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AFIR-ERM and IAALS Section Colloquium - Stockholm, Sweden
10-15 June 2007

AFIR-ERM

SpeakerPresentation Title
Pricing
Daniel Bauer, Alexander Kling & Jochen Russ A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities 
Eduardo Fraga Lima de MeloValuation of Bivariate Minimum Guarantees through Option Modelling and Copulas 
Gary Young & Emiliano Valdez Multivariate probit models for conditional claim-types 
Laura Balotta Pricing and capital requrements for with profit contracts: modelling considerations 
Rik Frehen, Roy Hoevenaars, Franz Palm & Peter Schotman Regret Aversion and Annuity Risk in Defined Contribution Pension Plans 
Roy Hoevenaars & Eduard Ponds Valuation of intergenerational transfer in funded collective pension schemes
Wenge Zhu Ambiguity Aversion, Generalized Esscher Transform, And Catastrophe Risk Pricing 
 Werner Hurlimann On robust parameter-free pricing principle: Fair value and risk adjusted premium 
Risk Modelling
Aalabaf-Sabaghi Morteza Risk Perception and Rationality in Measures of Risk 
Kenji Shirai Interest rate risk modelling using extended lognormal distribution with variable volatility 
Solvency & Risk Capital
Frédéric Planchet & Pierre-E. Therond Risque de modele et determination du capital economique dans le projet solvabilite 2 
Perrine Kaltwasser & Pierre Le Moine  Modèles de Risques et Solvabilité en assurance Vie 
Leo de Haan & Jan Kakes Solvency of stock versus mutual insurers: Evidence from Dutch panel data 
Martin Eling & Denis ToplekModeling and management of nonlinear dependencies - copulas in dynamic financial analysis 
Nadine Gatzert, Hato Schmeiser, Stefan Schuckmann Enterprise Risk Management in Insurance Groups: Measuring Risk Concentration and Default Risk 
Per Simon Voldsgaard & Sarah Rasmussen Managing Economic Capital within the Provider and Consumer Framework
Piera Mazzoleni Variable strike options in life insurance guarantees 
Rosa Cocozza, Emilia Di Lorenzo, Albina Orlando & Marilena Sibillo Risk-adjusted Perfomance Indicators in Life Insurance 
Model Choice & Model Risk
Kasimir Kaliva, Lasse Koskinen, Vesa Ronkainen Internal models and arbitrage-free calibration 
Nadine Gatzert & Stefan KassbergerRisk assessment of life insurance contracts: A comparative study in a Lévy framework
Peter Vlaar Term structure Modeling for Pension Funds: What to do in Practice? 
Stochastic Analysis & Optimization
Carl Lindberg Robust portfolio optimization
Efim Bronshtein Limitary profitability of financial operations 
Eric Ralaimiadana Asset and Liability Management by CADES, a manager of public debt 
Giovanna De Medici, Jacques Janssen & Raimondo Manca The Aggregate Claim Amount Discrete Time Semi-Markov Model 
Holger Kraft & Mogens Steffensen Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach 
Jiwook Jang Measuring CDS rate with copula-dependent default intensity 
Shaun Levitan & Rob Thomson The application of expected-utility theory to the choice of investment channels in a defined-contribution retirement fund 
Torsten Kleinow Fair Valuation and Hedging of Participating Life-Insurance Policies under Management Discretion 
Vladimir Reznik & Uli Spreitzer Optimization of portfolios with longer investment period 
Mortality & Longevity
An Chen & Antje B. Mahayni Hedging endowment assurance products under interest rate and mortality risk
Elisa Luciano, Jaap Spreeuw & Elena Vigna Modelling stochastic mortality for dependent lives 
Jiajia Cui Longevity Risk Pricing 
Lukasz Delong Indifference pricing of a life insurance portfolio with a systematic mortality risk in a market with an asset driven by a Lévy process 
Mikkel Dahl, Martin Melchior, Thomas Moller On systematic mortality risk and risk-minimization with survivor swaps 

LIFE

SpeakerPresentation Title
Mortality
Cairns, AndrewA Multifactor Generalisation of the Oliver-Smith Model for Stochastic Mortality
Invited Speaker: Prof. Ermanno PitaccoMortality and Longevity: A Risk Management Perspective
Dreyer, André; Kritzinger, Grete; de Decker, JethroAssessing the Impact of a Pandemic on the Life Insurance Industry in South Africa
Janssen Manca VenturaA Non-Homogeneous Semi-Markov Approach for the Study of Cohort Mortality Evolution
Forslund, EllinorThe Swedish Mortality Investigation DUS 07
Sissel RödevandMortality investigations in the Nordic countries: Norway
Chresten DengsöeMortality investigations in the Nordic countries: Denmark
Mika MäkinenMortality investigations in the Nordic countries: Finland
Products
Wang, Liang; Waldez, Emiliano A.; Piggott, John BSecuritization of longevity risk in reverse mortgages
O'Malley, PadraicDevelopment of GMXxB Products in Europe
Hürlimann, WernerPension funding with dismissal and resignation risk
Lambert, RichardIncome Protection in Case of Disability; French Context and Tariff Methodology
Levantesi, Susanna; Menzietti, MassimillianoLongevity and disability risk analysis in enhanced annuities
Solvency, Accounting and Financial Risks
Bernard, Carole; Chen, AnOn the Regulator-Insurance- Interaction in a Structural Model
Cocozza, Rosa; di Lorenzo; EmiliaA Dynamic Solvency Approach for Life Insurance
Truijens, PaulIFRS Phase 2 for Insurance contracts Likely impacts on the Netherlands and South Africa compared
Gatzert, NadineManagement Strategies in Life Insurance. An Examination with reseoect to risk Pricing and Risk Measurement
Kling, Alexander; Richter, Andreaas; Russ, JochenThe Impact of Surplus Distribution on the Risk exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees
Bauer, Daniel; Weber, FrederikAssessing Investment and Longevity Risks within Immediate Annuities
SandströmEU Solvency II - a Life Insurance Perspective
Invited Speaker: Dr. John WieackerFinancial life reinsurance in a new regulatory environment
Olivieri, AnnaMaria; Pitacco, ErmannoAssessing the Cost of Capital for Longevity Risk
Floreani, AlbertoFair Valuation of Italian With Profit Policies
Kamhawey, Ahmed A.; Abid, Ahmed D.; Altassan, Khalid M.A simple Actuarial DFA Model Applicable on a Saudi Pension experience
Invited Speaker: Prof. Angus Macdonald AComplex Genetic Risk: The Implications for Insurance