Abstracts and full papers

Below is a list of accepted abstracts, sorted by topic and presenter's last name.
Click on the title to see the abstract and authors.

= confirmed    = download full paper    = view presentation

Dependence Models

• Extreme Behavior of Multivariate Phase-type Distributions
  Alexandru Valentin Asimit   
• Tails Of Multivariate Archimedean Copulas
  Arthur Charpentier   
• A recursion principle for dependent bivariate compound variables of phase-type 
  Karl-Theodor Eisele   
• Some diagonal properties of the empirical copula and the construction of families of absolutely continuous copulas with given restrictions
  Arturo Erdely   
• Kendall Distributions and Dependence Orderings
  Robert Fountain   
• Bounds for Quantile-Based Measures of Dependent Risks' Functions
  Marcelo Goncalves   
• Bivariate Density Clasification by the Geometry of Marginals
  Nikolai Kolev   
• Archimedean Copulas: Prescriptions and Proscriptions
  Roger Nelsen   
• Some New Characterizations and Results on Quasi-copulas
  Jose Juan Quesada-Molina   
• Multivariate Elliptical Processes with Application in Finance
  Rafael Schmidt   
• A Flexible Approach to Multivariate Risk Modelling with a New Class of Copulas 
  Michael Sherris   
• Modelling stochastic bivariate mortality
  Jaap Spreeuw   
• Risk aggregation and subjective tail dependence
  Andreas Tsanakas   

Economics of Insurance

• Collapse at Interest
  Vladimir Belitsky   
• Adverse selection spirals
  Piet de Jong   
• A Lifetime Model Using Human Life Value Concept as a Basis for Life Insurance Coverage Computations
  Haslifah Mohamad Hasim   
• The Use of Mixed Models for Supervision of Solvency and Risk-Based Capital 
  Georgios Pitselis   
• Predicting the personal injury compensation awarded by courts
  Miguel Santolino   

Finance

• Comonotonic approximations for VAR(p) process
  Ales Ahcan   
• Static Super-Replicating Strategies for Exotic Options
  Xinliang Chen   
• Evaluation of Insurance Products with Guarantee in Incomplete Markets
  Andrea Consiglio   
• Risk management of a bond portfolio using options
  Griselda Deelstra   
• Bounds for Asian basket options
  Ibrahima Diallo   
• A new technique of portfolio insurance
  Elisabete Duarte   
• A volatility-varying and jump-diffusion Merton type model of interest rate risk
  Fernando Espinosa  
• On Transition Densities for General Diffusion Processes
  Marc Goovaerts   
• Dynamic Asset Allocation with Annuity Risk
  Ralph Koijen   
• Backwards recursion in the multidimensional binomial model and valuation of multivariate contingent claims with early exercise features
  Timothy Kyng   
• Trading Noise in Equity Price and Corporate Pricing Models
  U Man Leong   
• Estimating a VAR model for the term structure of interest rates in Brazil
  Hélio Lopes   
• Buy and Hold Strategies in Optimal Portfolio Selection Problems: Comonotonic Approximations
  Jesús Marín-Solano   
• Liquidity Preference as Rational Behaviour under Uncertainty  
  Fernando Mierzejewski   
• Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model
  François Quittard-Pinon   
• Pricing Participating Products Under a Generalized Jump-Diffusion with a Markov-switching Compensator
  Tak Kuen Siu   
• Underwriting and Investment Risks in the Property-Liability Insurance Industry
  Min-Ming Wen  
• Estimating default barriers from market information
  Hoi Ying Wong   
• Optimal portfolio strategy under regime switching model
  Hailiang Yang   

