Ethan Frome - Institut des Actuaires

XXXIIème COLLOQUE ASTIN
8-11 Juillet 2001
J.W. Marriott Hotel (Washington, U.S.A.)
Liste des Communications
HÜRLIMANN W. On XL-SL Reinsurance.
WALHIN J.F., HERFURTH L., DE LONGUEVILLE PH. The practical pricing of
excess of loss treaties : actuarial, financial, economic, and commercial aspects.
MATA A.J. Asymptotic dependence of reinsurance aggregate claim amounts.
PINHEIRO P. J.R., ANDRADE E SILVA J.M., CENTENO M.L.
methodology in claim reserving.
Bootstrap
GIONTA G. Insurance world 2 (IW2) : a complex model for managing risk in the age of
globalization.
DE LA FOATA CH. Analyse d’un système de sécurité cohérent et optimal pour une
compagnie d’assurance IARD.
ISSAC D., BABCOCK N.J. Beyond the frontier : using a DFA model to derive the cost of
capital.
RASMUSSEN K. A note on the calculation of covariance between layers in multilayer
excess of loss programmes.
ZEHNWIRTH B., BARNETT G. Reserving for multiple excess layers.
ERHARD K. Further on excess of loss reinsurance.
RUHM D.L. Risk coverage ratio : a leverage-independent method of pricing based on
distribution of return.
JANSSEN J., MANCA R. Non-homogenous semi-Markov reward process for the
management of health insurance models.
WANG S.S. A universal framework for pricing financial and insurance risks.
FALK E. Select mortality – Aggregated premium rates.
KOVBASSA S. Statistical methods in estimation of and insurance against natural risks.
OLIVIERI A., PITACCO E. Facing long term care risks.
TAYLOR G. Chain ladder bias.
KRVAVYCH Y. On existence of insurer’s optimal excess of loss reinsurance strategy.
MAITLAND P. Long-term reinsurance buying strategies modeled using a component
based DFA tool.
TER BERG P. Nonlinear normal correlated loss array : integrated financial modeling of
portfolio and runoff risk.
BULLETIN FRANÇAIS D’ACTUARIAT, Vol. 4, N° 8, 2000, pp. 161-164
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XXXIIème COLLOQUE ASTIN
CENTENO M.L. Measuring the effects of reinsurance by the adjustment coefficient in the
Sparre Anderson model.
HALLIWELL L.J. A critique of risk-adjusted discounting.
LEMAIRE J. Why do females live longer than males ?
SAARDCHOM N. Marriage markets across countries.
TAGLIAFICHI R.A. The Garch model and their application to the VaR.
VENTER G.G. Tails of copulas.
GUI E.H., MACDONALD A. A Nelson-Aslen estimate of the incidence rates of earlyonset Alzheimer’s disease associated with the presenlin-1 gene.
DAYKIN Ch., CRESSWELL C. The regulation of non-life insurance in the United
Kingdom.
CAI J. Discrete time risk models under stochastic forces of interest.
DE SCHEPPER A., GOOVAERTS M.J., DHAENE J., VYNCKE D., KAAS R. The
valuation of cash flows for dividend paying securities.
EGIDIO DOS REIS A.D. How many claims to get ruined and recovered ?
AFIR
5-7 septembre 2001
Liste des Communications
Séance d’ouverture
BERTHON J., MARKS J.C., PANJER H.H.
Conférence invitée
CROUHY M. Portée du nouvel accord de Bâle sur les fonds propres.
Distorsion et mesures du risque
WANG S. A universal framework for pricing financial and insurance risks.
HAMADA M., SHERRIS M. J. Martingale methods in dynamic portfolio allocation with
distortion operators.
ACAR E., PEARSON A. Distribution of returns generated by stochastic exposure : an
application to VaR Calculation in the futures markets.
Régimes de retraite
HABERMAN S., LUTULA N. Smoothing in defined benefit pension schemes : asset
valuation and spreading gains/losses.
WENTING D. The pensionfund situation in the Netherlands and the introduction of a
simple ALM model.
XXEME COLLOQUE AFIR
163
COHEN M., MASER K. Survey of financial security estimating the value of employer
pension plan benefits. A discussion communication.
Conférence invitée
COOPER S. Prendre control à l’âge de l’accélération. Suivre la vague.
Perspectives à long terme
ALBRECHT P., MAURER R., RUK P.U. The risk of stocks in the long run :
unconditional vs. conditional shortfall.
WILKIE D.A. On the risk of stocks in the long run : a response to Zvi Bodie.
CLARKSON R.S. The equity selection procedure model.
Diversification et titrisation
HERNANDEZ D. Hedging strategies and insurance securitization.
SCHNAPP F. The diversification property and the effect of risk diversification on price.
SCHNAPP F. The effect of risk diversification on price.
Juste valeur et assurance
CAIRNS A. From financial economics to fair valuation.
MANISTRE B.J. The financial economics of universal life. An actuarial application of
stochastic calculus.
BOUWKNEGT P., PELSSER A. Market value of insurance contracts with profit sharing.
Tarification des instruments dérivés
BOYLE P., KOLKIEWICZ A., TAN K.S. Pricing American derivatives using simulation : a biased-low approach.
BOYLE P., LAI G., TAN K.S. Using lattice rules to value low-dimensional derivative
contracts.
STEPHAN T.G., MAURER R., DURR M. A multiple factor model for European stocks.
Conférence invitée
EMBRECHTS P. Limites de la VaR pour les fonctions générales de dépendance : le point
de vue des actuaires.
Gestion du risque d’entreprise
BRENDER A., MUELLER H., WASON S.F. Evolution des pratiques de gestion des
risques de l’entreprise.
Conférence invitée
KNIGHT M. Les défis que présentent la mondialisation et l’intégration des marchés
financiers et des institutions financières à l’échelle mondiale.
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XXXIIème COLLOQUE ASTIN
Rentes indexées en fonction d’un indice du marché
HARDY M. Investment guarantees in equity-linked insurance : the canadian approach.
LIN S., TAN K.S. Valuation of equity-indexed annuities and stochastic interest rates.
MILEVSKY M.S., SALISBURY T.S. The real option to lapse a variable annuity : can
surrender charges complete the market.
Application des modèles de probabilités
KRVAVYCH Y. On the stock price model defined by the fractional Brownian semilinear
stochastic differential equation : measure transformation and equilibrium of stock market.
WALTER Ch. Searching for scaling laws in distributional properties of price variations : a
review over 40 years.
GOOVAERTS M., DE SCHEPPER A., VYNCKE D., DHAENE I., KAAS R. Stable
laws and the distribution of cash-flows.
Assurance et rentes
DARBELLAY P.A. Critical approach of the valuation methods of a life insurance
company under the traditional european statutory view.
ALBRECHT P., MAURER R. Self-annuitization, ruin risk in retirement and asset
allocation : the annuity benchmark.
EBERTS E., MAURER R. Comparison of time series and interest rate models to forecasts
of the german inflation rate.
Gestion de portefeuilles
YAMASHITA Y. Cash management with futures in passive investment.
BOULIER J.F., SEQUIER P., TAILLARD G. Tactical optimisazion, how to forecast
risks ?
HURLIMANN W. Efficient asset liability portfolios using Mean-ERC and mean variance
analysis.