Programme details

Session P1 — Plenary Session 1

Session chair: Hans Gerber

Tuesday, July 18, 9:30-10:30, room MTC 00.15

• On Redington's Theory of Immunization
  Elias Shiu

Session P2 — Plenary Session 2

Session chair: Michel Denuit

Wednesday, July 19, 11:30-12:30, room MTC 00.15

• Archimedean Copulas: Prescriptions and Proscriptions
  Roger Nelsen

Session P3 — Plenary Session 3

Session chair: Rob Kaas

Thursday, July 20, 11:30-12:30, room MTC 00.15

• Optimal portfolio strategy under regime switching model
  Hailiang Yang

Session 1A — Ruin theory

Session chair: Jef Teugels

Tuesday, July 18, 11:00-12:30, room HOG 00.74

• The joint density of the surplus before and after ruin in the Sparre Andersen model
  Konstadinos Politis
• Ruin probabilities for a risk model with two lines of business 
  Junyi Guo
• Ruin probabilities and aggregate claims distributions for shot noise Cox processes
  Hansjoerg Albrecher

Session 1B — Risk models

Session chair: Wojciech Otto

Tuesday, July 18, 11:00-12:30, room HOG 00.85

• Approximations of compound distributions via gamma-type operators
  Carmen Sanguesa
• Seeking a Compound Geometric Structure of the Perturbed Sparre Andersen Risk Model
  David Stanford
• Risk models with two-step premium rate
  Jorge Leite

Session 1C — Life insurance

Session chair: Annamaria Olivieri

Tuesday, July 18, 11:00-12:30, room HOG 01.74

• Assessing the Market Value of Safety Loadings
  Carole Bernard
• Numerical Simulation for Asset-Liability Management in Life Insurance
  Markus Holtz
• Markov Aging Process and Phase-type Law of Mortality
  Xiaoming Liu

Session 1D — Statistical methods

Session chair: Georgios Pitselis

Tuesday, July 18, 11:00-12:30, room HOG 01.85

• Semiparametric Regression Models for Claims Reserving and Credibility: the Mixed Model Approach.
  Katrien Antonio
• A mixed family of loss distributions obtained from a gamma distribution
  Enrique Calderín-Ojeda
• A probabilistic IBNR estimator using policy data
  Helio Lopes

Session 1E — Finance

Session chair: Manuela Bosch Príncep

Tuesday, July 18, 11:00-12:30, room HOG 02.28

• Bounds for Asian basket options
  Ibrahima Diallo
• Static Super-Replicating Strategies for Exotic Options
  Xinliang Chen
• Comonotonic approximations for VAR(p) process
  Ales Ahcan

Session 2A — Risk measuring

Session chair: Andreas Tsanakas

Tuesday, July 18, 14:00-16:00, room HOG 00.74

• An investigation of the Value-at-Risk with incomplete information about the underlying distribution
  Ann De Schepper
• Worst Case Risk Measurement
  Roger Laeven
• The Use of Mixed Models for Supervision of Solvency and Risk-Based Capital 
  Georgios Pitselis
• Aggregate Loss Distributions and Risk Measures for non-life insurance company
  Rocco Roberto Cerchiara

Session 2B — Risk models

Session chair: Maria de Lourdes Centeno

Tuesday, July 18, 14:00-16:00, room HOG 00.85

• Modeling Fuzzy Random Variables
  Arnold Shapiro
• On a discrete-time risk model with delayed claims and a constant dividend barrier
  Xueyuan Wu
• Joint modelling of the total amount and the number of claims by conditionals
  José María Sarabia
• Premium updating in two integer autoregressive processes
  Maria Aparecida de Paiva Franco

