Proceedings
| Session 1 | Extreme Value Theory and Applications (Finance, Reinsurance) | |
Corradin, S., Verbrigghe, B. |
Economic Risk Capital and Reinsurance |
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| Dorea, C.C.Y. | Tests for Asymptotic Independence of Extremal Indexes | |
| Konstantinides, D., Tang, Q.H., Tsitsiashvili, G. Sh. | Two-sided Estimates for Ruin Probability under Constant Interest Force | |
| Session 2 | Claims Distributions and Statistics | |
Bruno, M. G.,Tumani, S. ,Tomassetti, A. |
An Alternative Method for Evaluating Compound Distributions |
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| Cacoullos, T. | Comparing Retained Losses under Deductible and Proportional policies | |
| Chan, W. S. | Stochastic Investment Modelling | |
| Hulin, L., Justens, D. | General Properties of Mixed Poisson Distributions | |
| Orlando, A., Trudda, A. | Notes on First Order Stochastic Processes | |
| Session 3 | Financial Risk Management (Asset Management, Asset-Liability Management) | |
Duarte, E. M. , da Fonseca, J. A. S. |
Volatility Analysis of Portuguese Stock Market |
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| Radulescu, M., Radulescu, C. Z. | Portofolio Optimization Models with Transaction Costs and Initial Holdings | |
| Vanmaele, M., Dhaene, J.,Deelstra, G., Liinev, J.,Goovaerts, M. J. |
Bounds for the Price of Discretely Sampled Arithmetic Asian Options | |
| Yannacopoulos, A. N. | Spectral Methods for the Pricing of Barrier Options | |
| Session 4 | Nonlife insurance (Loss Reserving Methods, Bonus-Malus Systems, Analysis of Dependence) | |
Guillén, M., Parner, J. T. , Densgsoe, C., Perez-Marin, A. M. |
Customer Loyality in the Insurance Industry : A Logistic Regression Approach |
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| Khalaf-Allah, M., Haberman, S., Verrall, R. | Measuring the Effect of Mortality Improvements on the Cost of Annuities | |
| Pitselis, G. | Application of GM and MM Estimators to Regression Credibility | |
| Valdez, E. A., Mo, K. | Ruin Probabilities with Dependent Claims | |
| Session 5 | Collective Risk Models, Dynamic Solvency Testing (Risk Based Capital Models, Dynamic Financial Analysis) | |
Goovaerts, M. J., Kaas, R.,Dhaene, J., Tang, Q |
A Unified Approach to Generate Risk Measures |
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| Ivanova, N. L., Khokhlov, Yu. S. | Collective Risk Model Based on Multivariate Generalized Poisson Distribution | |
| Stamokostas, K., Vasiliou, D., Adraktas, G. | Risk Based Pricing (RBP) - An Application in a Credit Cards Portofolio | |
| Willmot, G. | Recent Trends and Approaches to the Analysis of the Surplus Process | |
| Session 6 | Life, Pensions and Health Insurance | |
Bremze, E., Matvejevs, A., Pavlenko, O. |
Private Pension Fund Investment Strategy in Real Time Condition |
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| di Lorenzo, E., Sibillo, M. | Longevity Risk: Measurement and Application Perspectives | |
| Kulikova, N., Matvejevs, A. | Fund Asset Allocation And Amortization Of Actuarial Losses For Defined Benefit Pension Plan | |
| Gerrard, R., Haberman, S., Vigna, E. | Investment Choices Post Retirement in a Defined Contribution Pension Scheme | |