| Susan Gosling | Active Asset Allocation in the UK: The Potential to Add Value |
| Hklyette Geman' and Marc Yor | Pricing and Hedging Double-Barrier Options: A Probabilistic Approach |
| Falco R. Valkenburg | Managers do not Lean Back: A Profit Testing Model that Evaluates Scenario Dependent
Management Decisions |
| Marliese Uhrig | Examination of a Two-Factor Bond Option Valuation Model |
| Willi Ufer | The “Value at Risk” Concept for Insurance Companies |
| Ken Sugita | Change of Japanese Regulation of Corporate Pension and its Impact |
| Thomas G. Stephan | Asset Allocation Optimization for German Life Insurers |
| Thomas G. Stephan | A Time Series Analysis of an Asset Class Returns Model for the German Capital Market |
| Michael SchrGder | The Value at Risk Approach |
| Heinrich R. Schradin | PCS Catastrophe Insurance Options A New Instrument for Managing Catastrophe Risk |
| Christian Schmitt | Option Pricing Using EGARCH Models |
| Udo Schmidt-Mohr | Volatility Forecasting with Nonlinear and Linear Time Series Models: A Comparison |
| Gerhard Scheuenstuhl' and Rudi Zagst' | Optimal Optioned Portfolios with Confidence Limits on Shortfall Constraints |
| Peter Schenk | Simulation of Asset/Liability-Profiles as Part of an Insurance Management Simulation Game |
| Prank Nielsen, Simon Juen | An Integrated Valuation and Risk Model for C&man Fixed-Income Portfolios |
| John M. Mulvey’ and A. Eric Thorlacius | The Towers Perrin Global Capital Market Scenario Generation System |
| Martin J Muir nnd Richard J Squires | Asset/Liability-Modelling for Life Offices allowing for Dated Fixed Interest Investments and Performance Related Changes in Liability |
| Carlo Mottura and Marco S. Ristuccia | Optimal Control Strategies versus Supervisory Rules Suggestions from Bond Portfolio Selection Theory |
| Matthias Moller | Pricing PCS-Options with the Use of Esscher-Transforms |
| Shyam Mehta | Development of an Inflation Model |
| Gennady Medvedev and Samuel H. Cox | The Market Price of Risk For Affine Interest Rate Term Structures |
| Piera Mazzoleni | Prudence and Intertemporal Utility |
| Ho&Minh Lam | Study and simulation of the sensitivity of a securities portfolio (French paper) |
| Annette Kurz | Pricing of Equity-linked Life Insurance Policies with an Asset Value Guarantee and Periodic Premiums |
| Wolfgang Kiirsten | Bank Risk, Regulation and Financial Futures Policy |
| Josef Kriecherbauer | Valuation of Fixed-Income Securities with Uncertain Cash-Flow |
| Lasse Koskinen' and Tarmo Pukkila | An Application of the Vector Autoregressive Model with a Markov Regime to Inflation Rates |
| Sergio G. Koreisha' and Tarmo Pukkil | A New Approach for Identifying Seasonal Autoregressive Time Series Forecasting Models |
| Alexander Kiinig | Consequences of Differing Actuarial Interest Rates on the Profitability of an Endowment Policy: An Analysis in Consideration of Stochastic Investment Income and a Simple Profit Participation System |
| Alexander KempP and Olaf Kern* | Trading System and Market Integration |
| Jochen V. Kaduff | Shortfall-Probability-Based Diagrams of Efficient Frontiers |
| J. Ph. Jousseaume | Paradoxes Regarding the Calculation of Options The Keys to the Enigma … |
| Jacques Janssen, Malika Saib et Khamiss Taous | Techniques d’Estimation pour le Modble de Black & Scholes |
| Werner Hiirlimann | Mean-Variance Portfolio Selection under Portfolio Insurance |
| Michael W. Hopf | Asset Allocation Implementation with Structured Guaranteed Investments |
| Christian Hipp | Options for Guaranteed Index-linked Life Insurance |
| Elisabeth Hehn | Derivatives in Risk Management |
| M. Hartpence and J. Sikorav | Tactical Asset Allocation: Predictability of Capital Markets Using Error Correction Models |
| Faris Hama and Jacques Janssen | Linear Approach for Solving LargeScale Portfolio Optimization Problems in a Lognormal Market |
| Niklaus Buehlmann, StCphane Junod and Hans-Fred0 List | Baseline for Exchange Rate - Risks of an International Reinsurer |
| Wolfgang Biihler, Marliese Uhrig, Ulrich Walter and Thomas Weber | An Empirical Comparison of Valuation Models for Interest Rate Derivatives |
