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Netherlands — 17-19 September 2003

SpeakersPresentation
Yamashita, MiwakaHedge Fund Risk Premium Calculation by Wane: Transform
Dick WentingDeclining funding ratios
Dick WentingThe Dutch Pensionfund Situation: Declining Funding Ratio’s “A practical approach”
Christian WalterThe Efficient Market Hypothesis, the Gaussian Assumption, and the Investment Management Industry
Gary G Venter Asset Valuation Testing Distributions of Stochastically Generated Yield Curves - (Paper)
Joeri van AlphenModelling Active Management - (Paper)
Robert ThomsonThe Pricing of Liabilities In An Incomplete Market Using Dynamic Mean-Variance Hedging with Reference to an Equilibrium Market Model (Paper)
Shuji Tanaka and Yukio MuromachiAn Integrative Risk Evaluation Model for Market Risk and Credit Risk
Tagliafichi RicardoThe estimation of Market VaR using Garch models and a heavy tail distributions
Michael SherriesEquilibrium Insurance Pricing Market Value of Liabilities and Optimal Captitalization (Paper)
Arnold ShapiroCapital Market Applications of Neural Networks Fuzzy Logic and Genetic Algorithms
Eduard PondsPension Funds & Value-Based Generational Accounting (Paper)
J. DAVID CUMMINS, KRISTIAN R. MILTERSEN, AND SVEIN-ARNE PERSSONINTERNATIONAL COMPARISON OF INTEREST RATE GUARANTEES IN LIFE INSURANCE
Antoon PelsserPricing and Hedging Guaranteed Annuity Options via Static Option Replication
Teus MourikMarket risks of insurance companies Descriptions and measurement approaches
from the perspective of solvency requirements
Marco Micocci – Giovanni MasalaPricing pension funds guarantees using a copula approach (Paper)
Gennady MedvedevProperties of Yield Curves and Forward for Affine Term Structure Models (Paper)
Chris K. Madsen and Hal W. PedersenAn Examination of Insurance Pricing and Underwriting Cycles - (Paper)
Roger J.A. Laeven and Marc J. GoovaertsAn optimization approach to the dynamic allocation of economic capital (Paper)
Kasimir Kaliva and Lasse KoskinenDynamic Model for Stock Market Risk Evaluation - (Paper)
Farid Kabbaj and Inge ZeilstraDevelopment of Risk and (Market) Valuation Models: From Measurement to Management - (Paper)
Jongwoo JangA Practical Approach to Asset Liability Management
Ji-Wook JangThe hidden cost of delay in a credit loan portfolio
Werner H¸rlimannOn Optioned Portfolio Selection under Option Strategies
Luc HenrardThe management of a financial conglomerate :A challenge for the actuaries ?
Marc J. Goovaerts, Rob Kaas, Jan Dhaene and Qihe TangSome New Classes of Consistent Risk Measures - (Paper)
Russell Gerrard, Steven Haberman, and Elena VignaOptimal Investment Choices Post Retirement in a Defined Contribution Pension Scheme
C. Frantz, X. Chenut and J.F. WalhinPricing and Capital Allocation for Unit-Linked Life Insurance Contracts with Minimum Death Guarantee - (Paper)
Tom Fischer and Armin RoehrlRisk and performance optimization for portfolios ofbonds and stocks
Idriss Tchapda DjamenEvaluation of Credit Derivative Products_(French)
Frank de JongPension Fund Investments: Stocks or Bonds?
Rob van Leijenhorst and Jiajia CuiEmbedded Options and Guarantees
Gary Finkelstein, Emma McWilliam, Steve Nagle, Paul de Beus, Rob van Leijenhorst, Lotte Maas, and Jiajia Cui
Guarantee and embedded options (Paper)
Paul de BeusAlternative Investments and Risk Measurments
Erwin CharlierFair Valuation of Guaranteed Contracts:the Interaction Between Assets and Liabilities (Paper)
Pieter BouwknegtThe Value of non enforceable Future Premiums in Life Insurance (Paper)
David Blake, Andrew J.G. Cairns and Kevin DowdStochastic pension plan design during the distribution phase
Pieter BouwknegtThe Value of non Enforcable Future Premiums in Life Insurance
Hugo Berkouwer, Ad Kok and Egbert KrommeWHITHER AFIR The Past The Present and The Future Education (Paper)
Bas Arts and Elena VignaA Switch Criterion for Defined Contribution Pension Schemes (Paper)
Giulia Andreatta and Stefano CorradinFair Value of Life Liabilities with Embedded Options: anApplication to a Portfolio of Italian Insurance Policies
Peter Albrecht and Carsten WeberCombined Accumulation- and Decumulation Plans with RiskControlled Capital Protection (Paper)
R.J.A. LaevenAn Introduction to Credit Risk with a Link to Insurance (Paper)

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