AFIR-ERM Section
Bob Alting von Geusau Prize
In 2002, AFIR-ERM established The Bob Alting von Geusau Memorial Prize, in honour of its late and long-serving treasurer. The prize was awarded for the first time in 2003 in von Geusau’s home country at the 13th AFIR/ERM Colloquium in Maastricht (Netherlands).
Congratulations to the 2024 Winners: Salvatore Scognamiglio and Ronald Richman!
Multiple yield curve modeling and forecasting using deep learning
ASTIN Bulletin: The Journal of the IAA , Volume 54 , Issue 3 , September 2024 , pp. 463 - 494
Past Prize Winners & Research Grants
- 2024: Multiple Yield Curve Modeling and Forecasting using Deep Learning by Salvatore Scognamiglio & Ronald Richman
- 2023: Cyber Insurance-Linked Securities. By Alexander Braun, Martin Eling, and Christoph Jaenicke
- 2022: Selecting Bivariate Copula Models Image Recognition. By Prof Andreas Tsanakas and Dr Rui Zhu
- 2021: Applying Economic Measures to Lapse Risk Management with Machine Learning Approaches. By Cheng-Hsien Tsai, Stephan Loisel and Pierrick Piette
- 2020: Risk Measures Derived from a Regulator’s Perspective on the Regulatory Capital Requirements for insurers. By Tiantian Mao and Jun Cai
- 2019: Economic Scenario Generator and Parameter Uncertainty: A Bayesian Approach. By Jean-François Bégin
- 2019: Dynamic Hedging of Longevity Risk: The Effect of Trading Frequency. By Hong Li
- 2018: Implementing Individual Savings Decisions for Retirement with Bounds on Wealth. By Catherine Donnelly, Monserrat Guillen, Jens Perch Nielsen and Ana Maria Perez Marín
- 2017: Probability of Sufficiency of Solvency II Reserve Risk Margins: Practical Approximations by Eric Dal Moro and Yuriy Krvavych
- 2016: Consistent Yield Curve Prediction by Josef Teichmann and Mario V. Wüthrich
- 2015: Calculating Variable Annuity Liability “Greeks” Using Monte Carlo Silmulation by Mark J. Cathcart, Hsiao Yen Lok, Alexander J. MacNeil and Steven Morrison
- 2015: Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model by Knut Aase
- 2014: Pricing and Solvency of Value-Maximizing Life Annuity Providers by Maathumai Nirmalendran, Michael Sherris and Katja Hanewald
- 2012-13: On the Calculation of the Solvency Capital Requirement Based on Nested Simulations by Daniel Bauer, Andreas Reuss and Daniela Singer
- 2010-11: The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis by Catherine Donnelly and Paul Embrechts
- 2010: Stochastic Mortality The Impact on Target Capital by Annamaria Olivieri and Ermanno Pitacco
- 2009: Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions, by Shuan Yow and Michael Sherris
- 2008: A Discrete-Time Model for Reinvestment Risk in Bound Markets, by Mikkel Dahl
- 2007: Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk by Andrew J.G. Cairns, David Blake and Kevin Dowd
- 2007: Life Annuitization: Why and How Much? by Donatien Hainaut and Pierre Devolder
- 2005: Testing Distributions of Stochastically Generated Yield Curves by Gary Venter
- 2004: Guaranteed Annuity Options by Mary Hardy and Phelim Boyle
- 2003: A Universal Framework for Pricing Financial and Insurance Risk by Shaun S. Wang
- JoCo 2025 São Paulo
Benefit Volatility-targeting Strategies in Lifetime Pension Pools, by Jean-François Bégin & Barbara SandersQuantum-Enhanced Principal Component Analysis: Transforming Yield Curve Modeling with the Power of Quantum Computing, by Alexander Bohnert, Alexander Dotterweich & Svenja Ernst (Paper) - JoCo 2024 Brussels
Climate Scorpion – The Sting is in the Tail: Introducing Planetary Solvency
Sandy Trust, Oliver Bettis, Lucy Saye, Georgina Bedenham, Timothy M. Lenton, Jesse F. Abrams, Luke Kemp - ICA 2023 Sydney
Signature-based Validation of Real-World Economic Scenarios, by Hervé Andres - Online Joint Sections Colloquium 2021
Ordered Risk Aggregation Under Dependence Uncertainty – Yuyu Chen, Liyuan Lin and Ruodu Wang
Modern Life-Care Tontines – Peter Hieber and Natalie Lucas - AFIR-ERM Colloquium, Florence 2019
Fair valuation of insurance liability cash flow streams in continuous time Lukasz Delong (Warsaw School of Economics) - ICA, Berlin 2018
An Analysis Of The Solvency II Regulatory Framework’s Smith-Wilson Model For The Term Structure Of Risk-free Interest Rates Peter Løchte Jørgensen (Aarhus University)
- Model Governance and Rational Adaptability in Enterprise Risk Management – January 2020
Authors: Michael Bruce Beck, David Ingram and Michael Thompson