Session 2C — Life insurance

Session chair: Laura Ballotta

Tuesday, July 18, 14:00-16:00, room HOG 01.74

• A Binomial Tree Model for the Fair Valuation of Participating Insurance Policies with Interest Rate Guarantees 
  Mark Willder
• Fair Valuation of Participating Insurance Policies under Management Discretion
  Torsten Kleinow
• Fair Value, Mortality, Expenses and Interest Rate: the case of a life insurance portfolio
  Onofre Simões
• Valuation of Life Insurance Products Under Stochastic Interest Rates
  Patrice Gaillardetz

Session 2D — Non-life insurance

Session chair: Lluis Bermudez

Tuesday, July 18, 14:00-16:00, room HOG 01.85

• The expected premium in the non-homogenous moto insurance portfolio
  Barbara Kryszen
• Bonus-Malus System as a Competition Tool
  Barbara Cieslik
• Credibility Theory for Generalized Linear Models 
  Jose Garrido
• On the use of the weighted balanced loss function in credibility theory
  Emilio Gómez Déniz

Session 2E — Finance

Session chair: Michael Sherris

Tuesday, July 18, 14:00-16:00, room HOG 02.28

• Risk management of a bond portfolio using options
  Griselda Deelstra
• A new technique of portfolio insurance
  Elisabete Duarte
• Portfolio optimization with short fall, expected short fall and other positive homogeneous risk measures for elliptical family.
  Zinoviy Landsman
• Buy and Hold Strategies in Optimal Portfolio Selection Problems: Comonotonic Approximations
  Jesús Marín-Solano

Session 3A — Ruin theory

Session chair: Nikolai Kolev

Tuesday, July 18, 16:30-18:00, room HOG 00.74

• On the infinite-time ruin and the distribution of the time to ruin
  Vladimir Kaishev
• Dividend maximization under consideration of the time value of ruin
  Stefan Thonhauser
• On the Time Value of Absolute Ruin with Debit Interest
  Jun Cai

Session 3B — Dependence

Session chair: Roger Nelsen

Tuesday, July 18, 16:30-18:00, room HOG 00.85

• Extreme Behavior of Multivariate Phase-type Distributions
  Alexandru Valentin Asimit
• A recursion principle for dependent bivariate compound variables of phase-type 
  Karl-Theodor Eisele
• Tails Of Multivariate Archimedean Copulas
  Arthur Charpentier

Session 3C — Life insurance

Session chair: Steven Vanduffel

Tuesday, July 18, 16:30-18:00, room HOG 01.74

• Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk
  Giorgia Esposito
• Fair value and demographic aspects of the insured loans.
  Mariarosaria Coppola
• Valuation of participating contracts and risk capital assessment: the importance of market modelling
  Laura Ballotta

Session 3D — Non-life insurance

Session chair: Ales Ahcan

Tuesday, July 18, 16:30-18:00, room HOG 01.85

• Optimal Premium Control (OPC) and Dynamic Continuous Solvency Interaction (DCSI) within a group of insurance companies
  Alexandros Zimbidis
• Pricing general insurance in a reactive and competitive market
  Paul Emms
• Optimal management of an insurer's exposure under premium control
  Paul Emms

Session 3E — Finance

Session chair: Antoon Pelsser

Tuesday, July 18, 16:30-18:00, room HOG 02.28

• Dynamic convex bounds, with applications to pricing in incomplete markets
  Cindy Courtois
• Safety-first Dynamic Asset and Liability Management
  Mei Choi Chiu
• Dynamic Asset Allocation with Annuity Risk
  Ralph Koijen

Session 4A — Ruin theory

Session chair: Kristina Sendova

Wednesday, July 19, 9:00-11:00, room HOG 00.74

• 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
• The Gerber-Shiu expected discounted penalty function for the classical risk model with interest and a constant dividend barrier
  Kam Chuen Yuen
• On the Expected Discounted Penalty Function for a Perturbed Risk Process Driven by a Subordinator
  Manuel Morales

