7th Conference in Actuarial Science & Finance on Samos
May 28 - June 3, 2012

Conference Program

The Conference Venue is the Town Hall on central square of Karlovassi.


Wednesday 30th of May 2012

 

Time

Subject

20:00 - 23:00

Welcome Party

 

Thursday 31st of Μay 2012

Session 1: Modeling Rare Events, Extremes and Dependence (Chair, Qihe Tang).

 

Time

Subject

09:00 - 09:40

Invited Lecture : Sidney Resnick

The Multidimensional Edge: Seeking Hidden Risks

09:40 - 10:00

Mittnik S.

Solvency II Calibrations: Where Curiosity Meets Spuriosity

10:00 - 10:20

Korn R., Menkens O., Steffensen M.

Worst-Case-Optimal Dynamic Reinsurance for Large Claims

10:2010:40

Chen Y., Yuen K.

Precise Large Deviations of Aggregate Claims in a Time-Dependent Renewal Risk Model

10:40 - 11:30

Break

   

11:30 - 11:50

BardoutsosA. G., Konstantinides D. G.

Structure of Subclacsses in the Frame of Heavy-Tailed Distributions

11:50 - 12:10

Grothe O., Korniichuk V., Manner H.

Modeling Joint Extreme Events Using Multivariate Self-Exciting Jump Processes

12:1012:30

DiBernardino E., Laloe T., Prieur C., Maume-Deschamps V.

Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory

12:3012:50

Spreeuw J.

Archimedean copulas derived from utility functions

 

Thursday 31st of May 2012

Session 2: Stochastic Models in Non-Life Insurance (Chair, Esther Frostig).

   

Time

Subject

16:0016:40

Invited Lecture : Vladimir Kaishev

Ruin Probabilities and (Exponential) Appell Polynomials

16:4017:00

Ivanovs J.

Taxation and reflection in a Levy risk model

17:0017:20

Azcue P., Muler N.

Optimal Time for Disinvestment and Acquisition in the Bivariate Compound Poisson Model

17:2017:40

Bernard C.,Vanduffel S.

Mean-Variance Optimal Portfolios under State-dependent Preferences

17:4018:30

Break

   

18:3018:50

Ai J., Brockett P., Golden L. L., Pitaktong U.

How to Set Rates if You Must: An Efficiency-based Methodology for Setting Promulgated Insurance Rates

18:5018:10

 
 

19:1019:30

 

 

 

 

19:4020:20

Meeting of the Organizing Committee

 

Friday 1st of June 2012

Session 3: Life, Health, and Pension Insurance (Chair, Hansjoerg Albrecher).

 

Time

Subject

09:00 - 09:40

Invited Lecture : Marcus Christiansen

Safety margins for unsystematic biometric risk in life and health insurance

09:40 - 10:00

Henriksen B. L. F., Moeller T.

Local risk-minimization with longevity bonds

10:00 - 10:20

Bruhn K., Steffensen M.

Quadratic Optimization of Smooth Consumption and Optimal Annuity Design

10:2010:40

Yang Y., Waegenaere A., Melenberg B.

On the modeling and estimation of health changes in the United States

10:40 - 11:30

Break

 

11:30 - 11:50

Hatzopoulos P., Haberman S.

Common mortality modeling and coherent forecasts

11:50 - 12:10

Buchardt K.

Valuation of Life Insurance Reserves with Dependent Affine Rates

12:10 - 12:30

Gazert N., Maegebier A.

Valuation and Risk Assessment of Disability Insurance using a Discrete Time Non-homogeneous Backward Semi-Markov Reward Process

12:3012:50

Bohnert A., Gazert N., Joergensen P. L.

Feedback Mechanisms and Surplus Appropriation Schemes in Participating Life Insurance

13:3020:00

Excursion to Samos Island

 

Saturday 2nd of June 2012

Session 4: Risk and Stochastic Control (Chair, Claude Lefevre).

   

Time

Subject

09:00 - 09:40

Invited Lecture: Christian Hipp

Operator methods for the solution of Bellman equations

09:40 - 10:00

Hamm A. M.

Liquidity - Adjusted Risk Measures

10:00 - 10:20

Taagholt K. S.

Variance optimal stopping problem on geometric Levy processes

10:2010:40

Asimit A. V., Badescu A. M., Tsanakas A.

Optimal Risk Transfers in Insurance Groups

10:40 - 11:30

Break

   

11:30 - 11:50

Azcue P., Muler N.

Optimal Time for Acquisitions and Disinvestment for a company in the diffusion model

11:50 - 12:10

Zaks Y., Landsman Z.

Turning an Asset-Liability Management problem into a portfolio selection problem

12:10 - 12:30

Li B., Tang Q. H., Zhou X.

The Double-barrier Default of a Time-homogeneous Diffusion Model

 

 

12:4013:20

Open Meeting of the Scientific Committee

 

Saturday 2nd of June 2012

Session 5: Statistical Methods in Insurance and Finance (Chair, Pedro Morettin).

   

Time

Subject

16:0016:40

Invited Lecture : Andrew Harvey

Exponential Conditional Volatility Models

16:4017:00

Lefevre C., Picard P.

On ruin probabilities for risk models with ordered claim arrivals

17:0017:20

Niu G., Melenberg B.

Longevity Risk and Economic Growth

17:20 – 17:40

Ozkok E., Streftaris G., Waters H., Wilkie A. D.

Estimating & Modelling All-Causes Diagnosis Rates in Critical Illness Insurance: UK Experience

17:4018:30

Break

   

18:3018:50



18:5019:10

Bernard C., Chen J. S., Vanduffel S.

Optimal Portfolios under Worst Case Scenarios

19:1019:30

Morettin P. A., Sampaio J. M.

Indirect Estimation of R-GARCH Models

 

 

20:00 – 23:00

Gala dinner

 

Sunday 3rd of June 2012

Session 6: Financial Theory and Practice (Chair, Martin Schweizer).

 

Time

Subject

09:00 - 09:40

Invited Lecture : Robert Elliott

Risk measures and backward stochastic difference equations

09:40 - 10:00

Schulze K.

Multi-Stock Portfolio Optimization under Prospect Theory

10:00 - 10:20

Frostig E.

A Markov additive risk process with a dividend barrier

10:2010:40

Markus L.

CDO Valuation Using Stochastic Correlations in Structural Models

10:40 - 11:30

Break

 

11:30 - 11:50

Kountzakis C. E.

Optimization of Expected Shortfall on Convex Sets

11:50 - 12:10

Landsman Z., Makov U.

Minimization of the function of a quadratic functional and application to the optimal portfolio selection.

12:10 - 12:30

Londono J. A., Sandoval J.

A new European Logistic-type Option Pricing Model

12:3012:50



12:5013:20

Closing Ceremony

13:2014:00

Kalashnikov Lecture : Martin Schweizer

Quadratic hedging and portfolio choice problems