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Chris Watts, UK
| Longevity and mortality risk transfer in the capital markets through the LifeMetrics platform [ Presentation ] |
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Tiziana Torri, D
| Building blocks for a mortality index in an international context [ Presentation ] |
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Guido Grützner, D
| Cautionary remarks about conclusions from the observation of record-life expectancy [ Presentation ] |
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Alexander Kling, D
| Tax incentives for annuitization – direct and indirect effects [ Presentation ] [ Paper ] |
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Benjamin Avanzi, AU
| What is it that make the Swiss annuitise? A description of the Swiss retirement system [ Presentation ] [ Paper ] |
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Esben Massoti Kryger, DK
| Pension fund design under fairness and efficiency constraints [ Presentation ] |
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Gudrun Hörmann, D
| Optimal Risk Classification and Underwriting Risk for Substandard Annuities [ Presentation ] [ Paper ] |
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Adele Groyer, UK, Inga Kreiensiek, D
| Assessing critical illness - the facts behind the stats [ Presentation ] [ Paper ] |
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Werner Hürlimann, CH
| Actuarial analysis of the multiple life endowment insurance contract [ Presentation ] [ Paper ] |
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Michel Denuit, B
| Dynamic life tables: Construction and applications [ Presentation ] |
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Steven Haberman, UK
| Comparative study of mortality forecasting models [ Presentation ] |
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Nadine Gatzert, D
| Understanding the death benefit switch option in universal life policies [ Presentation ] [ Paper ] |
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Jari Niittuinperä, FI
| Mortality when converting from conventional life insurance policies into universal life policies [ Presentation ] [ Paper ] |
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Martin Eling, CH
| The performance of microinsurance programs: A frontier efficiency analysis [ Presentation ] [ Paper ] |
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Stefan Heyers, D
| Managing value using market consistent methodologies: MCEV-value management accelerator or hand brake? [ Presentation ] |
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Nick Dexter, UK
| Market Value Management [ Presentation ] |
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Tigran Kalberer, CH
| Internal Models [ Presentation ] |
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Marcus Christiansen, D
| Sensitivity Analysis and Worst-Case Analysis - Making use of netting effects when designing insurance contracts [ Presentation ] |
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Daniel Bauer
| A universal pricing framework for guaranteed minimum benefits in variable annuities [ Paper ] |
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Annamaria Olivieri, I
| Stochastic mortality: experience-based modeling and application issues consistent with Solvency II [ Presentation ] |
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Dr. Paul Triggs, D
| Does morbidity modelling solve the problem of predicting death and disability? [ Presentation ] |
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Susanna Levantesi, I
| Biometric risks assessment and management in annuities with long term care benefits |
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Frederik Weber, D
| Mortality-indexed annuities: Avoiding unwanted risk [ Presentation ] [ Paper ] |
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Esther Schütz, D
| The biometric risk in internal models for Solvency II [ Presentation ] |
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Larry Rubin, USA
| Economic measurement of insurance liabilities [ Presentation ] [ Paper ] |
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Ed Morgan, UK; Matthias Bonikowski, D
| The role and structure of profit participation products in the European life insurance market following Solvency II [ Presentation ] |
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Norbert Heinen, D
| Solvency, accounting and the evaluation of life insurance business [ Presentation ] |
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Paolo Cadoni, UK
| Solvency II and internal models [ Presentation ] |
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David Blake, UK
| The new life market: From survivor bonds to life settlements securitisation [ Presentation ] |
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Christian Mumenthaler, CH
| Risk management in a challenging environment [ Presentation ] |
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Romain Bridet, F
| Extreme Mortality Bonds [ Presentation ] |
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Heinz Holler, D; Gary Finkelstein, UK
| Variable annuity risk management and hedging effectiveness [ Presentation ] |
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Lars Pralle, D
| Variable annuities: Some reserving and regulation considerations [ Presentation ] [ Paper ] |
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Oskar Goecke, D
| The group-balanced concept of long-term saving: A continuous time model [ Presentation ] |
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Ralph Stevens, NL
| Longevity risk and hedge effects in portfolios of life insurance products with investment risk [ Presentation ] [ Paper ] |
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Thorsten Wagner, D
| Replicating portfolios in the life insurance business: Use and limitations [ Presentation ] |
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Raimund Rhiel, D
| Company pension plans and financial crisis: Lessons learned? [ Presentation ] |
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Anne Puustelli, FI
| Hedging against volatility, jumps and longevity risk in participating life insurance contracts - a Bayesian analysis [ Presentation ] [ Paper ] |
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Laura Ballotta, UK
| Investment strategies and risk management for participating contracts [ Presentation ] |
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Frederic Planchet, F
| Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee |
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Karel van Hulle, B
| Solvency II: A challenge also for actuaries [ Presentation ] |
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Gyöngi Bugar, HU
| A longitudinal study on portfolio optimisation: Is the “success” time dependent? [ Presentation ] [ Paper ] |
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Andrew Cairns, UK
| Mathematical models and the credit crunch [ Presentation ] |
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Harald Kinateder, D
| Market risk prediction under long memory: when VaR is higher than expected [ Presentation ] [ Paper ] |
