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Accepted Papers


The list of papers below gives links to abstracts for papers that have been accepted in their final form. Further abstracts will be added over the coming weeks as well as links to the full papers.


Full Book of Abstracts

Accepted Papers

Climate Change and its Impacts

Climate Change and its Impact on Building Water Damage [ Abstract ] [ Paper ]
Ola Haug, Xeni K. Dimakos, Jofrid F. Vårdal, Magne Aldrin

Hurricanes in the North Atlantic, Should Insurance Pricing Be Based on Long-Term Averages? [ Abstract ] [ Paper ]
Trevor Maynard

An Introduction to Insurance in the Carbon Market [ Abstract ] [ Paper ]
Nick Silver

Modelling and Model Risk

A Loss Reserving Method for Incomplete Claim Data [ Abstract ] [ Paper ]
René Dahms

Bootstrap Estimation of the Predictive Distributions of Reserves Using Paid and Incurred Claims [ Abstract ] [ Paper ]
Huijuan Liu, Richard Verrall

Model Risk in Claims Reserving within Tweedie’s Compound Poisson Models [ Abstract ]
Gareth W Peters, Pavel V Shevchenko, Mario V Wuthrich

Emerging Risks

Economic Consequences of a Global Energy Crisis [ Abstract ] [ Paper ]
Anthony Day

Tax-Deductable Pre-Event Catastrophe Loss Reserves: The Case of Florida [ Abstract ] [ Paper ]
Andreas Milidonis, Martin F. Grace

Applying Option Pricing Theory to Flood Insurance and Other Catastrophe Risks [ Abstract ] [ Paper ]
Ser-Huang Poon, Luiz Vitiello


Transform Approach for Operational Risk Modelling: VaR and TCE [ Abstract ] [ Paper ]
Jiwook Jang, Genyuan Foo

Quantile Based VaR (Value at Risk) to Appraise an Insurance/Reinsurance Business’s ERM-Economic Risk Capital [ Abstract ]
Chitro Majumdar

Expected Shortfall of Claims Events: Some Practical Aspects [ Abstract ] [ Paper ]
Frederic Planchet, Pierre E Therond

Risk Transfer and Securitization

Addressing Credit and Basis Risk Arising From Hedging Weather-related Risk with Weather Derivatives [ Abstract ] [ Paper ]
Patrick L Brockett, Linda L. Golden, Charles C Yang, Hong Zou

Towards an Understanding Approach of the Insurance Linked Securities Market [ Abstract ] [ Paper ]
Mathieu Gatumel, Dominique Guegan

Most Elegant Premium Formulas for the most General Drop Down Excess of Loss Cover [ Abstract ] [ Paper ]
Erhard Kremer

The Actuary's Toolkit: Software

The Actuary’s Toolkit: A View from EMB [ Abstract ] [ Paper ]
Peter D. England

Dynamic Financial Analysis: An Untrodden Path of Catrisk and Solvency II [ Abstract ]
Chitro Majumdar

XL Property Rating: A Reinsurance Pricing Tool Combining Expertise and Exposure Rating for Property Excess of Loss Treaties [ Abstract ]
M Snoussi, S Desmedt, X Chenut, J F Walhin

Claims Development Process and Loss Reserving

Modelling the Claims Development Result for Solvency Purposes [ Abstract ] [ Paper ]
Michael Merz, Mario V Wuthrich

Bornhuetter-Ferguson as a General Principle of Loss Reserving [ Abstract ] [ Paper ]
Klaus D. Schmidt

Bayesian Approach for Prediction Error in Chain-Ladder Claims Reserving [ Abstract ] [ Paper ]
Ji Yao

Dependence Modelling

Extensions of the Wang Transform for the Pricing of Insurance and Financial Risks [ Abstract ] [ Paper ]
Masaaki Kijima, Yukio Muromachi

