AFIR-ERM Colloquium, Tromsø, Norway — 2000 – International Actuarial Association

AFIR-ERM Colloquium, Tromsø, Norway — 20-23 June 2000

Speakers	Presentation
Gennady A. Medvedev	Processes with Dependent Increments as Mathematical Models of Interest Rate Processes
James Maitland	Interpolating the South African Yield Curve
Snorre Lindset’	Hedging Strategies for Rate of Return Guarantees on Multi-period Assets.
Donald Leggett and Steven Craighead	Risk Drivers Revealed: Quantile Regression and Insolvency
P J LEE AND A D WILKIE	A Comparison of Stochastic Asset Models
Bjarke Jensen, Peter Løchte Jørgensen and Anders Grosen	Finite Difference Approach to Valuing Path-Dependent Life Insurance Liabilities
Natalia G. Ilieva	The Comparative Analysis of the Term Structure Models of the Affine Yield Class
Steve Hardwick and Anthony Bite	An International Survey of Asset-Liability Solvency Management for Life Insurers
Mette Hansen & Kristian F. Miltersen	Minimum Rate of Return Guarantees: The Danish Case
Frank de Jong and Jacco L. Wielhouwer	The valuation and hedging of variable rate savings accounts
Paul-Antoine Darbelay et Franck Pinette	The insurance of the G guaranteed floor 1, of unit-linked contracts (French paper )
Lars Oswald Dahl	Valuation of European Call Options on Multiple Underlying Assets by Using a Quasi-Monte Carlo Method. A Case with Baskets from Oslo Stock Exchange
Robert S. Clarkson	A General Theory Financial Risk
Andrew Cairns, David Blak and Kevin Dowd	Optimal Dynamic Asset Allocation for Defined-Contribution Pension Plans
Gyongyi Bugar and Raimond Maurer	Efficient Risk Reducing Strategies by International Diversification: Evidence from a Central European Emerging Market
ERIK BBLVIKEN AND FRED ESPEN BENTH	Quantification of risk in Norwegian stocks via the normal inverse Gaussian distribution
FRED ESPEN BENTH, JON GJERDE, AND SIGURD SANNAN	Portfolio Management and Correlation
Thomas Benesch	The Pension Fund Solution by an Austrian Bank
HJ Bartels and Jian Lu	Volatility Forecasting and Delta-Neutral Volatility Trading for DTB Options on the DAX
Dennis Bams and Jacco L. Wielhouwer	Empirical Issues in Value at Risk Estimation: Time varying Volatility, Fat Tails and Parameter Uncertainty
Anna Rita Bacinello	Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
Julia L. Wirch Mary R. Hardy	Ordering of Risk Measures for Capital Adequacy
Jaakko Tuomikoski	Financial Solidity of Pension Insurance Companies and Pension Funds within the Finnish Employment Pension System
Eric Thorlacius	Arbitrage in Asset Modeling for Integrated Risk Management
Rob Thomson	An Analysis of the Utility Functions of Members of Retirement Funds
Ken Sugita	Evaluating Termination Option of Employees’ Pension Funds in the Calculation of Projected Benefit Obligations
Mogens S teffensen	Contingent claims analysis in life and pension insurance
Antero Ranne	Investment Risks and the Solvency Margin
Antero Ranne, Esko Kivisaari and Hillevi Mannonen	Determining the Technical Interest Rate in the Finnish Employment Pension Scheme
Annamaria Olivieri and Ermanno Pitacco	Solvency Requirements for Life Annuities
Thomas Moller	On Transformations of Actuarial Valuation Principles
Kristian R. Miltersen and Svein-Arne Persson	A Note on Interest Rate Guarantees and Bonus: The Norwegian Case

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