ASTIN Colloquium, Berlin 2003 – International Actuarial Association

Berlin, Germany — August 24-27, 2003
ASTIN Colloquium 2003

Speakers	Presentations
Markus Knecht∗ and Stefan K¨uttel	The Czeledin Distribution Function
David Mocklow	Risk-Linked Securities Linked Securities What’s Shaking? What’s Shaking?
Donald Mango	Capital Consumption:An Alternative Methodology for Pricing Reinsurance
Malinovskii Vsevolod	On a non-linear dynamic solvency control model
Makov Udi	Credibility evaluation for heterogenous populations
Thomas Mack and Michael Fackler	Exposure Rating in Liability Reinsurance - Risk Evaluation
Jean Lemaire and Angus S. MacDonald	Genetics, family history, and insurance underwriting: an expensive combination?
Erhard Kremer	On the Loading of Largest Claims Reinsurance Covers
Christian Hipp	Optimal Dividend Payment Under a Ruin Constraint: Discrete Time and State Space
Enkelejd Hashorva and J¨urg H¨usler	Estimation of Tails and Related QuantitiesUsing the Number of Near-Extremes
Gillet Antonin and Serra Benjamin	Effects of Dependency Between Different Lines of Business on Loss Reserving
Esther Frostig	On the Distribution of the Deficit at Ruin and the Surplus Prior to Ruin in the Compound Binomial Model
Esther Frostig, and Benny Levikson	The Impact of Statistical Dependence on Multiple Life Insurance Programs
Esther Frostig	On the Distribution of the Deficit at Ruin and the Surplus Prior to Ruin in the Compound Binomial Model
Faivre Fabien	Copula: A New Vision for Economic Capital and Application to a Four-Line-of-Business Company
Paul Embrecht	Insurance Analytics Actuarial Tools for Financial Risk Managemen
Gillies Duplin, Alain Monfort, Jean-Pierre Verley	Robust Inference in Rating Models
Aurélie Despeyroux, Charles Levi, Christian Partrat, and Jérôme Vignancour	Techniques for valuation a general insurance company within the framework of IAS standards: some proposals
Stefano Corradin	Economic Risk Capital and Reinsurance: an Extreme Value Theory’s Application to Fire Claims of an Insurance Company
Arthur Charpentier	Tail Distribution and Dependence Measures
Bühlmann Hans, Gisler Alois, Kollöffel Denise	Multidimensional Credibility Applied to Estimating the Frequency of Big Claims
Bertschi Ljudmila Ebeling Sven Reichlin Andreas	Dynamic Asset Liability Management: A Profit Testing Model for Swiss Pension Funds
Dr. Baruch Berliner	A Comparison of Strategic Reinsurance Programs (SRP) with Banking Activities and other Insurance and Reinsurance Activities
Belguise Olivier and Charles Levi	Storms: Study of dependencies between Automobile and Fire lines of business using copula theory
Shamsuddinov Bakhodir	Actuarial Principles of Cotton Insurance in Uzbekistan
Søren Asmussen	Some Applications of the Type-Phase Distribution to Insurance and Finance
Giulia Andreatta Stefano Corradin	Fair Value of Life Liabilities with Embedded Options: an Application to a Portfolio of Italian Insurance Policies
Jean-François Walhin	A New Characterization of the Pareto Distribution with Application to the Payment Pace of Excess-of-Loss Reinsurance
Gary G Venter	A Survey of Capital Allocation Methods with Commentary
Gary G Venter	Fit to a t – Estimation, Application and Limitations of the t-copula
Tsanakas Andreas	Risk Exchange with Distorted Probabilities
Greg Taylor	Loss Reserving Techniques: Past, Present, and Future
Tagliafichi Ricardo	The Estimation of Market VaR Using GARCH Models and Heavy-Tailed Distributions
Schnieper Ren´	Capital and Asset Allocation
Hans Schmitter	On Unknown Accumulations in Accident Insurance: An Upper Bound of the Expected Excess Claim
Savelli Nino	A Risk-Theoretical Model for Assessing the Solvency Profile of a General Insurer
Laura, Salvatori , Darren, Michaelsand Alessandro, Santoni	Asbestos: The current situation in Europe
David Ruhm and Donald Mango	A Risk Charge Calculation Based on Conditional Probability Exhibit 1 - Conditional Risk Charge Demo using DFAIC
Bero Roos and Pfeifer Ditmar	On Error Bounds for the Approximation of Random Sums
Gerhard Quarg	The Munich Chain Ladder - a claims reserving technique that closes the gap between paid and incurred based IBNR-estimates
Sachi Purcal	A Stochastic Control Model for Individual Asset-liability Management
Sandra Pitrebois, Michel Denuit and Jean-François Walhin	Marketing and Bonus-Malus Systems
Dietmar Pfeifer and Johana Nešlehová	Modeling and generating dependent risk processes for IRM and DFA
Harry Panjer	Development of International Insurance Company Solvency Standards
Jens Perch Nielsen and Bjørn Lunding Sandqvist Codan	Proportionality Adjustment in Credibility Weighted Hazard Estimation
Thomas Møller	Stochastic Orders in Dynamic Reinsurance Markets

Topics:

Berlin, Germany — August 24-27, 2003ASTIN Colloquium 2003

Berlin, Germany — August 24-27, 2003
ASTIN Colloquium 2003