ABSTRACTS

 

 

AUTHORS

TITLE

1 Aalabaf-Sabaghi, Morteza

Mortality Risk in Iran
[Session 1-D]          [full text]

2 Albarran, Irene
Ayuso, Mercedes
Guillen, Montserrat
Monteverde, Malena
Measuring Longevity and Disability in the Spanish Population with Residual Life Expectancy
[Session 1-D]          [full text]
3 Albrecher, Hansjoerg On Asian Option Pricing for NIG Lévy Processes
[Session 6-A]
4 Alegre, Antonio
Marín, Jesús
Ribas, Carme
On the Computation of the Aggregate Claims Distribution in the Individual Life Model with Bivariate Dependencies
[Session 5-B]          [full text]
5 Alegre, Antonio
Pociello, Enrique
Pons, María Àngels
Sarrasí, Javier
Varea, Javier
Vicente, Ana
Actuarial Valuation of Long Term Care Annuities
[Session 3-C]          [full text]
6 Alves, Isabel Estimation of First and Second Order Parameters in Heavy Tails
[Session 5-A]          [full text]
7 Arsad, Zainudin
Cairns, Andrew
Models for the Rate of Inflation, Equity Dividend Yields and Dividend Growth Using the Kalman Filter Technique
[Session 3-A]          [full text]
8 Avram, Florin Approximations for the Finite Time Ruin Probabilities of the Renewal Phase-type Model
[Session 1-C]          [full text]
9 Bago d'Uva, Teresa
Santos Silva, João
Asymmetric Information in the Portuguese Health Insurance Market
[Session 3-C]
10 Balbás, Alejandro
Garrido, José
On Wang´s Index of Tail Fatness
[Session 2-C]
11 Balbás, Alejandro
Garrido, José
Mayoral, Silvia
Coherent Risk Measures in a Dynamic Framework
[Session 7-A]          [full text]
12 Balbás, Alejandro
Mirás, Miguel
Muñoz-Bouzo, María
Extending the Martingale Characterization of the Absence of Arbitrage
[Session 6-A]
13 Ballotta, Laura
Haberman, Steven
Valuation of Guaranteed Annuity Conversion Options
[Session 6-A]          [full text]
14 Barros, Rui
Correia, Ricardo
On Valuing Underwriting Contracts Using Option Pricing Theory: The Firm's Decision Maker Paradigm
[Session 4-C]
15 Battauz, Anna Quadratic Hedging for Asset Derivatives with Discrete Stochastic Dividends
[Session 5-C]          [full text]
16 Beirlant, Jan
Verlaak, Robert
Optimal Reinsurance Programs: An optimal Combination of Several Reinsurance Protections on an Heterogeneous Insurance Portfolio
[Session 3-B]          [full text]
17 Bermúdez, Lluís
Cortez, Klender
Espinosa, Fernando
A Comparative Long-memory Analysis between Spanish, Mexican and U.S. Interest Rates
[Session 3-A]
18 Bilodeau, Claire Pension Plan Surplus: What to Give and How to Give It
[Session 7-C]
19 Bosch-Príncep, Manuela
Domínguez-Fabián, Inmaculada
Devolder, Pierre
Risk Analysis in Asset-Liability Management Using Scenario Generation
[Session 2-D]          [full text]
20 Bølviken, Erik Modelling Joint, Hidden Volatility Processes: A Semi-parametric Approach
[Session 4-A]          [full text]
21 Brito, Margarida
Freitas, Cristina
Limiting Behaviour of a Geometric-type Estimator for Tail Indices
[Session 5-A]          [full text]
22 Brouhns, Natacha
Haderer, Marie
Denuit, Michel
Building Projected Life Tables for Annuities
[Session 6-B]
23 Cairns, Andrew A Family of Models for the Term-structure of Interest Rates: An Application to Guaranteed Annuity Options
[Session 3-A]
24 Cardoso, Rui
Waters, Howard
Recursive Calculation of Finite Time Ruin Probabilities under Interest Force
[Session 1-C]          [full text]
25 Chen, Cho-Jieh
Panjer, Harry
Unifying Structural Credit Risk Models with Reduced-form Models
