ACCEPTED ABSTRACTS

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, J osé 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, Tomáš	Life 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]