Session 4B — Economics of insurance

Session chair: David Stanford

Wednesday, July 19, 9:00-11:00, room HOG 00.85

• 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
• Collapse at Interest
  Vladimir Belitsky
• Predicting the personal injury compensation awarded by courts
  Miguel Santolino

Session 4C — Life insurance

Session chair: Jaap Spreeuw

Wednesday, July 19, 9:00-11:00, room HOG 01.74

• Dynamic life tables. Age-period-cohort models 
  Ana Debón
• Modeling uncertainty in mortality trends within a Poisson framework
  Annamaria Olivieri
• A dynamic family history model of hereditary
  Li Lu
• Stochastic Modelling of Income Protection Insurance of Breast Cancer.
  Baopeng Lu

Session 4D — Reinsurance

Session chair: Roger Laeven

Wednesday, July 19, 9:00-11:00, room HOG 01.85

• Experience and Exposure Rating for Property per Risk Excess of Loss Reinsurance Revisited
  Stijn Desmedt
• On Excess-Loss Reinsurance
  Jozef Teugels
• Optimal retention levels in dynamic reinsurance markets
  Enrico Biffis
• The optimal reinsurance policy in terms of the adjustment coefficient criterion
  Maria de Lourdes Centeno

Session 4E — Dependence and finance

Session chair: Arthur Charpentier

Wednesday, July 19, 9:00-11:00, room HOG 02.28

• Multivariate Elliptical Processes with Application in Finance
  Rafael Schmidt
• Bounds for Quantile-Based Measures of Dependent Risks' Functions
  Marcelo Goncalves
• Risk aggregation and subjective tail dependence
  Andreas Tsanakas
• Copula theory applied for fixing the premium of CAT-Bonds
  Victoria Rivas

Session 5A — Ruin theory

Session chair: Zinoviy Landsman

Wednesday, July 19, 14:00-15:30, room HOG 00.74

• The compound Poisson risk model with multiple thresholds
  Kristina Sendova
• Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations
  Dimitrios Konstantinides
• On the risk measures and ordering for the surplus process
  Cary Chi-Liang Tsai

Session 5B — Pension

Session chair: Ermanno Pitacco

Wednesday, July 19, 14:00-15:30, room HOG 00.85

• Using Genetic Algorithms for Optimal Investment Allocation Decision in Defined Contribution Pension Schemes  
  Kerem Senel
• Adjusting the contribution level along with the fluctuations in the valuation rate of investment return
  Maria Economou
• Dynamic Pension Funding Models: Deterministic and Stochastic Approaches
  Dalia Khalil

Session 5C — Life and health insurance

Session chair: M. Mercè Claramunt Bielsa

Wednesday, July 19, 14:00-15:30, room HOG 01.74

• Risk Profiles of Life Insurance Participating Policies: measurement and application perspectives
  Massimiliano Politano
• Risk miminizing strategies for life insurance contracts with surrender option
  Jérôme Barbarin
• Multivariate Prediction of Health Care Expenditures
  Edward Frees

Session 5D — Dependence

Session chair: Griselda Deelstra

Wednesday, July 19, 14:00-15:30, room HOG 01.85

• Some diagonal properties of the empirical copula and the construction of families of absolutely continuous copulas with given restrictions
  Arturo Erdely
• Modelling stochastic bivariate mortality
  Jaap Spreeuw
• Bivariate Density Clasification by the Geometry of Marginals
  Nikolai Kolev

Session 5E — Finance

Session chair: Hansjoerg Albrecher

Wednesday, July 19, 14:00-15:30, room HOG 02.28

• Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model
  François Quittard-Pinon
• On Transition Densities for General Diffusion Processes
  Marc Goovaerts
• Pricing Participating Products Under a Generalized Jump-Diffusion with a Markov-switching Compensator
  Tak Kuen Siu