[Session 1-A]          [full text]
26 Cipra, TomᚠLife Tables for Czech Pension Funds
[Session 1-D]          [full text]
27 Claramunt, M.M.
Mármol, M.
Alegre, Antonio
Expected Present Value of Dividends with a Constant Barrier in the Discrete Time Model
[Session 2-A]          [full text]
28 Consiglio, Andrea
Saunders, David
Zenios, Stavros
Nonlinear Stochastic Programming Models for Insurance Products with Guarantees
[Session 4-A]
29 Corradin, Stefano
Verbrigghe, Benoit
Economic Risk Capital and Reinsurance: An Application to Fire Claims of an Insurance Company
[Session 3-B]          [full text]
30 Corrales, Helena An Experience Constructing a Complete and a Abridged Life Table Using a Mathematical Formula for a Small Population
[Session 1-D]          [full text]
31 Cossette, Hélène
Landriault, David
Marceau, Étienne
Properties of the Compound Markov Binomial Model
[Session 7-B]
32 De Alba, Enrique Bayesian Estimation of Loss Reserves
[Session 1-B]          [full text]
33 Denuit, Michel
Purcaru, Oana
Dependence and a posteriori Risk Evaluation Through Random Effects
[Session 2-C]
34 Devolder, Pierre Stochastic Optimal Control of Annuity Contracts
[Session 4-A]          [full text]
35 Dhaene, Jan
Vanduffel, Steven
Goovaerts, Marc
Kaas, Rob
The Hurdle-race Problem
[Session 2-C]          [full text]
36 Dias, Alexandra
Embrechts, Paul
Change-point Analysis for Dependence
[Session 5-B]          [full text]
37 Dickson, David
Waters, Howard
The Distribution of the Time to Ruin in the Classical Risk Model
[Session 4-B]          [full text]
38 Dimitriyadis, Irini
Çelik, Betül
Practical Outlook on Premiums Defined as a Function of Reserves
[Session 6-A]          [full text]
39 Drekic
Dickson
Stanford
Willmot
On the Distribution of the Deficit at Ruin When Claims are Phase-type
[Session 1-C]
40 Duarte, Elisabete
Fonseca, José
Portfolio Insurance and Volatility in Portuguese Finance Market
[Session 2-A]          [full text]
41 Egídio dos Reis, Alfredo The Number of Claims Before Ruin and Recovery
[Session 1-C]
42 Esquível, Manuel L. Dynamical Value at Risk
[Session 2-A] 
43 Fathi, Abid
Hichem, Eleuch
Zero Inflation and Interest Credit Opportunity (ZICO) with Stochastic Returns and Continuous Time Model
[Session 3-A]          [full text]
44 Fischer, Tom Risk Capital Allocation by Coherent Risk Measures Based on One-sided Moments
[Session 7-A]          [full text]
45 Frees, Edward Hierarchical Forecasting of Labor Force Participation Rates
[Session 2-D]
46 Frostig, Esther Upper Bounds on the Expected Time to Ruin and on the Expected Recovery Time
[Session 4-B]
47 Gaier, Johanna
Grandits, Peter
Ruin  Probabilities in the Presence of Regularly Varying Tails and Optimal Investment
[Session 2-C]          [full text]
48 Gaier, Johanna
Grandits, Peter
Schachermayer, W.
Asymptotic Ruin Probabilities and Optimal Investment
[Session 2-C]          [full text]
49 Garcia, Jorge M. A. Explicit Solution for Survival Probabilities in the Classical Risk Process
[Session 4-B]          [full text]
50 Gençay, Ramazan
Selçuk, Faruk
Ulugülyağci, Abdurrahman
High Volatility, Thick Tails and Extreme Value Theory in Value-at-Risk Estimation
[Session 5-A]          [full text]
51 Georgantzis, Nikos
Genius, M.
García-Gallego, A.
Sabater-Grande, G.
Do Higher Risk Premia Induce Riskier Options? An Experimental Test
[Session 4-B]          [full text]
52 Gerrard, Russell
Haberman, Steven
Vigna, Elena
Investment Choices Post Retirement in a Defined Contribution Pension Scheme
[Session 7-C]          [full text] 
53 Goegebeur, Yuri
Nonparametric Extreme Value Analysis of Conditional Claim Distributions
[Session 5-A]          [full text]
54 González, Pablo
Lozano, Irene
Modelling the Influence of the Purchasing Power Standards on the Insurance Policies Underwriting
[Session 6-C]          [full text]
55 Goovaerts, Marc
De Schepper, Ann
Decamps, Marc
Transition Probabilities for Diffusion Processes by Means of Path Integrals
[Session 5-B]          [full text]
56 Goovaerts, Marc
Kaas, Rob
Dhaene, Jan
Economic Capital Allocation Derived from Risk Measures
[Session 7-A]          [full text]
57 Guerreiro, Rita
Mexia, Tiago
An Alternative Approach to Bonus Malus
[Session 2-B]          [full text]
58 Hashorva, Enkelejd Point Processes Driven by Bivariate Maximum Insurance Claim
[Session 5-B]          [full text]
59 Hoedemakers, Tom
Beirlant, Jan
Goovaerts, Marc
Dhaene, Jan
Confidence Bounds for Discounted Loss Reserves
[Session 1-B]          [full text]
60 Huang, Hong-Chih
Cairns, Andrew
Valuation and Hedging of LPI Liabilities
[Session 5-C]          [full text]
61 Ignatov, Zvetan
Kaishev, Vladimir
Krachunov, Rossen
Optimal Retention Levels Given the Joint Survival of Cedent and Reinsurer
[Session 3-B]
62 Iwaki, Hideki
Yumae, Shoji
An Efficient Frontier for Participating Policies in a Continuous-time Economy
[Session 1-A]          [full text]
63 Jang, Ji-Wook The Laplace Transform of the Distribution of the Shot Noise Process with Respect to the Esscher Measure and its Application to the Accumulated/Discounted Aggregate Claims
[Session 7-B]          [full text]
64 Jonnalagedda, Murthy
Survarayudu, G.
Mohan, Ananda
Performance Tuning Health Insurance Benefits Extract
[Session 6-C]          [full text]
65 Konstantinides, D.H.
Tang, Q.H.
Tsitsiashvili, G.Sh.
Estimates for Ruin Probability in the Classical Risk Model with Constant Interest Force in the Presence of Heavy Tails
[Session 1-C]          [full text]
66 Landsman, Zinoviy Credibility Theory: A New View from the Second Order Optimal Statistics Theory
[Session 1-B]
67 Landsman, Zinoviy
Makov, Udi
Contaminated Exponential Dispersion Loss Models
[Session 7-B]
68 Léveillé, Ghislain Distribution of Compound Renewal Sums with Discounted Claims
[Session 7-B]
69 Levikson, Benny On Bonus Malus Systems
[Session 2-B]
70 Levy, Alon
Zaks, Abraham
Dynamical Life Tables
[Session 6-B]          [full text] 
71 Macdonald, Angus
Waters, Howard
Wekwete, Chessman
Underwriting Critical Illness Insurance: A Model for Coronary Heart Disease and Stroke
[Session 3-C]          [full text]
72 Mahul, Olivier Coping with Catastrophic Risk:  The  Role of
(Non-) Participating Contracts
[Session 4-C]          [full text]
73 Martinez-de-Albeniz, Javier
Rafels, Carles
Solvency Cost Sharing and Cooperative Games
[Session 3-D]
74 Mazzoleni, Piera A Subjective Approach to Risk Measurement in Life Insurance
[Session 2-D]          [full text]
75 Montana, Pierpaolo A Reformulation of Classical Immunization Theory
[Session 4-A]
76 Montana, Pierpaolo On Optimal Strategies with Financial and Insurance Risks
[Session 1-A]
77 Morales, Manuel On a Periodic Risk Reserve Process: A Simulation Approach
[Session 4-B]          [full text]
78 Mürmann, Alexander Valuation in Integrated Financial and Insurance Markets
[Session 3-D]          [full text]
79 Olivieri, Annamaria
Pitacco, Ermanno
Modelling the Longevity Risk
[Session 6-B]
80 Pascual Rocabert, Joan
Tarrío Reboredo, José
Pérez Fructuoso, María
False Anomalies of the Net Present Value Function
[Session 2-A]          [full text]
81 Pelsser, Antoon Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
[Session 5-C]          [full text]
82 Pérez-Sánchez, José
Gómez-Déniz, Emilio
Vázquez-Polo, F.J.
An Alternative Solution to the Problem of Overcharges in the Bonus-Malus Systems
[Session 2-B]          [full text]
83 Pinquet, Jean
Guillen, Montserrat
Bolance, Catalina
Time-varying Credibility for Frequency Risk Models
[Session 1-B]          [full text]
84 Pitselis, Georgios Credibility Estimation in Seemingly Unrelated Regressions Model with Random Coefficients
[Session 1-B]          [full text]
85 Renshaw, Arthur
Haberman, Steven
Lee-Carter Mortality Forecasting with Age Specific Enhancement
[Session 6-B]          [full text]
86 Santos, Nuno
Ferreira, Carla
The Portuguese Pension Reform
[Session 7-C]          [full text]
87 Savelli, Nino Risk Analysis of a Non-life Insurer and Traditional Reinsurance Effects on the Solvency Profile
[Session 3-B]          [full text]
88 Schmidt, Klaus
Hess, Klaus
Liewald, Anett
An Extension of Panjer's Recursion
[Session 7-B]          [full text]
89 Sealey, Calvin
Gandar, J.
Lilly, C.C.
Alternative Regulatory Mechanisms in an Insurance Industry with a Guaranty Fund
[Session 3-D]
90 Segovia-Vargas, María Jesús
Gil-Fana, José
Heras-Martínez, Antonio
Vilar-Zanón, José
Sanchis-Arellano, Alicia
Using Rough Set to Predict Insolvency of Non-life Insurance Companies
[Session 3-D]          [full text]
91 Shapiro, Arnold Soft Computing and Financial Engineering
[Session 1-A]          [full text]
92 Steffensen, Mogens On Merton's Problem for Insurers
[Session 1-A]
93 Svege, Dag
Lillevold, Pål 
Pricing of Interest Rate Guarantees: Is the Arbitrage Free Price Fair?
[Session 4-C]          [full text]
94 Tsanakas, Andreas
Barnett, C.
The Aumann-Shapley Value as a Change of Probability Measure and Links to Equilibrium Theory
[Session 4-C]          [full text]
95 Valdez, Emiliano Stochastic Analysis of Retirement Income Replacement Ratios
[Session 7-C]
96 Viaene, Stijn
Derrig, Richard
Dedene, Guido
Cost-sensitive Learning and Decision Making for Massachusetts PIP Claim Fraud Data
[Session 6-C]
97 Viaene, Stijn
Derrig, Richard
Dedene, Guido
MLP-ARD vs. Logistic Regression and C4.5 for PIP Claim Fraud Explication
[Session 6-C]
98 Vyncke, David
Goovaerts, Marc
Dhaene, Jan
Optimal Portfolio Selection for Cash-flows with Bounded Capital at Risk
[Session 7-A]          [full text]
99 Willder, Mark Charging for Guarantees Under UK Unitised
With-profit Policies
[Session 4-C]
100 Wirch, Julia
Hardy, Mary
Distortion Risk Measures: Coherence and Stochastic Dominance
[Session 7-A]          [full text]
101 Yang, Sheauwen
Wilkie, David
Waters, Howard
Hedging for Guaranteed Annuity Options
[Session 5-C]
102 Zaks, Abraham Annuities under Random Interest Rates
[Session 2-A]          [full text]
103 Zaks, Yaniv Modelling a Generalized Bonus-Malus System as a Markov Chain
[Session 2-B]
104 Zimbidis, Alexandros The Optimal Design of a Robust Automatic Controller for Cross-financing the Stochastic Increments in Life Expectancy via an Adaptive Investment Strategy
[Session 2-D]          [full text]