Life Insurance

• Valuation of participating contracts and risk capital assessment: the importance of market modelling
  Laura Ballotta   
• Risk miminizing strategies for life insurance contracts with surrender option
  Jérôme Barbarin   
• Assessing the Market Value of Safety Loadings
  Carole Bernard   
• Fair value and demographic aspects of the insured loans.
  Mariarosaria Coppola   
• Dynamic life tables. Age-period-cohort models 
  Ana Debón   
• Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk
  Giorgia Esposito   
• Valuation of Life Insurance Products Under Stochastic Interest Rates
  Patrice Gaillardetz   
• Management of a pension fund under stochastic mortality and interest rates.
  Donatien Hainaut   
• Numerical Simulation for Asset-Liability Management in Life Insurance
  Markus Holtz   
• Fair Valuation of Participating Insurance Policies under Management Discretion
  Torsten Kleinow   
• Markov Aging Process and Phase-type Law of Mortality
  Xiaoming Liu   
• Stochastic Modelling of Income Protection Insurance of Breast Cancer.
  Baopeng Lu   
• A dynamic family history model of hereditary
  Li Lu   
• Modeling uncertainty in mortality trends within a Poisson framework
  Annamaria Olivieri   
• Risk Profiles of Life Insurance Participating Policies: measurement and application perspectives
  Massimiliano Politano   
• Fair Value, Mortality, Expenses and Interest Rate: the case of a life insurance portfolio
  Onofre Simões   
• A Binomial Tree Model for the Fair Valuation of Participating Insurance Policies with Interest Rate Guarantees 
  Mark Willder   

Non-Life Insurance

• Semiparametric Regression Models for Claims Reserving and Credibility: the Mixed Model Approach.
  Katrien Antonio   
• Detecting automobile insurance fraud using a skewed link model
  Lluís Bermúdez   
• Aggregate Loss Distributions and Risk Measures for non-life insurance company
  Rocco Roberto Cerchiara   
• Bonus-Malus System as a Competition Tool
  Barbara Cieslik   
• Experience and Exposure Rating for Property per Risk Excess of Loss Reinsurance Revisited
  Stijn Desmedt   
• Pricing general insurance in a reactive and competitive market
  Paul Emms   
• Optimal management of an insurer's exposure under premium control
  Paul Emms   
• Premium updating in two integer autoregressive processes
  Maria Aparecida de Paiva Franco   
• Multivariate Prediction of Health Care Expenditures
  Edward Frees   
• Credibility Theory for Generalized Linear Models 
  Jose Garrido   
• On the use of the weighted balanced loss function in credibility theory
  Emilio Gómez Déniz   
• Indifference Pricing for Equity-Linked Insurance and Reinsurance Products
  Sebastian Jaimungal  
• The expected premium in the non-homogenous moto insurance portfolio
  Barbara Kryszen   
• Predictive Distributions for Reserves which Separates True IBNR and IBNER Claims 
  Huijuan Liu   
• Time-varying effects when analysing customer lifetime duration in non-life insurance
  Ana Maria Perez Marin   
• Selection bias and auditing policies on insurance claims  
  Jean Pinquet   
• On Excess-Loss Reinsurance
  Jozef Teugels   
• Which chain-ladder method reserves the best?
  Tim Verdonck   
• Optimal Premium Control (OPC) and Dynamic Continuous Solvency Interaction (DCSI) within a group of insurance companies
  Alexandros Zimbidis   

Other

• A mixed family of loss distributions obtained from a gamma distribution
  Enrique Calderín-Ojeda   
• Safety-first Dynamic Asset and Liability Management
  Mei Choi Chiu   
• A probabilistic IBNR estimator using policy data
  Helio Lopes   
• Optimal Dividends and ALM under Unhedgeable Risk
  Antoon Pelsser   
• Using the NIG distribution for modelling actuarial data
  Jose Perez   
• A practical tool for the generation of weather data scenarios
  Chloé Rosemberg   
• On Redington's Theory of Immunization
  Elias Shiu   

Pension Mathematics

• Adjusting the contribution level along with the fluctuations in the valuation rate of investment return
  Maria Economou   
• The effects on the funding and contribution variance using the Modified Spreading Model 
  Denise Gomez   
• Optimal Control of Defined-Contribution Pension Plan: An Application of Evolution Strategy
  Hong-chin Huang  
• Dynamic Pension Funding Models: Deterministic and Stochastic Approaches
  Dalia Khalil   
• Systematic risk of mortality on an annuity plan  
  Frédéric Planchet   
• Using Genetic Algorithms for Optimal Investment Allocation Decision in Defined Contribution Pension Schemes  
  Kerem Senel   
• Pricing Rate of Return Guarantees in Defined Contribution Pension Plans
  Sharon Yang  

