AFIR-ERM Colloquia – Boston, United States of America 2004

Colloquia 8-10 November 2004

Speakers	Presentations
Clément-Grandcourt Arnaud	What Mathematical Statistics Can Contribute to a More Rational Management of Fund-of-Funds
Andrew J.G. Cairns, David Blake and Kevin Dowd	Pricing Frameworks for Securitization of Mortality Risk
Gyöngyi Bugár	Global Equity Allocation as a Means of Risk Reduction: A Lesson for Central and Eastern European Countries
Jean-François Boulier and Maria Hartpence	Fundamental-driven and Tactical Asset Allocation: what really matters?
Carole Bernard, Olivier Le Courtois, François Quittard-Pinon	Market Value of Life Insurance Contracts under Stochastic Interest Rates and Default Risk
Barroso, Maria and Rodríguez, Sonia	Critical analysis of the European Union solvency model for "non-life" insurance companies: the Portuguese case
Laura Ballotta	Alternative Framework for the Fair Valuation of Participating Life Insurance Contracts
Doug Andrews	An Examination of the Equity Risk Premium Assumed by Canadian Pension Plan Sponsors
Yingjie Zhang	Allocating Capital Using the Expected Value of Default
Richard W. Gorvett, Kevin C. Ahlgrim and Stephen P. D’Arcy	A Comparison of Actuarial Financial Scenario Generators
Gary Venter	Market Value of Risk Transfer: Catastrophe Reinsurance Case
Roland van Gaalen	Pension Funds: Funding Index, Mismatch Risk Premium, and Volatility
Steven Vanduffel Jan Dhaene Marc Goovaerts	On the Evaluation of ‘Saving-Consumption Plans
Marco van Akkeren and Henry W. Hansen	On Mortgage Prepayment and Default: A Historical Distribution Analysis Approach
Christian Sutherland-Wong and Michael Sherris	Risk-Based Regulatory Capital for Insurers: A Case Study
Prakash Shimpi	Leverage and the Cost of Capital in the Insurative Model
Michael Sherris	Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value
Arnold F. Shapiro	Fuzzy Regression and the Term Structure of Interest Rates Revisited
Rhodes, Thomas E. and Freitas, Stephen A	Advanced Statistical Analysis of Mortality
Sachi Purcal	A Stochastic Control Model for Individual Asset-Liability Management
Frédéric Planchet and Pierre Therondα	Asset Allocation of a Pension Plan in Payment Phase
Makoto Kushibiki	Potential of Actuarial Approach for Patent Matters – With Some Topics on Recent Increase of Patent Valuation Needs in Japan
Mary R Hardy	Ratchet Equity Indexed Annuities
Medvedev Gennady	Forward Interest Rates and Volatility of Zero-Coupon Yield in Affine Models
Kenneth A. Froot, Gary G. Venter, John A. Major	Capital and Value of Risk Transfer
Barry Freedman	An Alternative Approach to Asset-Liability Management
Bronshtein Efim M.	Optimization of Time Structure of the Investment Project
Ivica Dus, Raimond Maurer, and Olivia S. Mitchell	Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans
J. Dhaene, R.J.A. Laeven, S. Vanduffel, G. Darkiewicz, and M.J. Goovaerts	Can a coherent risk measure be too subadditive?
S. Desmedt, X. Chenut, and J.F. Walhin	Actuarial Pricing for Minimum Death Guarantees in Unit-Linked Life Insurance:A Multi-Period Capital Allocation Problem
Jiajia Cui, Frank de Jong, and Eduard Ponds	Intergenerational transfers within funded pension schemes
Samuel H. Cox and Yijia Lin	Natural Hedging of Life and Annuity Mortality Risks

Topics: