|
|
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] |
| 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] |
| 11 |
Balbás,
Alejandro
Garrido, José
Mayoral, Silvia |
Coherent
Risk Measures in a Dynamic Framework
[Session 7-A]
[full text] |
| 13 |
Ballotta,
Laura
Haberman, Steven |
Valuation
of Guaranteed Annuity Conversion Options
[Session 6-A]
[full text] |
| 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] |
| 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] |
| 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] |
| 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] |
| 32 |
De
Alba, Enrique |
Bayesian
Estimation of Loss Reserves
[Session
1-B]
[full text] |
| 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] |
| 40 |
Duarte,
Elisabete
Fonseca, José |
Portfolio
Insurance and Volatility in Portuguese Finance Market
[Session 2-A]
[full text] |
| 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 |
Gaier,
Johanna
Grandits, Peter |
Ruin
Probabilities in the Presence of Regularly Varying Tails and Optimal
Investment
[Session 2-C]
[full text] |
| 46 |
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] |
| 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] |
| 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] |
| 74 |
Mazzoleni,
Piera |
A
Subjective Approach to Risk Measurement in Life Insurance
[Session 2-D]
[full text] |
| 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] |
| 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] |
| 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] |
| 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] |
| 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] |
| 100 |
Wirch,
Julia
Hardy, Mary |
Distortion
Risk Measures: Coherence and Stochastic Dominance
[Session 7-A]
[full text] |
| 102 |
Zaks, Abraham |
Annuities
under Random Interest Rates
[Session 2-A]
[full text] |
| 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] |
