AFIR-ERM Colloquium Rome, Italy — 30 March – 3 April 1993

Rome, Italy — 30 March – 3 April 1993

Presenter	Presentation
Edwin H. Neave	Exact Solutions for Average Spot and Average Strike Price European Options on a Recombining Random Walk
Carlo Mottura	Managing Profit-Sharing Policies in a Financial Immunization Framework
Marguerite Metz & Marianne Ort	Stochastic Models for the Swiss Consumer’s Price Index and the Cost of the Adjustment of Pensions to Inflation for a Pension Fund
Thomas J. Merfeld	The Financial Intuition Behind a Lognormal Interest Rate Diffusion Process
Eduardo Melinsky	Stock Options in Argentine Capital Market: Present and Prospect
Joseph W. E. Mariathasan and Peter F. Rains	Strategic Financial Management in a General Insurance Company
Angus S. Macdonald	What is the Value of a Valuation?
Peter M. Ludvi	The Wilkie Model Revisited
Elisa Luciano	Bond Pricing Through Bargaining
Giovanni Longo	Portfolio Insurance by Dynamic Asset Allocation
Patrick J. Lee	Portfolio Selection in the Presence of Options and the Distribution of Return of Portfolios Containing Options
Elisa Luciano	Bond Pricing Through Bargaining
Giovanni Longo	Portfolio Insurance by Dynamic Asset Allocation
Hoai Minh Lam and Christine Barbier	Asset-Liability Management (ALM) for Institutional Investors (Insurance Companies, Pension Funds, Corporate Savings Funds) (French)
Paul Kennedy	MANAGING FINANCIAL IN A LIFE COMPANY INSTRUMENTS PORTFOLIO
Paul Kennedy	Financial Risks in the Audit of a Life Insurer
Antonio Iannizzotto	Risk-Loading to Match Cost of Equalisation Reserve for Banks
Werner Hürlimann	Méthodes stochastiques d’évaluation du rendement
Ralph Honegger & Christiane Mathis	Duration of Life Insurance Liabilities and Asset Liability Management
Christian Hipp	Hedging General Claims
Andrew J. Haines	A Stochastic Model for the Number of Claims in General Insurance
Mark Griffin	A New Rationale for the Different Asset Allocation of Dutch and UK Pension Fund
Mark Griffin	Pension Fund Management in the Netherlands and the UK
Fernando Gil Fana, M.ª Angeles Martínez and Ana Vilar Zanon	The Application of Ruin Theory to the Solvency of Spanish Insurance Companies
	3rd International Colloquium AFIR-ERM
PETER E.B. FORD	SOME FURTHER CASHFLOW INVESTIGATIONS MATHCHING
L. Elie, N. El Karoui, T. Jeantheau, A. Pferzel	Les modèles ARCH sur les cours de change (French)
LAWRENCE DRYDEN, MARK HANCOCK	THE MYTH OF INDEX-LINKED BOND DURATION
RICHARD A. DERRIG. PH.D	Theoretical Considerations of the Effect of Federal Income Taxes on Investment Income in Property-Liability Ratemaking
Philippe Delienne, Pierre Brugiere, Philippe Mimran	Options de change dans le SME (French)
Chris Daykin, Grant Ballantine, Douglas Anderson	Modelling the Assets and Liabilities of a Pension Fund
STEWART COUTTS	IMMUNIZATION IS DEAD
ROBERT S. CLARKSON	SOME OBSERVATIONS ON THE THEORY OF GAMES
MARK S. CLAASSEN	A Systemic Approach to the Financial Management and Risk Control of Employee Benefit Funds
Jean-François Boulier, Jean-François Lévy, Alain Demay	Asset and Liability Management for a Defined Benefit Pension Fund
Stefano Bosco	Solvency Standards in an Insurance Company
Marc Bonnassieux, & Vincent Brunel	UN MODELE DE HO & LEE GENERALISE (French)
Alberto Bertocchi, Alberto Cavalli	The Effect of Solvency on the Pricing of Insurance Contracts
Baruch Berliner, Niklaus Bühlmann	A Generalization of the Fuzzy Zooming of Cash Flows
Anna Rita Bacinello, Francesco Ortu	Pricing Life Insurance Guaranteed Under Interest-Rate-Linked Securities — Interest-Rate Risk
JEAN-CLAUDE AUGROS	Évaluation des euro-obligations convertibles à option de change (French)
Bob J. J. Alting von Gesau	A First Analysis of the Risks in the Dutch Risk-Asset-Compensation System
Peter Albrecht	Normal and Lognormal Shortfall Risk
Björn Palmgren	Supervision and Asset Risk in Insurance
Ragnar Norberg	Risk and Security in Insurance

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