AFIR-ERM Colloquia Toronto, Canada — 2001 – International Actuarial Association

Toronto, Canada — 6-7 September 2001

Speakers	Presentations
Yuriy Krvavych	On the Stock Price Model Defined by the Fractional Brownian Semilinear Stochastic Differential Equation: Measure Transformation and Equilibrium of Stock Market
G. M. Koshkin, Ya. N. Lopukhin	On Estimation of Net Premium in Collective Life Insurance
Werner Hürlimann	Efficient Asset Liability Portfolios Using Mean-ERC and Mean-Variance Analysis
Diego Hernández-Rangel	Hedging Strategies and Insurance
Mary Hardy	Investment Guarantees in Equity Risk-Linked Insurance: The Canadian Approach
Mahmoud Hamada; Michael Sherris; John van der Hoek	Martingale Methods in Dynamic Portfolio Allocation with Distortion Operators
Steven Haberman and Neema Lutula	Smoothing in Defined Benefit Pension Schemes: Asset Valuation and Spreading Gains and Losses (Part 2)
Marc Goovaerts; Ann De Schepper; David Vyncke; Jan Dhaene; Rob Kaas	Stable Laws and the Distribution of Cash Flows
Elke Eberts and Raimond Maurer	Comparison of Time Series and Interest Rate Models to Forecasts of the German Inflation Rate
Dr. Paul-Antoine Darbellay	Critical Approach to the Valuation Methods of a Life Insurance Company under the Traditional European Statutory View
Michael Cohen and Karen Maser	Survey of Financial Security: Estimating the Value of Employer Pension Plan Benefits (Discussion Paper)
Robert S. Clarkson	The Equity Selection Procedure Model
Laurent Chrétien and François Quittard-Pinon	Pricing Formulae for Barrier Caps
Andrew J.G. Cairns	From Financial Economics to Fair Valuation
Phelim P. Boyle; Yongzeng Lai; Ken Seng Tan	Using Lattice Rules to Value Low-Dimensional Derivative Contracts
Phelim P. Boyle; Adam W. Kolkiewicz; Ken Seng Tan	Pricing American Derivatives using Simulation: A Biased-Low Approach
Pieter Bouwknegt	Market Value of Insurance Contracts with Profit Sharing
Jean-François Boulier; Pierre Sequier; Grégory Taillard	Tactical Optimization: How to Forecast Risks?
Peter Albrecht; Raimond Maurer	Self-Annuitization, Ruin Risk in Retirement, and Asset Allocation: The Annuity Benchmark
Peter Albrecht; Raimond Maurer; Ulla Ruckpaul	The Risk of Stocks in the Long Run: Unconditional vs. Conditional Shortfall
Emmanuel Acar & Andrew Pearson	Distribution of Returns Generated by Stochastic Exposure An Application to VaR Calculation in the Futures Markets
Yasuo Yamashita	Cash Management with Futures in Passive Investment
A. D. Wilkie	On the Risk of Stocks in the Long Run: A Response to Zvi Bodie
Dick Wenting	The Pension Fund Situation in the Netherlands and the Introduction of a Simple ALM Model
Shaun Wang	A Universal Framework for Pricing Financial and Insurance Risks
Christian Walter	Searching for Scaling Laws in Distributional Properties of Price Variations: A Review over 40 Years
Thomas G. Stephan, Raimond Maurer, and Martin Dürr	A Multiple Factor Model for European Stocks
F. Schnapp	The Effect of Risk Diversification on Price
F. Schnapp	The Diversification Property
Moshe A Milevsky and Thomas Sailsbury	The Real Option to Lapse a Variable Annuity: Can Surrender Charges Complete the Markert?
Gennady Medvedev	The Asset Pricing When the Interest Rates Are Differentiable Stochastic Processes
B. John Manistre	The Financial Economics of Universal Life: An Actuarial Application of Stochastic Calculus
X. Sheldon Lin and Ken Seng Tan	Valuation of Equity-Indexed Annuities under Stochastic Interest Rate

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