated Regressions (Paper)
Sundt, Bjørn and Vernic, Raluca	Two binomial methods for evaluating the aggregate claims distribution in De Pril’s Individual risk model (Paper)
Doreen Straßburger and Dietmar Pfeifer	Dependence Matters! (Paper)
René Schnieper	Modeling the Underwriting Cycle (Paper)
Arne Sandström	Solvency assessment –a pragmatic approach
Carsten Pr¨ohl and Klaus D. Schmidt	Multivariate Chain–Ladder (Paper)
Frédéric PLANCHET and Pierre THÉROND	Asset Allocation: New Contrainst Included by Solvency II Project (Paper)
Jean Pinquet, Montserrat Guillén & Mercedes Ayuso	Selection bias and auditing policies on insurance claims (Paper)
Partrat Christian, Pey Noémie and Schilling Jérôme	Delta Method and Reserving (Paper)
Bill Panning	Measuring Loss Reserve Uncertainty