Skip to main content
AFIR-ERM Colloquium 2008
Rome, Italy -  1-3 October 2008
PresenterTitle
R. Cerchiara, M. Edwards, B. Verbrigghe, A. GambiniGeneralized Linear Models in Life Insurance: Decretements and Risk factor analysis under Solvency II
S. Corsaro, P.L. De Angelis, Z. Marino, F. Perla, P. ZanettiComputational issues in internal models: the case of profit sharing life insurance policies
M. FedorSolvency II et selection du portefeuille d'actifs: approche theorique
W. HuerlimannOn the Optimal SST Initial Capital of a Life Contract
F. Krieter, D. RauLimited liabilities within a (re-)insurance group
L. PassalacquaOptimal trade credit reinsurance programs with solvency requirements
S. TanakaOn Japanese solvency standards: current situation and discussions for further reform
A. Battauz, M. De Donno, A. Sbuelz, M. TolottiRisk Tolerance Levels for Insurance Companies
G. Bugàr, R. Maurer, H. Thanh VoGauging risk with higher moments: handrails in measuring and optimizing conditional value at Risk
M. BrogiRegulation, Corporate Governance and Risk Management in Banks and Insurance Companies
F. Cesarone, A. Scozzari, F. TardellaEfficient Algorithms for mean-variance portfolio optimization with Hard Real-World Constraints
M. Corradini, A. Gheno, C. MotturaSwap Derivatives and Bounds for the Hedge Accounting Effectiveness Test
M. Micocci, G. Masala, G. Cannas, G. FloreReputational Effects of Operational Risk Events for Financial Institutions
D. Bauer, D. Bergmann, R. KieselOn the risk neutral valuation on life insurance contracts with numerical methods in view
A. Cairns, T. Kleinow, S. Sahin, D. WilkieRevisiting the Wilkie Investment Model
E. Fraga Lima de MeloValuation of Participating Inflation Annuities with Stochastic Mortality, Interest and Inflation rates
T. KleinowValuation and Hedging of Participating Life-Insurance Policies under Management Discretion
L. Koskinen, A. Luoma, A. PuustelliBayesian analysis of participating life insurance contracts
E. Vannucci, L. VannucciAnalytic formulas for options embedded in life Insurance policies
I. Colivicchi, S. Mulinacci, E. VannucciA dynamic control strategy for pension plans in a stochastic framework
M. Di Giacinto, S. Federico, F. Gozzi, E. VignaConstrained portfolio choices in the decumulation phase of a pension plan
S. FedericoA Pension Fund Model with surplus: an infinite Dimensional Stochastic Control Approach
R. Gerrard, B. Hoigaard, E. VignaChoosing the optimal annuitization time post retirement
W. Horneff, R. H. Maurer, O. S. Mitchell, M. Z. StamosMoney in Motion: Dynamic Portfolio Choice in Retirement
R. H. Maurer, C. Schlag, M. Z. StamosOptimal Life-Cycle Strategies in the Presence of Interest Rate and Inflation Risk
V. Reznik, U. SpreitzerDouble risks portfolio optimization problem for pensions funds
A.J. G. Cairns, D. Blake, K. DowdModelling and Management of Mortality Risk: A review
M. Juillard, F. Planchet, P. TherondPerturbations Extremes sur la dérive de mortalité anticipée. Application à un régime de rentes
S. Levantesi, M. Menzietti, T. TorriLongevity bond pricing models: and application to the Italian annuity market an pension schemes
N. Nakagome, M. KawaguchiThe longevity risk associated with the pension liability
SharifPlanning for Retirement in the Emerging Socio Economic Scenario
S. Wills, M. SherrisIntegrating Financial and Demographic Longevity Risk Models: An Australian Model for Financial Applications
J. Iñaki De La PeñaAn Actuarial Approach for Adjusted Forward Rates
R. ThomsonModelling the Market in a risk-averse world
Gary VenterTriangles in Life and Casualty
N. Savelli, G. ClementeModelling aggregate non-life underwriting risk: standard formula vs internal model