Slides

Monday, Sept 5th


Slides of Claude Lefevre’s day here

Tuesday, Sept 6th


PLENARY TALKS
Katrien ANTONIO – Actuaries and predictive modeling: Past, present ans future
Jean-Louis RULLIERE – Actuarial science needs behavioral economics

SESSIONS – SUMMER SCHOOL OF INSTITUT DES ACTUAIRES here

PARALLEL SESSION 1 / Longevity Risk
Liang Chen – Bayesian inference for small population longevity risk modelling
Erengul Dodd
Apostolos Bozikas
PARALLEL SESSION 1 / Analytics
Roel Verbelen
José Garrido – Machine learning techniques for detecting hierarchical interactions in GLM’s for insurance premiums
Saïd Achchab – A hybrid deep network approach for predictive analysis of massive and incomplete data of assurance
PARALLEL SESSION 1 / Risk theory
Vladimir Kaishev
Meral Simsek
Ahmet Kaya
PARALLEL SESSION 1 / Credibility
Yang Lu – Dynamic frailty count process in insurance: Estimation, pricing and forecasting
Georgios Pitselis
PARALLEL SESSION 1 / Risk aggregation
Wing Fung Chong – Convex ordering for insurance preferences
Alfred Muller
Silvana Pesenti
PARALLEL SESSION 1 / Valuation
Massimo Costabil – Fair evaluation of insurance contracts with performance depending on different investment funds with automatic remixing mechanism
Lukasz Delong – Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
Karl-Theodor Eisele

PARALLEL SESSION 2 / Correlated risks
Yahia Salhi – Lapse risk in life insurance: correlation and contagion effects among policyholders’ behaviors
Griselda Deelstra – About the role of the dependance between mortality and interest rates when pricing guaranteed annuity options
Raimondo Manca
PARALLEL SESSION 2 / Reserving
Liivika Tee
Xavier Milhaud – Weighted decision trees applied to reserving in insurance
Marc Linde – Multi-year non-life insurance risk for correlated loss portfolios under chain ladder model assumptions
PARALLEL SESSION 2 / Insurance economics
Yves Staudt
Claire Mouminoux – Obfuscation and trust: Experimental evidence on insurance demand with multiple distribution channels
Steward Doss
PARALLEL SESSION 2 / Risk measures
Andreas Tsanakas – Capital allocation for portfolios with non-linear risk aggregation
Miguel Angel Sordo Diaz – A family of premium principles based on mixtures of TVaRs
PARALLEL SESSION 2 / Pensions
Poontavika Naka – Annuitisation divisors for notional defined contribution (NDC) pension schemes
Jennifer Alonso-Garcia – Economic and demographic risks for pay-as-you-go pension schemes: Defined benefit versus defined contribution

Wednesday, Sept 7th


PLENARY TALKS
Elsa Renouf – Update on actuarial standards development – Focus on new standards on models
Andrew Candland – Internal models: Challenges and supervision

SESSIONS – SUMMER SCHOOL OF INSTITUT DES ACTUAIRES here

PARALLEL SESSION 3 / Pensions
Sebastien de Valeriola – Comparison of Belgian pension funding methods using exchange option prices
Philipp Muller
Oriol Roch
PARALLEL SESSION 3 / Correlated risks
Jaap Spreeuw
Lukas Hahn – Multi-year non-life insurance risk of dependent lines of business
Christian de Peretti
PARALLEL SESSION 3 / Risk theory
Pablo Azcue – Optimal switching and dividend payment with transaction costs
Alfredo Egidio dos Reis – A study of the impact of a bonus-malus system in finite and continuous time ruin probabilities in motor insurance
Florin Avram – On managing central branch risk networks, using scale functions
PARALLEL SESSION 3 / Optimal reinsurance
Xin Jiang – Optimal reinsurance and investment control with time-varing safety loading
Yunzhou Chen – Optimal stop-loss reinsurance strategy under distorsion risk measures
Julia Eisenberg
PARALLEL SESSION 3 / Cat-nat modelling
Constance Collin – Agricultural insurance pricing and systemic risk transfer: Application to forage insurance in France
Iegor Rudnytdkyi
Gwladys Mao – Modeling insured and uninsured flood damage
PARALLEL SESSION 3 / Market consistency & regulation
Julien Vedani – