6th Conference in Actuarial Science & Finance on Samos
June 3 - 6, 2010
Meeting of the Organizing Committee
Open Meeting of the Scientific Committee
Session 1: Modelling Catastrophic Risks in Insurance and Finance Chairman, Qihe Tang
Invited Lecture : Philippe Soulier
Extremal Properties of the Long Memory Stochastic Volatility Process
Foss S., Rolski T., Zachary S.
Optimal Reinsurance: Discussion on Different Points of View
Konstantinides D. G., Ng K. W., Tang Q. H.
The Probabilities of Absolute Ruin in the Renewal Risk Model with Constant Force of Interest
Tang Q. H., Vernic R.
The Finite-Time Ruin Probability in the Presence of Heavy-tailed Claims and Dependent Return Rates on Risky Investment
Haas S., Albrecher H.
Ruin Probabilities with Excess of Loss Reinsurance and Reinstatements
Bardoutsos A. G., Konstantinides D. G.
Characterization through Hazard Rate of Heavy Tailed Distributions and Some Convolution Closure Properties
Joossens E., Marchesi M., Petracco-Giudici M., Rezessy A.
Insurance Guarantee Scheems: a Credit Portfolio Approach to Estimating Potential Exposures and Funding Needs for Europe
Bondarenko J.
Local Structural Changes Detection in Returns Dynamics
Session 2: Risk measures in Non-Life Insurance and Portfolio Management Chairman, Zinovyi Landsman
Invited Lecture : Paul Embrechts
Multivariate Extremes and Geometry
Goovaerts M.
An Actuarial Approach to Financial Risk Measures and Insurance Pricing
Bignozzi V., Tsanakas A.
Sequentially Consistent Risk Measures
Kolev N.
Maximum T(q)-Likelihood Estimation: a New Method and its Application in Risk Management
Frostig E., Pitts S., Politis K.
Finite Time Ruin Probabilities for Phase-type Claims
Psarrakos G., Tsatsomeros M.
Ratio Monotonicity for Tail Probabilities in the Renewal Risk Model
Frangos N. E., Tzougas G., Vrontos S.
On the Design of Some Optimal Bonus-Malus Systems Using Frequency and Severity Components
Meeting of the Organizing Committee
Session 3: Risk and Stochastic Control Chairman, Soeren Asmussen
Invited Lecture : Peter Glynn
Recent Results in Heavy-tailed and Long-range Dependent Risk Theory
Avanzi B., Wong B.
On a Mean Reverting Dividend Strategy with Brownian Motion
Frostig E.
Asymptotic Analysis of a Risk Process with High Dividend Barrier
Schmidli H.
Conditional Law of Risk Processes Given that Ruin Occurs
Park H. S.
Convergence of the Ruin and Related Quantities of Interest in Levy Insurance Risk Analysis
Eisenberg J., Schmidli H.
Optimal Control of Capital Injections by Reinsurance and Investments
Landsman Z.
On the Tail Mean-variance optimal portfolio selection
Minkova L.
Compound Birth Process in Risk Models
Sachlas A., Papaioannou T.
Entropy under Partial Insurance Coverage
Session 4: Decision Making in Life, Health and Pension Insurance Chairman, Mogens Steffensen.
Invited Lecture : Erhan Bayraktar
The Duality Relationship between Minimizing the Probability of Ruin and Controller Stopper Games
Hatzopoulos P., Haberman S.
A Dynamic Parameterization Modeling of the Age-period-cohort Mortality
D' Amato V., Piscopo G., Russolillo M.
Population Heterogeneity in Defined Contribution Pension Schemes
Lim A., Wong B.
A Benchmarking Approach to Optimal Asset Allocation for Insurers and Pension Funds
Alegre A., Jori M., Ribas C.
Deciding the Sale of a Life Policy: Implications on the Individual Welfare
Debicka J.
A Matrix Representation of Thiele's Differential Equations for Multistate Insurance Contracts
Ramsay C. M., Arcila L. D.
Mitigating the Impact of Adverse Selection in Term Life Micro-insurance
Gomez D.
Dynamic Asset Allocation on a Hybrid Pension Fund
Owadally I., Haberman S.
Targeted Pension Contribution for Target-date Funds
Open Meeting of the Scientific Committee
Session 5: Modelling Dependence in Multivariate Risk Chairman, Sergey Foss.
Invited Lecture : Henrik Hult
Efficient Calculation of Risk Measures by Importance Sampling - the Heavy Tail Case
Debicki K., Kosinski K.M., Mandjes M., Rolski T.
A Mutlivariate Gaussion Ruin Problem
Kukush A., Dhaene J.
Comonotonicity of Asset Prices in Arbitrage-free Markets
Boucher J. P., Guillen M.
A Survey on Models for Panel Count Data with Applications to Insurance
Chen Y.
The Strong Law of Large Numbers for Extended Negatively Dependent Random Variables with Application to Risk Theory
Santolino M., Boucher J. P.
Discrete Distributions when Modelling the Disability Severity Score in Motor Insurance Claims
Session 6: Financial Risk Management Chairman, Paul Embrechts.
Ai J., Brockett P. L., Cooper W. W., Golden L. L.
Enterprise Risk Management through Strategic Allocation of Capital
Boissaux M., Schiltz J.
An Optimal Control Solution to the Constrained Weight Portfolio Optimisation Problem with Conditioning Information
Zaks Y.
Optimal Capital Allocation for Non-life Insurance Based on the Probability of Insolvency
Konstantinides D. G., Kountzakis C. E.
Risk Measures in Ordered Normed Linear Spaces with Non-empty Cone-interior
Frangos N., Vrontos S., Yannacopoulos A.
Asset Liability Management Using Derivatives
Papaioannou A.
The Gerber-Shiu Penalty Function for Two Classes of Risk Processes with Multi-layer Dividend Strategy
Departure of the bus from Samaina Inn at 19:30, 19:45.
Return to Samaina Inn at 23:00, 23:15.
Departure of the bus from Samaina Inn at 19:30, 20:00.
Return back to Samaina Inn at 23:30, 24:00.
Monter R.
Optimal Asset-allocation Strategies on DC Pension Plans with Uncertain Wages
