mexico colloquia

program

Tuesday, May 31
18h00 -
20h00

Welcome cocktail
Participants and Accompanying Persons

Wednesday, June 1
Time Participants Accompanying
Persons
8h00 -
8h45
1 Private Bus (50 places): Hilton, Evolution Hotel, Praça Marquês de Pombal;  
8h55 -
9h00
Welcome by José Mendinhos, President of the Organizing Committee  
9h00 -
9h30

Auditorio CGD
Chair: M Lourdes Centeno
Plenary session, Guest Speaker: Prof Paul Embrechts

Quantile-based Risk Sharing

Abstract: We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected Shortfall (ES), the two popular and competing regulatory risk measures, as special cases. We first present an inequality for RVaR aggregation, showing that a special form of subadditivity is satisfied by RVaR. Then, the risk sharing problem is solved by explicit construction. Three relevant issues in the optimal allocations are investigated: extra sources of randomness, comonotonicty, and model uncertainty. We show that in general, a robust optimal allocation exists if and only if none of the underlying risk measures is a VaR. Practical implications of the main results for risk management and policy makers are discussed, including gambling behaviour, moral hazard, regulatory arbitrage, and model misspecification. In particular, in the context of regulatory capital reduction, we provide some general guidelines on how a regulatory risk measure can lead to certain desirable or undesirable properties of risk sharing among firms, and show novel advantages of ES from the perspective of a regulator. This talk is based on joint work with Hailyan Liu and Ruodu Wang (University of Waterloo).

 

9h30 -
10h00
 
10h00 -
10h30

Auditorio CGD
Chair: Alfredo Egidio dos Reis

M. Lourdes Centeno & JM Andrade e Silva: Ratemaking of dependent risks

Michael Fackler: How to infer the layer variance from the expectation

Audiitorio 3 (2nd floor)
Chair: Fred Rowley

Pierre Miehe & al.: Presentation of the ASTIN worldwide Non-Life reserving practices Report

Sala CTT (3rd floor)
Chair:
Aurelien Coulomny

Eléonore Haguet, Benjamin Châtaigner : Adjusting economic scenarios within the ORSA framework

Salma JAMAL : Modeling the structural component of lapse rate : Nonlinear approximation and models aggregation

 
10h30 -
11h00
 
11h00 - 11h30 Break  
11h30 - 12h00

Auditorio CGD
Chair: M Dacorogna

Risk Measures, Risk Management

Michael Fackler: How Societies Manage Risks

William Guevara-Alarcón: Risk measure preserving Piecewise Linear Approximation of Empirical Distributions

Colm Fitzgerald: Herd-like behaviour as a source of risk


Auditorio 3 (2nd floor)
Chair: Eric Dal Moro

Economics of Insurance, Capital Allocation

Yuriy Krvavych: Insurance ERM and Advanced Uses of Internal Models in a Post Solvency II World

JAUME BELLES-SAMPERA, Miguel Santolino and Montserrat Guillén: BASICS OF CAPITAL ALLOCATION PRINCIPLES AS COMPOSITIONAL DATA

MingJie Hao, Pradip Tapadar, Angus S. Macdonald, R. Guy Thomas: Why Adverse Selection need not be adverse?

Sala CTT (3rd floor)
Chair:
S. Loisel

Ruin Theory , Motor Insurance

Eugenio Rodriguez-Martinez, A. Bergel, A. Egidio dos Reis: On dividends in the Phase-Type dual risk model,

Lourdes Afonso, R. Cardoso, A. Egidio dos Reis, G. Guerreiro: The impact of Bonus malus systems in finite and continuous time ruin probabilities in motor insurance considering an open versus a closed portfolio

Katrien Antonio, Roel Verbelen, Gerda Claeskens: Telematics insurance: Impact on tarification

 
12h00 - 12h30  
12h30 - 13h00  
13h00 -14h00 Lunch  
14h00 - 14h30

Auditorio CGD (2nd floor)
Chair: Onofre Simões

Longevity, Mortality, Retirement Systems

Farid Flici: Closing-out of the Algerian life tables: for more accuracy and adequacy at old-ages

Michel Dacorogna, Giovanna Apicella: Investigating Short-run and Long-run Equilibrium. Relationships between Mortality and Interest Rate Risks

Johan Andreasson, Pavel Shevchenko and Xiaolin Luo: Optimal Decisions for Consumption, Investment and Housing in the Australian Retirement Decumulation Phase

Doug Andrews, Some Guiding Principles for the Development of Self-Adjusting Mechanisms for Sustainable Retirement Systems

Auditorio 3 (2nd floor)
Chair: J. Andrade e Silva

Loss Reserving

Glenn Meyers: Dependencies in Stochastic Loss Reserve Models

Alois Gisler: The uncertainties of the chain ladder reserves revisited

Mario Wüthrich: Chain-Ladder method: dynamic run-off uncertainty analysis

Emmanuel Koenig: Coherent Incurred Paid (CIP) models for claims reserving


Sala CTT (3rd floor)
Chair:
Alexandra Dias

Copulas

Dietmar Pfeifer, Hervé Awoumlac Tsatedem, Andreas Mändle, Côme Girschig: New copulas based on general partitions-of-unity and their applications to risk management

Agnieszka Marciniuk, Joanna Dębicka, Agnieszka Marciniuk, Stanisław Heilpern: The application of copulas to the modelling of the marriage reverse annuity contrac

 
14h30 - 15h00  
15ho0 - 15h30  
15h30 - 16h00  
16h00 - 16h30 Break  
16h30 - 17h00

Auditorio CGD

Plenary Session
Guest Speaker: Eberhard Mueller
OpRisk assessment in Nonlife (Re)Insurance: can actuaries help?