| Pierre BrugiBre’ | Optimal Portfolio and Optimal Trading in a Dynamic Continuous Time Framework |
| Vincent Brousseau | Valuation of Futures Contracts and Yield Options (French Paper) |
| D. C. Bowie and R. S. Clarkson | An Exploratory Analysis of the Structure of the FTSE 100 Index |
| Remi Bourrette and Etienne Trussant | Optimal Fund Design for Investors with Holding Constraints |
| Jean-Franvis Boulier, Stkphane Michel and Vanessa Wisnia | Optimizing Investment and Contribution Policies of a Defined Benefit Pension Fund |
| Guillaume Bouet et Richard Dahud | Extension of Financial Concepts in Fuzzy Calculus and Application to Cash Flow Matching (French paper) |
| Gianna Roero Foruhar Madjlessi and Costanza Torricelli | The Information in the Term Structure of German Interest Rates |
| Gianna Boero and Enrico Cavallil | Forecasting the Exchange Rate: A Comparison between Econometric and Neural Network Models |
| Marida Rertocchi Jitka Dupacova and Vittorio Moriggia | Sensitivity Analysis on Inputs for a Bond Portfolio Management Model |
| Gunther Baum | Asset/Liability-Management for Pension Funds: Some General Remarks |
| Hans-Jochen Bartels | Variations on a Theme of Bruno Dupire |
| Anna Rita Bacinello and Fulvio Ortu | Arbitrage Valuation and Bounds for Sinking-Fund Bonds with Multiple Sinking-Fund Dates |
| Robert Asburst, Gerald Bhmdell, Philip Booth, Martin Cumberworth, Glynn Griffiths and Guy Morrell | Securitisation and Institutional Property Investment |
| Norbert Ammon | Accounting and Disclosure Conventions for Derivatives in US, UK and German Banks |
| Frank Altrock and Andreas Wingsten | Proper Discounting when Tax Payments are Postponed |
| Pascal Alphonse | Opportunity for Arbitrage Measured to the 'Arbitrage Operation' Arbitrage Analysis: Intraday Valuation Analysis of the CAC 40 Futures Contract |
| Peter Albrecht, Alexander Kihig, Raimond Maurer, and Heinrich R. Schradin | Au Actuarial Approach to Determine the Required Capital for Portfolios of Options with Default Risk |
| Peter Albrecht, Hermann F.W. Biihrle and Alexander K6nig | Value-at-Risk: A Risk Theoretical Perspective with Focus on Applications in the Insurance Industry |
| Andrew Adams | Components of Risk for Investment Trusts |
| Michael Adam, Raimond Maurer and Matthias Moller | Evaluation of Combined Stock and Option Strategies Using Excess-Chance- and Shortfall-Risk-Measure |
| Michael Adam, Peter Albrecht and Raimond Maurer | Shortfall Risks and Excess Chances of Option-Based Rollover Hedge-Strategies with Respect to
Alternative Target Returns: Empirical Evidence from the German Stock Market |
| Masahiko Fujiki, Msc, PhD, FIA, FIAJ | Measurement of Risk |
| Andreas Frick’, Ralf Herrmann, Martin Kreidler, Alexander Narr and Detlef Seese | Genetic-Based Trading Rules - A New Tool to Beat the Market With? First Empirical Result |
| Peter Albrecht | Actuarial Approaches to Financial Risks |
| Jon Exley, Shyam Mehta and Andrew Smith | Market Effhziency |
| Jon JWey and Shyam Mehta | Asset Strategy for Defined Benefit Pension Schemes |
| Henry Essert | A General Framework for Financial Risk |
| Cees Dert') and Bart Oldenkamp') | Optioned Portfolios: The Trade-off between Expected and Guaranteed Returns |
| Steve Craighead | Insolvency Testing, Extreme Value Statistics and Resampling |
| Salvatore Correnti, CFA, Paul A. Nealon, FSA and Stephen M. Sonlin, CFA | Decomposing Risk to Enhance ALM and Business Decision Making for Insurance Companies |
| Michael Cohen’and Marlyn Bilodeau | Assessing the Option Premium in Hybrid Pension Plans |
| Robert S. Clarkson | A Dynamic Equilibrium Model for Capital Market Bebaviour |
| Yueyun Chen’and Iskandar S. Harnw | Indirect Cost, Reinsurance Pricing, and the Availability ofDisaster Insurance |
| Gilbert0 Castellani, Massimo De Felice ‘I, Franc0 Moriuu and Carlo Mottura | IT-Supported Solutions for Asset-Liability Management: The Alm-Max Approach |
| Andrew J.G. Cairns | Modelling Bond Yield and Forward-Rate Curves for the Financial Times Actuaries British Government Securities Yield Indices |
| Andrew J.G. Cairns | Continuous-Time Pension-Fund Modelling |