Session 6A — Ruin theory

Session chair: Dimitrios Konstantinides

Wednesday, July 19, 16:00-17:30, room HOG 00.74

• Methods to Estimate the Optimal Dividend Barrier and the Probability of Ruin 
  Nathaniel Smith
• Numerical evaluation of continuous time ruin probabilities for a risk process with credibility based premiums
  Lourdes B. Afonso
• A two-level dividend strategy in a ruin process with Markovian arrivals
  Andrei Badescu

Session 6B — Risk measuring

Session chair: Mihael Perman

Wednesday, July 19, 16:00-17:00, room HOG 00.85

• Pricing risks when standard deviation principle is applied for the portfolio  
  Wojciech Otto
• Optimal pricing of a heterogeneous portfolio for a given risk level
  Yaniv Zaks

Session 6C — Miscellaneous

Session chair: Ann De Schepper

Wednesday, July 19, 16:00-17:30, room HOG 01.74

• A practical tool for the generation of weather data scenarios
  Chloé Rosemberg
• The younger the riskier: not always true. How the market structure effects the optimal portfolio with stochastic time horizon.
  Francesco Menoncin
• Using the NIG distribution for modelling actuarial data
  Jose Perez

Session 6D — Claims reserving

Session chair: Martine Van Wouwe

Wednesday, July 19, 16:00-17:00, room HOG 01.85

• Predictive Distributions for Reserves which Separates True IBNR and IBNER Claims 
  Huijuan Liu
• Which chain-ladder method reserves the best?
  Tim Verdonck

Session 6E — Finance

Session chair: Hailiang Yang

Wednesday, July 19, 16:00-17:00, room HOG 02.28

• Estimating default barriers from market information
  Hoi Ying Wong
• Estimating a VAR model for the term structure of interest rates in Brazil
  Hélio Lopes

Session 7A — Risk theory

Session chair: Sheldon Lin

Thursday, July 20, 9:00-11:00, room HOG 00.74

• Optimal expected exponential utility of dividend payments in a Brownian risk model
  Peter Grandits
• Optimal Dividends and ALM under Unhedgeable Risk
  Antoon Pelsser
• Optimal Dividends in the Dual Model 
  Benjamin Avanzi
• Some Optimal Dividend Problems in a Markov-modulated Risk Model
  Shuanming Li

Session 7B — Pension

Session chair: Steven Haberman

Thursday, July 20, 9:00-11:00, room HOG 00.85

• Longevity Risk in Pension Annuities
  Norbert Hari
• Management of a pension fund under stochastic mortality and interest rates.
  Donatien Hainaut
• Systematic risk of mortality on an annuity plan  
  Frédéric Planchet
• The effects on the funding and contribution variance using the Modified Spreading Model 
  Denise Gomez

Session 7C — Dependence and finance

Session chair: Edward Frees

Thursday, July 20, 9:00-11:00, room HOG 01.74

• A Flexible Approach to Multivariate Risk Modelling with a New Class of Copulas 
  Michael Sherris
• Some New Characterizations and Results on Quasi-copulas
  Jose Juan Quesada-Molina
• Kendall Distributions and Dependence Orderings
  Robert Fountain
• On the Application of Fractional Brownian Motion in Insurance as a Modelling Tool for Long Range Dependence
  Spyridon Vrontos

Session 7D — Non-life insurance

Session chair: José Garrido

Thursday, July 20, 9:00-11:00, room HOG 01.85

• The calculation of Aggregate Loss distribution in the Third Party Motor Liability insurance. Simulation or Fast Fourier Transform?
  Rocco Roberto Cerchiara
• 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
• Detecting automobile insurance fraud using a skewed link model
  Lluís Bermúdez

Session 7E — Finance

Session chair: Michèle Vanmaele

Thursday, July 20, 9:00-11:00, room HOG 02.28

• Evaluation of Insurance Products with Guarantee in Incomplete Markets
  Andrea Consiglio
• 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
• Liquidity Preference as Rational Behaviour under Uncertainty  
  Fernando Mierzejewski