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8th AFIR-ERM Colloquium Cambridge, United Kingdom — 15-17 September 1998

SpeakersPresentation
Hans-Fredo List and Mark H.A. DavisRisk/Arbitrage Strategies: A New Concept for Asset/Liability Management, Optimal Fund Design and Optimal Portfolio Selection in a Dynamic, Continuous-Time Framework Part IV: An Impulse Control Approach to Limited Risk Arbitrage
Hans-Fredo List and Mark H.A. DavisRisk/Arbitrage Strategies: A New Concept for Asset/Liability Management, Optimal Fund Design and Optimal Portfolio Selection in a Dynamic, Continuous-Time Framework
Part III: A Risk/Arbitrage Pricing Theory
Hans-Fredo List and Mark H.A. DavisRisk/Arbitrage Strategies: A New Concept for Asset/Liability Management, Optimal Fund Design and Optimal Portfolio Selection in a Dynamic, Continuous-Time Framework Part II: Securities and Derivatives Markets
Hans-Fredo List and Mark H.A. DavisRisk/Arbitrage Strategies: A New Concept for Asset/Liability Management, Optimal Fund Design and Optimal Portfolio Selection in a Dynamic, Continuous-Time Framework
Part I: Securities Markets
Masaaki Kijima and Yukio MuromachiEvaluation of credit risk of a portfolio with stochastic interest rate and default processes
Hans U. Gerber and Gérard PafumiPricing Dynamic Solvency Insurance and Investment Fund Protection
Pierre DEVOLDERStochastic Amortization of Debt
Robert S. Clarkson, United KingdomA Fundamental Preferences Model of Equity Share Returns
R. G. Chadburn, B.Sc., Ph.D., F.I.AControlling Solvency and Maximising Policyholders’ Returns: A Comparison of Management Strategies for Accumulating With-Profits Long-Term Insurance Business
Niklaus Bühlmann and Hans-Fredo ListRisk/Arbitrage Strategies: An Application to the Pricing and Hedging of Dual Trigger Stop Loss Treaties
E.M.Bronshtein, S.I.Spivak (Russia)Convex Structures and the Theory of Investments
Vincenzo Bochicchio, Niklaus Bühlmann, Stephane Junod and Hans-Fredo ListRisk/Arbitrage Strategies: An Application to Stock Option Portfolio Management
Katja Ainassaari, Markku Kallio,and Antero RanneSelecting an Optimal Investment Portfolio for a Pension Insurance Company
A D WilkieWhy the Long Term Reduces the Risk of Investing in Shares
M. Usabel, UCMZero-Coupon Bonds Assessment Using a New Stochastic Model
Rob ThomsonInvestment Channel Choice in Defined Contribution Retirement Funds: The Use of Utility Functions
Andrew SmithGauge Transforms in Stochastic Investment Modelling
Jochen RußPricing of Guaranteed Index-Linked Products Based on Lookback Options
Dirk Jens F. NonnenmacherGuaranteed Equity-Linked Products
Hans-Fredo List and Mark H.A. DavisRisk/Arbitrage Strategies: A New Concept for Asset/Liability Management, Optimal Fund Design and Optimal Portfolio Selection in a Dynamic, Continuous-Time Framework
Part V: A Guide to Efficient Numerical Implementations

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