Modelling Aggregate Non-Life Underwriting Risk: Standard Formula Vs Internal Model [ Abstract ] [ Paper ]
Nino Savelli, Gian Paolo Clemente

Modelling Dependence of Interest Rates, Inflation Rates and Stock Market Returns [ Abstract ] [ Paper ]
Hans Waszink

Capital Allocation and Finance

Captial Allocation by Percentile Layer [ Abstract ] [ Paper ]
Neil M Bodoff

Return Attribution Analysis of the UK Insurance Portfolios [ Abstract ] [ Paper ]
George A Christodoulakis, Emmanuel C Mamatzakis

About the Uncertainty of Past Inflation - A Mathematical Answer to Why We Don’t Use the Data oOf 80 Years Ago [ Abstract ] [ Paper ]
Michael Fackler

Statistical Modelling and Insurance

Zone-Adaptive Control Strategy for a Multiperiodic Model of Risk [ Abstract ] [ Paper ]
Vsevolod K. Malinovskii

Claim Counts Modeling and Stable Distributions [ Abstract ] [ Paper ]
José L. Vilar-Zanón, Antonio Heras-Martínez, José A. Gil-Fana

A Generalized Linear Discrete Time Model for Managing the Solvency Interaction and Singularities Arising from Potential Regulatory Constraints Imposed within a Portfolio of Different Insurance Products [ Abstract ] [ Paper ]
Alexandros A. Zimbidis,  Athanasios A. Pantelous, Grigoris I. Kalogeropoulos

Solvency II and Risk

Give Credit Where Credit is Due: Operational Risk goes Bayesian [ Abstract ] [ Paper ]
Dominik D Lambrigger, Pavel V Shevchenko, Mario V Wuthrich

The Solvency II Actuary [ Abstract ] [ Paper ]
Kathryn Morgan, Annette Olesen

The One-Year Non-Life Insurance Risk [ Abstract ] [ Paper ]
Esbjorn Ohlsson, Jan Lauzeningks

Statistical Modelling and Ratemaking

Robust Fitting of Claim Severity Distributions and Method of Trimmed Moments [ Abstract ] [ Paper ]
Vytaras Brazauskas

About Justification of Experience Rating: Bonus Malus System and a New Poisson Mixture Model [ Abstract ] [ Paper ]
Magda Schiegl

Clustering in Ratemaking: With Application in Terriatories Clustering [ Abstract ] [ Paper ]
Ji Yao

Economic Modelling in Insurance

Optimal Insurance Coverage of a Durable Consumption Good with a Premium Loading in a Continus Time Economy [ Abstract ] [ Paper ]
Masaaki Kiijima, Teruyoshi Suzuki

An Actuarial Model of Cross Subsidization in Price-Regulated Insurance Markets under Moral Hazard [ Abstract ]
Andreas Milidonis

A Dynamic Model of a Non-Life Insurance Portfolio [ Abstract ] [ Paper ]
Colin M. Ramsay

ERM and Catastrophes

Measurement and Transfer of Catastrophic Risks. A Simulation Analysis [ Abstract ] [ Paper ]
Enrique de Alba, Jesús Zúñiga, Marco A. Ramírez Corzo

Stochastic Modelling of Catastrophe Risks in DFA Models [ Abstract ] [ Paper ]
Dorothea Diers

Reinsurance Contract Valuation when the Liabilities are of Fractional Brownian Motion Type [ Abstract ] [ Paper ]
N. E. Frangos, A. N. Yannacopoulos, S. D. Vrontos

Solvency II and Internal Models

Dynamic Financial Analysis of the Minimum Capital Requirement. Empirical Analysis of Polish Non-life Insurance
Companies [ Abstract ]
[ Paper ]
Wojciech Bijak

On the Non-Life Solvency II Model [ Abstract ] [ Paper ]
Werner Hurlimann

Solvency II versus IFRS: Cost of Capital Implications for Insurance Firms [ Abstract ] [ Paper ]
Paul J M Klumpes, Kathryn Morgan