Conference Program
Conference venue: Hall "Sofoulis" at University building "Provatari" near the port of Karlovassi
Wednesday 28th of May 2014 |
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Time |
Subject |
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18:30 - 19:30 |
Registration |
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19:30 - 23:00 |
Welcome Party |
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Thursday 29th of Μay 2014Session 1: Risk Management(Chair, Jef Teugels). |
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Time |
Subject |
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09:00 - 09:40 |
Invited Lecture :Veronique MaumeDeschamps Global sensitivity analysis and quantification of uncertainty |
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09:40 - 10:00 |
Mittnik S. |
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10:00 - 10:20 |
Bernard C., Vanduffel S. |
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10:20 – 10:40 |
Yang Y., Konstantinides D. G. |
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10:40 - 11:30 |
Break |
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11:30 - 11:50 |
Tang Q. H. The Sum-Product Structure as a Mechanism for Risk Management |
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11:50 - 12:10 |
Christiansen M., Brandt Henriksen L. F., Schomacker K., Steffensen M. |
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12:10 – 12:30 |
Bernard C., Rueschendorf L., Vanduffel S. |
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12:30 – 12:50 |
Jevtic P., Regis L. |
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Thursday 29th of May 2014Session 2: Stochastic Models in Non-Life Insurance(Chair, Esther Frostig). |
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Time |
Subject |
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15:30 – 16:10 |
Invited Lecture :Jun Cai Optimal Reinsurance with Regulatory Initial Capital and Default Risk |
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16:10 – 16:30 |
Parsa R., Vaughan A., Yang F. |
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16:30 – 16:50 |
Vatamidou E., Adan I. J. B. F., Vlassiou M., Zwart B. Corrected Phase-type Approximations of Heavy-Tailed Risk Models Using Perturbation Analysis |
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16:50 – 17:10 |
Liu J., Chen Y. |
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17:10 – 18:00 |
Break |
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18:00 – 18:20 |
Gatzert N., Pokutta S., Vogl N. |
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18:20 – 18:40 |
Mahmoudvand R., Aziznasiri S. |
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18:40 – 19:00 |
Landriault D., Li B. A General Analytical Approach for Drawdown (Drawup) Risks of |
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19:10 – 20:00 |
Meeting of the Organizing Committee |
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Friday 30th of May 2014Session 3: Life, Health, and Pension Insurance(Chair, Mogens Steffensen). |
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Time |
Subject |
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09:00 - 09:40 |
Invited Lecture :Nandine Gatzert Dynamic Hybrid Products in Life Insurance: Assessing the Policyholders’ Viewpoint |
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09:40 - 10:00 |
Alonso Garcia J., Boado-Penas M. C., Devolder P. Risk and Solvency of Notional Defined Contribution Pension Systems |
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10:00 - 10:20 |
Buchardt K., Moeller T., Schmidt K. B. Cash Flows and Policyholder Behaviour in the Semi-Markov Life Insurance Setup |
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10:20 – 10:40 |
Hilpert C. The Effect of Risk Preferences on Equity-Linked Life Insurance with Surrender Guarantees |
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10:40 - 11:30 |
Break |
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11:30 - 11:50 |
Jensen N. R., Steffensen M. Personal Finance and Life Insurance under Separation of Risk Aversion and Elasticity of Substitution |
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11:50 - 12:10 |
Barucci E., Biffis E., Marazzina D. |
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12:10 - 12:30 |
Millossovich P., Danesi I. L., Haberman S. Forecasting Mortality in Related Populations Using Lee-Carter Type Models: A Comparison |
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12:40 – 20:30 |
Excursion to Samos Island |
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Saturday 31st of May 2014Session 4: Risk and Stochastic Control (Chair,Claude Lefevre). |
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Time |
Subject |
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09:00 - 09:40 |
Invited Lecture:Ken Seng Tan Modeling Trades in the Life Market as Nash Bargaining Problems: Methodology and Insights |
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09:40 - 10:00 |
Bernard C., Moraux F., Rueschendorf L., Vanduffel S. |
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10:00 - 10:20 |
Goldberg L. R., Mahmoud O. |
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10:20 – 10:40 |
Boonen T. Nash Equilibria in Over-The-Counter Bargaining for Risk Redistributions; the Role of a Regulator |
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10:40 - 11:30 |
Break |
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11:30 - 11:50 |
Bayraktar E., Kyprianou A. E., Yamazaki K. Optimal Dividends in the Dual Model under Fixed Transaction Costs |
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11:50 - 12:10 |
Nordfang M. B. |
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12:10 - 12:30 |
Cheng C., Li J. Early Default Risk and Surrender Risk: Impacts on Participating Life Insurance Policies |
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12:40 – 13:30 |
Open Meeting of the Scientific Committee |
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Saturday 31st of May 2014Session 5: Statistical and Computational Methods(Chair, Qihe Tang). |
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Time |
Subject |
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15:30 – 16:10 |
Invited Lecture : Liang Peng |
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16:10 – 16:30 |
Asimit A., Chen Y. Asymptotic Results for Conditional Measures of Association in the Classical Risk Model |
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16:30 – 16:50 |
Asmussen S., Jensen J. L., Rojas-Nandayapa L. |
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16:50 – 17:10 |
Landsman Z., Makov U., Shushi T. Tail Risk Measures for Generalized Skew – Elliptical Distributions |
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17:10 – 17:40 |
Break |
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17:40 – 18:00 |
Tang Q., Yang F. Extreme Value Analysis of the Haezendonck-Goovaerts Risk Measure with a General Young Function |
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18:00 – 18:20 |
Tan K. S., Wang C. W., Zhu W. J. Levy Subordinated Hierarchical Archimedean Copulas: Theory and Application |
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18:20 – 18:40 |
Pesta M., Okhrin O. Conditional Least Squares and Copulae in Clains Reserving for a Single Line of Business |
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19:30 – 23:00 |
Gala dinner (Price: 13 € + extras ) |
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Sunday 1st of June 2014Session 6: Financial Theory and Practice(Chair, Steven Kou). |
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Time |
Subject |
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09:30 - 10:10 |
Invited Lecture :Dilip Madan |
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10:10 - 10:30 |
Swishchuk A., Tertychnyi M., Elliott R. Pricing Currency Derivatives with Markov-modulated Levy Dynamics |
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10:30 - 10:50 |
Fusai G., Kyriakou I. |
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10:50 – 11:10 |
Limnios N., Swishchuk A. Discrete-time Semi-Markov Random Evolutions: Theory and Applications in Finance |
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11:10 - 11:40 |
Break |
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11:40 - 12:00 |
Benth F. E., Schmeck M. D. |
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12:00 - 12:20 |
deSouza L. G., Veiga A. A Linear Stochastic Model to Estimate the Amount of IBNR Claims |
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12:20 - 12:40 |
Mikus G. The Impact of Stochastic Volatility and Policyholder Behaviour on |
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12:40 -13:00 |
Closing Ceremony |
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13:00 – 13:40 |
Kalashnikov Lecture :Michel Broniatowski |
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