ASTIN Colloquium

Bergen, Norway — 6-9 June 2004

Author(s) Paper
Climate, Weather and Insurance
Flores, C. Multiplicative cascade models for rain in hydro-meteorological disasters risk management
Lescourret, L. and Robert, C. Estimating the probability of two dependent catastrophic events
Christofides, S. Pricing of catastrophe linked securities
Roustant, O., Laurent, J-P., Bay, X. and Carraro, L. A bootstrap approach to price uncertainty of weather derivatives
Delayed Claims
Neuhaus, W. On the estimation of outstanding claims
Braun, C. The prediction error of the chain ladder method applied to correlated run-off triangles
Wu, X. and Yuen, Y. On an interaction risk model with delayed claims
Assets and Liabilities
Ahlgrim, K.C., D'Arcy, S.P. and Gorvett, R.W. Asset-liability modeling for insurers: Incorporating a regime-switching process
for equity returns into a Dynamic Financial Analysis model.
Conger, R.F., Hurley, J.D. and Lowe, S.P. How might the presentation of liabilites at fair value have affected the
reported results of US property and casualty insurers?
Landsman, Z. and Valdez, E.A. Tail conditional expectations for exponential dispersion models
Wüthrich, M.V. Aggregation and diversification effect of dependent random variables
Options and Applications
Cairns, A.J.G. and Rosas, S.A.G. A family of term-structure models with stochastic volatility for use in dynamic financial analysis
Holtan, J. Pragmatic insurance option pricing
Aase, K.K. Area yield futures and future options: Risk management and hedging
Cummins, J.D., Miltersen, K.R., and Persson, S-A. International comparison of interest rate guarantees in life insurance
Pricing and Ruin
de Lourdes Centeno, M and e Silva, J.A. Applying the proportional hazard premium calculation principle.
Ohlsson, E. Credibility rating in a multiplicative tariff.
dos Reis, A.D.E. The compound binomial model revisited.
Garcia, J.M.A. Explicit solutions for survival probabilities in the classical risk model.
Risk Management
Goovaerts, M.J., van den Borre, E. and Laeven, R.J.A. Managing economic and virtual economic capital within financial conglomerates.
Rydtgaard, M. and Savelli, N. Risk-based capital requirements for property and liability insurers according to
different reinsurance strategies and the effect on profitability.
Insurance Fraud
Rempala, G.A. and Derrig, R.A. Modelling hidden exposures in claim severity via the EM algorithm.
D'Arcy, S.P. and Derrig, R.A. The economics of insurance fraud investigation: Evidence of a Nash Equilibrium.