Conference Program
The Conference Venue is the Town Hall on central square of Karlovassi.
Wednesday 30th of May 2012 |
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Time |
Subject |
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20:00 - 23:00 |
Welcome Party |
Thursday 31st of Μay 2012Session 1: Modeling Rare Events, Extremes and Dependence (Chair, Qihe Tang). |
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Time |
Subject |
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09:00 - 09:40 |
Invited Lecture : Sidney Resnick The Multidimensional Edge: Seeking Hidden Risks |
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09:40 - 10:00 |
Mittnik S. Solvency II Calibrations: Where Curiosity Meets Spuriosity |
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10:00 - 10:20 |
Korn R., Menkens O., Steffensen M. Worst-Case-Optimal Dynamic Reinsurance for Large Claims |
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10:20 – 10:40 |
Chen Y., Yuen K. Precise Large Deviations of Aggregate Claims in a Time-Dependent Renewal Risk Model |
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10:40 - 11:30 |
Break |
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11:30 - 11:50 |
BardoutsosA. G., Konstantinides D. G. Structure of Subclacsses in the Frame of Heavy-Tailed Distributions |
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11:50 - 12:10 |
Grothe O., Korniichuk V., Manner H. Modeling Joint Extreme Events Using Multivariate Self-Exciting Jump Processes |
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12:10 – 12:30 |
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 |
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12:30 – 12:50 |
Spreeuw J. Archimedean copulas derived from utility functions |
Thursday 31st of May 2012Session 2: Stochastic Models in Non-Life Insurance (Chair, Esther Frostig). |
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Time |
Subject |
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16:00 – 16:40 |
Invited Lecture : Vladimir Kaishev |
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16:40 – 17:00 |
Ivanovs J. Taxation and reflection in a Levy risk model |
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17:00 – 17:20 |
Azcue P., Muler N. Optimal Time for Disinvestment and Acquisition in the Bivariate Compound Poisson Model |
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17:20 – 17:40 |
Bernard C.,Vanduffel S. Mean-Variance Optimal Portfolios under State-dependent Preferences |
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17:40 – 18:30 |
Break |
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18:30 – 18:50 |
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 |
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18:50 – 18:10 |
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19:10 – 19:30 |
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19:40 – 20:20 |
Meeting of the Organizing Committee |
Friday 1st of June 2012Session 3: Life, Health, and Pension Insurance (Chair, Hansjoerg Albrecher). |
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Time |
Subject |
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09:00 - 09:40 |
Invited Lecture : Marcus Christiansen Safety margins for unsystematic biometric risk in life and health insurance |
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09:40 - 10:00 |
Henriksen B. L. F., Moeller T. Local risk-minimization with longevity bonds |
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10:00 - 10:20 |
Bruhn K., Steffensen M. Quadratic Optimization of Smooth Consumption and Optimal Annuity Design |
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10:20 – 10:40 |
Yang Y., Waegenaere A., Melenberg B. On the modeling and estimation of health changes in the United States |
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10:40 - 11:30 |
Break |
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11:30 - 11:50 |
Hatzopoulos P., Haberman S. Common mortality modeling and coherent forecasts |
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11:50 - 12:10 |
Buchardt K. Valuation of Life Insurance Reserves with Dependent Affine Rates |
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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 |
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12:30 – 12:50 |
Bohnert A., Gazert N., Joergensen P. L. Feedback Mechanisms and Surplus Appropriation Schemes in Participating Life Insurance |
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13:30 – 20:00 |
Excursion to Samos Island |
Saturday 2nd of June 2012Session 4: Risk and Stochastic Control (Chair, Claude Lefevre). |
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Time |
Subject |
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09:00 - 09:40 |
Invited Lecture: Christian Hipp |
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09:40 - 10:00 |
Hamm A. M. Liquidity - Adjusted Risk Measures |
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10:00 - 10:20 |
Taagholt K. S. Variance optimal stopping problem on geometric Levy processes |
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10:20 – 10:40 |
Asimit A. V., Badescu A. M., Tsanakas A. Optimal Risk Transfers in Insurance Groups |
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10:40 - 11:30 |
Break |
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11:30 - 11:50 |
Azcue P., Muler N. Optimal Time for Acquisitions and Disinvestment for a company in the diffusion model |
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11:50 - 12:10 |
Zaks Y., Landsman Z. Turning an Asset-Liability Management problem into a portfolio selection problem |
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12:10 - 12:30 |
Li B., Tang Q. H., Zhou X. The Double-barrier Default of a Time-homogeneous Diffusion Model |
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12:40 – 13:20 |
Open Meeting of the Scientific Committee |
Saturday 2nd of June 2012Session 5: Statistical Methods in Insurance and Finance (Chair, Pedro Morettin). |
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Time |
Subject |
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16:00 – 16:40 |
Invited Lecture : Andrew Harvey |
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16:40 – 17:00 |
Lefevre C., Picard P. On ruin probabilities for risk models with ordered claim arrivals |
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17:00 – 17:20 |
Niu G., Melenberg B. Longevity Risk and Economic Growth |
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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 |
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17:40 – 18:30 |
Break |
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18:30 – 18:50 |
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18:50 – 19:10 |
Bernard C., Chen J. S., Vanduffel S. Optimal Portfolios under Worst Case Scenarios |
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19:10 – 19:30 |
Morettin P. A., Sampaio J. M. Indirect Estimation of R-GARCH Models |
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20:00 – 23:00 |
Sunday 3rd of June 2012Session 6: Financial Theory and Practice (Chair, Martin Schweizer). |
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Time |
Subject |
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09:00 - 09:40 |
Invited Lecture : Robert Elliott |
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09:40 - 10:00 |
Schulze K. Multi-Stock Portfolio Optimization under Prospect Theory |
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10:00 - 10:20 |
Frostig E. A Markov additive risk process with a dividend barrier |
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10:20 – 10:40 |
Markus L. CDO Valuation Using Stochastic Correlations in Structural Models |
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10:40 - 11:30 |
Break |
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11:30 - 11:50 |
Kountzakis C. E. Optimization of Expected Shortfall on Convex Sets |
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11:50 - 12:10 |
Landsman Z., Makov U. Minimization of the function of a quadratic functional and application to the optimal portfolio selection. |
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12:10 - 12:30 |
Londono J. A., Sandoval J. A new European Logistic-type Option Pricing Model |
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12:30 – 12:50 |
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12:50 – 13:20 |
Closing Ceremony |
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13:20 – 14:00 |
Kalashnikov Lecture : Martin Schweizer Quadratic hedging and portfolio choice problems
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