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Thomas Salisbury, CA
| Valuation, hedging and demand for ruin-contingent life annuities (RCLA) [ Presentation ] |
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Mogens Steffensen, DK
| Pension fund management based on solutions to constrained consumption-investment problems [ Presentation ] |
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Shaun Levitan, ZA, Youri Dolya, ZA
| Optimal post-retirement investment strategies [ Presentation ] [ Paper ] |
|
Alexander Baier, D
| An integrated Cost of Risk model and its application to company valuation [ Presentation ] [ Paper ] |
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Rocco Cerchiara, I
| Multivariate analysis to modelling and aggregating surrender risk under internal risk models [ Presentation ] |
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Alexander Dotterweich, D
| Optimization of limit systems for investment risks in accordance with Solvency II and German MaRisk [ Presentation] [ Paper ] |
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Antje Mahayni, D
| ow good are portfolio insurance strategies? [ Presentation ] [ Paper ] |
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Thomas Moller, DK
| Risk-minimization with mortality derivatives: mixed dynamic and static hedging [ Presentation ] [ Paper ] |
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Arne Hove, NO
| Pricing interest rate guarantees in Norwegian defined benefit pension [ Presentation ] |
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Werner Hürlimann, CH
| Quasi-exact numerical evaluation of synthetic CDO prices [ Presentation ] [ Paper ] |
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Aldo Balestreri, I; Jeremy Kent, UK
| Dynamic asset liability management [ Presentation ] [ Paper ] |
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Stefan Graf, D
| Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches [ Presentation ] [ Paper ] |
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Benjamin Avanzi, AU
| On the level of national retirement savings with annuitisation and cross-subsidies: a two-tiered economic model [ Presentation ] [ Paper ] |
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Mabrouk Chetouane, F
| Defined contribution pension plans management and market opportunities [ Presentation ] [ Paper ] |
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Ralf Korn, D
| Asset allocation for a DC pension fund under regime switching environment [ Presentation ] |
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Albert Enders, D
| Index-linked longevity risk transfer – reduced basis risk with sociodemographic parameter [ Presentation ] |
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Helena Aro, FI
| A robust approach to stochastic mortality modelling [ Presentation ] [ Paper ] |
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Johnny Li, CA
| Canonical valuation of mortality-linked securities [ Presentation ] [ Paper ] |
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Matti Koivu, FI
| Cash-flow based valuation of pension liabilities [ Presentation ] [ Paper ] |
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Olivier Le Courtois, F
| Lévy-VaR and Basle Multipliers |
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Hubert Müller, USA
| Economic Capital – Recent Market Trends and Best Practices for Implementation abstract [ Presentation ] [ Paper ] |
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Mikkel Dahl
| A discrete-time model for reinvestment risk in bound markets [ Paper ] |
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Hal Pedersen, CA
| What are the essential features of a good economic scenario generator? [ Presentation ] |
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Frederik Ruez, D
| The impact of stochastic volatility on pricing, hedging, and hedge efficiency of variable annuity guarantees [ Presentation ] [ Paper ] |
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Susanne Kruse, D
| On the pricing of inflation-indexed caps [ Presentation ] [ Paper ] |
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Teemu Pennanen, FI
| Pricing and hedging of mortality linked securities [ Presentation ] [ Paper ] |
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Christian Kraus, D
| Market consistent embedded value in non-life insurance: How to measure it and why [ Presentation ] [ Paper ] |
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Olivier Le Courtois, F
| On credit and surrender risks in insurance companies |
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Enrico Schumann, CH
| Risk-reward optimisation for long-run investors: an empirical analysis [ Presentation ] [ Paper ] |
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Eric Thorlacius, USA
| The model quantitative firm [ Presentation ] |
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Michael Sherris, AU
| Pricing and Hedging synthetic CDO tranche spread risks abstract [ Presentation ] [ Paper ] |
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Andreas C. Gintschel, D
| A global liquidity factor for fixed income pricing abstract [ Presentation ] [ Paper ] |
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Rob Thomson, ZA
| The arbitrage-free equilibrium pricing of liabilitites in an incomplete market: Application to a South African retirement fund [ Presentation ] [ Paper ] |
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Petri Hilli, FI
| Liability driven optimization of investment strategies [ Presentation ] [ Paper ] |
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Olivia S. Mitchell
| Global challenges in pension risk management |
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Ralph Rogalla, D
| Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints [ Presentation ] |
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Elena Vigna, I
| Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes [ Presentation] [ Paper ] |
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Ljudmila Bertschi, CH
| Solvency requirements for Swiss pension funds and how to ensure the guarantee of benefit payments at any time [ Presentation ] [ Paper ] |
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Shimizu Nobuhiro, JP
| Economic value of contribution cashflows for a sponsoring employer of a DB pension plan and measures to bring the economic value under control within an affordable range [ Presentation ] [ Paper ] |
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Ferdinand Haas, D
| Guaranteed saving plans: An analysis of alternative fund-linked strategies |
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Frederik Weber, D
| Select birth cohorts abstract [ Presentation } [ Paper ] |
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Chun Shang Wong, HK
| Estimating portfolio Value-at-Risk with multivariate mixture time series models [ Presentation ] |
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Laura Ziani, I
| Mean-variance efficient strategies in proportional reinsurance under group correlation in a Gaussian framework [ Presentation [ Paper ] |
