EAJ 2016 Program

Thuesday September 6, 2016

Registration
From 7:45 until 17:00
8:30
Welcome Coffee
9:00
G3
Opening Ceremony   Stéphane LOISEL (ISFA), Christian HIPP (EAJ), David DUBOIS (IA)
9:30
G3
Plenary talk:   Katrien ANTONIO (KU Leuven)
Actuaries and predictive modeling: past, present and future
10:30
Coffee Break
11:00
EAJ - Parallel Session 1
Longevity risk (LoLita) G2 Analytics (DAMI) G3
Erengul DODD

Stochastic Modelling of UK Mortality Improvements Allowing for Overdispersion Interactions in GLMs for Insurance Premiums

Roel VERBELEN

A statistical modeling approach for car insurance pricing with telematics data

Apostolos BOZIKAS

A Comparative Analysis of Stochastic Mortality Models under the Age-Period-Cohort Framework: The case of Greece

José GARRIDO

Machine Learning Techniques for Detecting Hierarchical Interactions in GLMs for Insurance Premiums

Saïd ACHCHAB

A hybrid deep network approach for predictive analysis of massive and incomplete data of insurance

Risk Theory (AD) G4 Credibility 2301
Vladimir KAISHEV

Ruin, deficit and related dual models

Yang LU

Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing and Forecasting

Meral SIMSEK

Stochastic Surplus Process and Constrained Portfolio Optimisation with VaR and CVaR

Georgios PITSELIS

Penalized Quantile Regression Estimators for Panel Data in a Credibility Framework

Ahmet KAYA

Hamilton approach and path integral method in ruin theory

Ragnar NORBERG

Filtering with counting processes: martingale methods vs credibility theory, and applications to claims reserving and credit risk

Risk Aggregation 2302 Valuation 2303
Wing Fung CHONG

Convex Ordering for Insurance Preferences

Massimo COSTABIL

Fair valuation of insurance contracts with performance depending on different investment funds with automatic remixing mechanism

Alfred MULLER

Expectiles, Omega ratios and stochastic ordering

Lukasz DELONG

Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting

Silvana PESENTI

Robustness Criteria for Aggregation Risk Measures

Karl-Theodor EISELE

Combinig nancial ows and their values

12:30
Lunch Break
14:00
EAJ - Parallel Session 2
Correlated Risks G3 Reserving G4
Yahia SALHI

Lapse risk in life insurance: correlation and contagion among policyholders’ behaviors

Liivika TEE

On claims reserves estimation using individual level claims data

Griselda DEELST

The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options

Marc LINDE

Multi-year non-life insurance risk for correlated loss portfolios under chain ladder model assumptions

Raimondo MANCA

Discrete Time Non-Homogeneous Compound Renewal Processes: a Motor Car Insurance Application

insurance economics 2301 risk measures 2302
Yves STAUDT

What customer, policy and distribution characteristics drive the development of insurance customer relationships? – A case study analysis

Andreas TSANAKAS

Capital allocation for insurance portfolios with non-linear risk aggregation

Claire MOUMINOUX

Obfuscation and Trust: Exprimental evidence on Insurance Demand with Multiple Distribution Channels

Miguel Angel SORDO DIAZ

A family of premium principles based on mixtures of TVaRs

Steward DOSS

Business Forecasting & Scenario Analysis for Life Insurance Industry in India

Ragnar NORBERG

Measuring and managing risk in life insurance through conditional equivalence

Correlated Risks G3
Poontavika NAKA

Annuitisation Divisors for Notional De ned Contribution (NDC) Pension Scheme

Jennifer ALONSO-GARCIA

Economic and demographic risks for Pay-as-you-go pension schemes: Defined Benefit versus Defined Contribution

15:30
Refreshment Break
16:00
G3
Plenary talk:   Jean-Louis RULLIERE (ISFA) Actuarial science needs Behavioral economics