Risk Theory

• Numerical evaluation of continuous time ruin probabilities for a risk process with credibility based premiums
  Lourdes B. Afonso   
• Ruin probabilities and aggregate claims distributions for shot noise Cox processes
  Hansjoerg Albrecher   
• Optimal Dividends in the Dual Model 
  Benjamin Avanzi   
• A two-level dividend strategy in a ruin process with Markovian arrivals
  Andrei Badescu   
• Optimal retention levels in dynamic reinsurance markets
  Enrico Biffis   
• On the Time Value of Absolute Ruin with Debit Interest
  Jun Cai   
• The optimal reinsurance policy in terms of the adjustment coefficient criterion
  Maria de Lourdes Centeno   
• The calculation of Aggregate Loss distribution in the Third Party Motor Liability insurance. Simulation or Fast Fourier Transform?
  Rocco Roberto Cerchiara   
• Dynamic convex bounds, with applications to pricing in incomplete markets
  Cindy Courtois   
• An investigation of the Value-at-Risk with incomplete information about the underlying distribution
  Ann De Schepper   
• Optimal expected exponential utility of dividend payments in a Brownian risk model
  Peter Grandits   
• Ruin probabilities for a risk model with two lines of business 
  Junyi Guo   
• Longevity Risk in Pension Annuities
  Norbert Hari   
• On the infinite-time ruin and the distribution of the time to ruin
  Vladimir Kaishev   
• Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations
  Dimitrios Konstantinides   
• Worst Case Risk Measurement
  Roger Laeven   
• Portfolio optimization with short fall, expected short fall and other positive homogeneous risk measures for elliptical family.
  Zinoviy Landsman   
• Risk models with two-step premium rate
  Jorge Leite   
• Some Optimal Dividend Problems in a Markov-modulated Risk Model
  Shuanming Li   
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier 
  X. Sheldon Lin   
• The Expected Discounted Penalty Functions for a Markov-modulated Risk Model
  Yi Lu   
• Structure Default Risk Models Based on Lévy Intensities
  Ling Luo  
• The younger the riskier: not always true. How the market structure effects the optimal portfolio with stochastic time horizon.
  Francesco Menoncin   
• On the Expected Discounted Penalty Function for a Perturbed Risk Process Driven by a Subordinator
  Manuel Morales   
• Pricing risks when standard deviation principle is applied for the portfolio  
  Wojciech Otto   
• The joint density of the surplus before and after ruin in the Sparre Andersen model
  Konstadinos Politis   
• Copula theory applied for fixing the premium of CAT-Bonds
  Victoria Rivas   
• Approximations of compound distributions via gamma-type operators
  Carmen Sanguesa   
• Joint modelling of the total amount and the number of claims by conditionals
  José María Sarabia   
• The compound Poisson risk model with multiple thresholds
  Kristina Sendova   
• Modeling Fuzzy Random Variables
  Arnold Shapiro   
• Methods to Estimate the Optimal Dividend Barrier and the Probability of Ruin 
  Nathaniel Smith   
• Seeking a Compound Geometric Structure of the Perturbed Sparre Andersen Risk Model
  David Stanford   
• Dividend maximization under consideration of the time value of ruin
  Stefan Thonhauser   
• On the risk measures and ordering for the surplus process
  Cary Chi-Liang Tsai   
• On the Application of Fractional Brownian Motion in Insurance as a Modelling Tool for Long Range Dependence
  Spyridon Vrontos   
• On a discrete-time risk model with delayed claims and a constant dividend barrier
  Xueyuan Wu   
• The Gerber-Shiu expected discounted penalty function for the classical risk model with interest and a constant dividend barrier
  Kam Chuen Yuen   
• Optimal pricing of a heterogeneous portfolio for a given risk level
  Yaniv Zaks