EAJ 2016 Program

Thursday September 8, 2016

Registration
From 7:45 until 13:00
8:30
Welcome Coffee
9:00
G3
Plenary Talk   Ermano PITACCO - Università degli Studi di Trieste heterogeneity in a life annuity portfolio: modeling issues and risk assessment
10:00
Coffee Break
10:30
EAJ - Parallel Session 4
Mortality Modelling (LoLitA) G2 Reserving G3
Elena VIGNA

A unisex stochastic mortality model to comply with EU Gender Directive

Julien TRUFIN

Hybrid loss development modelling in P&C insurance

Dominique ABGRALL

Exploring the longevity risk using statistical tools derived from the Shiryaev-Roberts procedure

Pieter SEGAERT

Robust bootstrap procedures for claims reserving using Generalized Linear Models

Alexandre BOUMEZOUED

Population Dynamics and Insurance Applications

Geoffrey NICHIL

Solvency Need Resulting from Provisioning Risk in a ORSA Context

Marcin BARTKOWIAK

Modeling Mortality Rate

Bernard WONG

Micro-level insurance claim count modelling: a multivariate Cox process approach

Risk Theory G4 Market Analysis 2301
Arian CANI

Risk Theory with affine dividend payment strategies

Auguste MPACKO PRISO

The cost of longevity in France : An assessment from the supplementary pension market

Uwe SCHMOCK

Multivariate Collective Risk Model: Dependent Claim Numbers and Panjer’s Recursion

Ovgücan KARADAG ERDEMIR

Principal component analysis as a method of measuring the performance of turkish non-life insurance companies

Paul KRUHNER

Effects of negative interest rate on capital injections

Murat KIRKAGAC

Analysis of cause of loss in motor own damage insurance with competing risks-An application

Xavier MILHAUD

Tree-based stochastic reserving in insurance

Philippe DEPREZ

Macroprudential Insurance Regulation: a Swiss Case Study

Valuation 2303
George STREFTARIS

Prediction of settlement delay in critical illness insurance

Michel FUINO

Modeling long term care insurance with Markov type models: elaboration of dependency tables and actuarial pricing examples for Switzerland

Quentin GUIBERT

Pricing and Risk Analysis of a Long-Term Care Insurance Contract in a non-Markov Multi-State Model

Tianyuan NI

A Machine Learning Approach to Modelling Healthcare Data for Insurance

12:30
Lunch Break
14:00
EAJ - Parallel Session 5
Longevity Risk (LoLitA) G2 Capital Allocation G3
Sander DEVRIENDT

Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard

Pierre-Olivier GOFFARD

Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?

Liang CHEN

Bayesian Inference in Small Population Longevity Risk Modelling

Eléonore HAGUET

Setting the financial adjustments within an ORSA framework

Fidence MUNYAMAHORO

Copula-based dependence measures for under-five mortality rate in Rwanda

Leila CHAOUECH

Construction GSE based in the J-process

Nikolaï KOLEV

Sibuya’s Dependence Function Approach for Joint Life Insurance Pricing

Lars Frederik BRANDT HENRIKSEN

Stress scenario generation for solvency and risk management

Risk Theory G4 Risk Measures 2301
Andrei BADESCU

An IBNR-RBNS insurance risk model with marked Poisson arrivals

William GUEVARA-ALARCON

Quasi-Monte Carlo methods for copula based risk aggregation models

Dimitrios KONSTANTINIDES

Distributions with heavy tails in Orlicz spaces

Nabil KAZI-TANI

Optimal bounds for risk measures and insurance applications

Christian HIPP

Maximal dividends and ruin: Lagrange and beyond

Weihao CHOO

A novel approach to analyse diversi cation benefits in finance and insurance

Arham AChLAK

Ruin analysis of takaful insurance using multiple threshold model

Asset Allocation 2303
Jessica DONADIO

Extreme value theory and optimal portfolio choice for downside-risk averse investors

Benjamin AVANZI

On the distribution of the excedents of funds with assets and liabilities in presence of solvency and recovery requirements

Nora MULER

Optimal Cash Management Control for Processes with two-sided Jumps

David ZERBIB

Asset allocation strategies in the presence of liability constraints

16:00
Break - Poster session (Posters will be exposed from 14h00 to 18h00 in the registration area)
16:30
EAJ - Parallel Session 6
Longevity Risk (LoLitA) G2 Extremes G3
Heloïse LABIT HARDY

Cause-of-Death Mortality: A Study of a Heterogeneous Portfolio Dynamics

Claude LEFEVRE

Epidemic Risk and Insurance Coverage

Séverine ARNOLD

Mind the Gap: A Study of Causal Mortality by Socio-Economic Circumstances

Tom REYNKENS

Global fits using splicing for censored data: mixed Erlang and extreme value distributions

Funda KARAMAN

A Poisson-Inverse Gaussian Type of Lee-Carter Mortality Model

Jan BEIRLANT

Modelling of long-tail reinsurance data

Asset Pricing G4 Long Term Care (LoLitA) 2301
Alejandro BALBAS

Good deals in asset pricing: Measurement and actuarial implications

David SMITH

Paying for long term care insurance: The pros and cons of different payment methods

Jean-François CHASSAGNEUX

Quantile hedging of bermudan option

Franck ADEKAMBI

Semi-Markovian models in health insurance with Markov chain interest rate

Manuel MORALES

An Application of Li- mit-Order-Book Modeling in Pension Fund Portfolio Management: Evaluating Market Impact of Portfolio Re-balancing Strategies with a Simulator Model

Kristian BUCHARDT

Kolmogorov’s forward PIDE and forward transition rates in life insurance

Financial Risks 2302 Forecasting 2303
Mabelle SAYAH

Counterparty Credit Risk in OTC derivatives under Basel III: Representation of the capital charge computation on simple portfolios

Luxi CHEN

Analysis of the past with a trendometer, forcast of the future with an extrapolator, evaluation of the risk by insurance durations

Thierry MOUDIKI

A model for the yield curve, with exact fit and parsimonious forecasts

Majid TRAGHILOO

A Survey on Early Warning System (EWS) for Insurance Supervisory Risk Assessment

Simon WANG

ARFIMA models and the Hurst Measures: An Investigation of Commodity Daily Index and Futures Prices

Betül Zehra KARAGUL

Investigation of the Dependence between Insurance Premiums and Socio-Economic Development Indices with Canonical Correlation Analysis

18:00
G3
Closing Ceremony