AFIR-ERM Colloquium: Orlando, United States of America — April 1994

Colloquium 20-22 April 1994

Prsentation	Presenter
Unit-Linked Defined Benefit Plans	Anne Sundby Magnusse, Sissel Rodevan
Apprasing Life Office Valuations	Angus S. Macdonald
Investment Strategy for Defined Contribution Plans	Peter Ludvik
Immunization Measures for Life Contingencies	Li, David. X., & Panjer, Harry. H.
Maximising Long-Term Return	Patrick J Lee
Some Practical Aspects of Stochastic Asset and Liability Modelling of UK With Profits Business	Andrew Sanders and John Lavecky
Asset-Liability Management (ALM) of a Non-Single Premium Endowment Life Insurance Contract: The CALM CONSENSUS ALM Model (French paper)	Hoai Minh LAM
Dynamic Financial Analysis: Applications to Insurance Company Risk Management	S. N. Kirmani, J. M. Thompson and A. Zaman
Paradoxes in Option Pricing – Extensions of the Models (French paper )	Jean-Philippe Jousseaume
Semi-Markov Modelisation for the Financial Management of Pension Funds	Janssen, J., & Manca, R.
Modelling Equity Returns Using a Simple ARCH Model	Vincent Hua
Asset Allocation Via The Conditional or How To Avoid Outliving First Exit Your Money	Moshe Arye Milevsky and Chris Robinson
Portfolio Management and Transaction Costs	Christian Hipp
Incorporating variation individual life company in simulated equity returns	Mary R Hardy
Long -Rerm Investment Strategy Using Stock As A Hedge Against Inflation	Chang-tseh Hsieh,Iskandar S. Hamwi
Martingale Approach to Pricing Perpetual American Options	Hans U. Gerber and Elias S.W. Shiu
On The Valuation of Loan Guarntees Under Stochastic Rates	Van Son Lai and Michel Gendron
Valuation Policies of the Rollover in the Heath–Jarrow–Morton Framework: The Option of Life Insurance	Hélyette Geman and Martine Vareilles
Pricing Eurodollar Time Deposit Futures	Louis Gagnon, Ieuan G. Morgan & Edwin H. Neave
Valuation Catastrophe A Martingale of an American Insurance Futures Approach	Rudy Yaksick
A Stochastic Model for Consumer Price Indices and Exchange Rates in Several Countries	A. D. Wilkie R. Watson
Market Endogenous Solvency and Dividend Policy	Pieter Otter and Henk von Eije
The Demand for Equity and Reinsurance by Non-life Insurance Companies if Consumers React and Interest Rates Change	Bert Kramer and Henk von Eije
The Yield Curve and Bond Portfolio Immunization	César Villazón
Strategies for the Selection of Investment Managers	Roger C Uxwin
The Impact of Limited Investment Choices on Life Insurance Companies in Poland	Krzysztof Stroiński
Can Customers Rely on Predicted Savings? A Way to Help the Actuary	Steen Sarrensen
A Numerical Examination of Asset-Liability Management Strategies	Meije Smink
Glits and Equities	S. Locksley Smaller
Relation Between Total Risk and Return: Analysis under a New Paradigm	Tapen Sinha
Modeling and Measuring Volatility in the Black-Scholes Economy: A Bayesian Approach	Giuseppe Russo
Modeling the Price of a European Option Using the Density Function of Forward Returns	Simon Rosenblatt and Yahya Ould Amar
Non-Parallel Yield Curve Shifts and Immunization	Robert R. Reitano
On Stochastic Modeling of Inflation	Tarmo Pukkila
Stock Exchanges in Eastern Europe: Why Warsaw Is Not Budapest	Dr. Cees J. Prins and Dorota Strzalkowska
An Introduction to Catastrophe Insurance Futures	Michael Smith Jamie Pickles
Some Aspects of the Martingale Approach to the Term Structure of Interest Rates	Hal W. Pedersen
Stochastic Analysis of an Insurance Portfolio	Gary Parker
Realistic Accounting of Balance Sheet Risks	BJORN PALMGREN
Quick Solutions for Arithmetic Average Options on a Recombining Random Walk	Edwin H. Neave Stuart M. Turnbull
Dynamic Immunization and Transaction Costs	Eliseo Navarro & Juan M. Nave
The Equivalent Single Scenario in an Arbitrage Free Stochastic Interest Rate Model	B. John Manistre PhD FSA FCIA MAAA
Solvency Risk	Henry Essert
RISK TOLERANCE OF INSURANCE COMPANIES	Matthew S. Easley, FSA Stephen A. J. Sedlak, FSA Nationwide Life Insurance
Final Report 1986-1989 Credit Risk Event Loss Experience Cormnercial Mortgage Loans and Private Placement Bonds	Mark Doherty/Warren Luckner
Fuzzy Techniques of Pattern Recognition in Risk and Claim Classification	Richard A. Derrig and Krzysztof M. Ostaszewsk
Bankruptcy Prediction in the Insurance Industry (French version)	Patricia Derez
Application of a Stochastic Asset/Liability Model in formulating Investment Policy for Long-Term Financial Institutions	Anthony Dardis and Vinh Loi Huynh
CRAOTIC ANALYSIS ON U. S. TRRASURY INTEREST RATES	Steve Craighead
ASSET-LIABILITY MANAGEMENT AND ASSET ALLOCATION FOR PROPERTY AND CASUALTY COMPANIES - THE FINAL FRONTIER	Salvatore Correnti, John Sweeney
Report on the Task Force on Application of Cash Flow Techniques to Pension Plans	Michael Cohen
The Coming Revolution in the Theory of Finance	Robert Clarkson
Commercial Bank’s Off-Balance Sheet Activities and Their Relationship With Market-Based Risk Measures	Mukesh X
FINANCIAL DISTRESS IN THE LIFE INSURANCE INDUSTRY: AN EMPIRICAL EXAMINATION	James M. Carso
A Pattern Recognition Approach to Early Warning Systems in Commercial Banking	James Kolari , Michele Caputo and Drew Wagner
Quality Option	Pierre Brugiere, Anne Gille
EMPIRICAL ANALYSIS OF GLOBAL BOND INVESTMENTS BASED ON FUNDAMENTALS	JF. BOULIER and S. DEMAY
A Simulation Based Approach to Assit Allocation Decisions	Philip to Asset Allocation Booth Kz Alen Ong
RISK / RETUFW HISTORIES: MEASURING FUND MANAGER PERFORMANCE OVER TIME	L. A. BALZER,
THE USE OF INTERVALS OF POSSIBILITIES TO MEASURE ANU EVALUATE FINANCIAL RISK AND UNCERTAINTY	Yair M. Babad, and Dr. Baruch Berliner
Using Interest Summary An index-linked arbitrary Index Linked Canadian Rates and to Detect Inflation Bonds To Model Real Risk Premiums	Andrew R. Azis and Eliezer Prisman
OPERATIONALITY OF A MODEL FOR THE ASSET LIABILITY MANAGEMENT	Pierre ARS and Jacques JANSSEN
-Single-Factor Immunizing Duration of an Interest Rate Swap	Peter Albrecht / Thomas Stephan
Shortfall Returns and Shortfall Risk	Peter Albrech
Actuarial Approach For Financial Risks International Colloquium	James A. Tilley
On the Asset Models as a part of All-Company Insurance Analysis by Finnish Insurance Modelling Group	(FIM-GROUP)
POST-MODERN PORTFOLIO THEORY COMES OF AGE	Brian M. Rom Kathleen W. Ferguson

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