 
17h00 -17h30  
Thursday, June 2
Time Participants Accompanying
Persons
8h00 -
8h45
1 Private Bus (50 places): Hilton, Evolution Hotel, Praça Marquês de Pombal;

Optional Tour:
Lisbon,
Sintra ,
Cascais,
free lunch at Lisbon

Details

 

9h00 -9h30

Auditorio CGD
Chair:
Eric dal Moro, ASTIN

Plenary Session
Guest Speaker:
Michel Dacorogna
Approaches and Techniques to Validate Internal Model Results

9h30 - 10h00
10:00- 10:30 Break
10h30 -11h00

Auditorio CGD
Chair:
Walther Neuhaus

Risk management

Colm Fitzgerald: Assessing psychological attitudes to risk taking and risk management

KRATZ Marie, Yen Hsiao Lok, Alexander McNeil: Backtesting ES: A simple multinomial test

Magda Schiegl: A Model based Analysis of German Interest Rates

Alexandra Dias, Silvia Pazzi: Working Capital Ratio and Equity Market Risk

Auditorio 3 (2nd floor)
Chair: José Manuel Mendinhos

Mortality, Retention

LABIT HARDY Héloïse, Séverine Arnold (-Gaille): Cause-of-Death Mortality: A Study of a Heterogeneous Portfolio Dynamics

Joanna Dębicka, Stanisław Heilpern, Agnieszka Marciniuk: A matrix approach to pricing marriage insurances with mortality dependence

 

Sala CTT (3rd floor
Chair: Agnieszka Bergel )

Epidemic, Catastrophe, Extreme events

Naoyuki Ishimura, Daniel Komadel, and Yasukazu Yoshizawa: Risk estimation model on epidemic outbreaks for an insurer

René Stephan: Robust estimation of the parameters for the generalized Pareto distribution

Jessica Donadio: Asset allocation to prevent unexpected large losses in an extreme value theory framework

Inmaculada Peña: Extreme Value Theory: a practical application for Liability insurance

11h00 - 11h30
11h30 - 12h00
12h00 - 12h30
12h30 - 13h30 Lunch
13h30 -14h00

Auditorio CGD
Chair: Pierre Miehe

Risk Management, Regulation

Eric Dal Moro: Fishing for scenarios

Jacques Levy Vehel: A simple isochore model evidencing regulation risk

Jacques Levy Vehel, A. Floryszczak, M. Majri: A conditional equity risk model for regulatory assessment

Auditorio 3 (2nd floor)
Chair: Lourdes Afonso

Risk, Ruin, Bonus malus

Christian Hipp: Optimal dividend payment with ruin constraint

Marcin Topolewski, Michał Bernardelli: Optimizing transition rules of bonus-malus system under different criteria

Olena Ragulina: Survival Probability in the Classical Risk Model with a Franchise or a Liability Limit: Exponentially Distributed Claim Sizes

Sala CTT (3rd floor)
Chair:
Mario Wutricht

Loss Reserving

René Dahms: Midyear Reserving (Common misbeliefs about Chain-Ladder)

Bernard Wong, Benjamin Avanzi, Greg Taylor: Correlations between insurance lines of business: An illusion or a real phenomenon? Some methodological considerations

Walther Neuhaus: One-year estimation uncertainty in some claim development models

14h00 - 14h30  
14h30 - 15h00  
15ho0 - 15h30        
15h30 - 23h00

Departure to Lisbon Tour from ISEG followed by Gala dinner

Jeronimos Monastery and Cloister
Pasteis de Belem
Guided tour to Queluz Palace with XVIII century animation
Dinner at Pousada de Queluz

Friday, June 3
Time Participants Accompanying
Persons
8h300 -
9h15
1 Private Bus (50 places): Hilton, Evolution Hotel, Praça Marquês de Pombal; Free Time
9h30 -10:30

Auditorio CGD

Chair: Alfredo Egídio dos Reis, President of the Scientific Committee

Guest Speaker: Prof. Stephane Loisel, ISFA UNIVERSITE DE LYON
Online monitoring of actuarial assumptions

Abstract: Actuarial assumptions may be valid only for a limited amount of time, as change-points in claim frequency or mortality patterns occur regularly. In this talk, we solve some quickest detection problem under some false alarm constraint of Lorden type. Interestingly, the optimal monitoring solution involves classical or dual risk model with dividends. We illustrate this theoretical results with two practical case studies: we try to detect as fast as possible an increase in claim frequency in P&C insurance and then a change in longevity patterns with real datasets.

10h30 - 11h30

Auditorio CGD

Chair: Eric Dal Moro, ASTIN chair
General assembly and prizes distribution

11:30 - 12:00 Break
12h00- 13h30

Auditorio CGD

Co-Chair: José Mendinhos, President of the Organizing Committee +
Alfredo Egidio dos Reis, President of the Scientific Committee

Plenary Session
Guest Speaker:
Mr. Gabriel Bernardino, EIOPA President
Q&A

13h30- 14h30 Lunch for Participants, Accompanying Persons and Guests  
Saturday, June 4
8h30 -20h00

Optional Tour Minimum 20 p

Vila Viçosa (Palace, Lunch at Pousada Vila Viçosa), visit Monsaraz, sleeping at Evora (4* hotel) .

 
Sunday, June 5
9h00 -17h30 Guided visit to Evora, lunch and return to Lisboa  

Download program here.

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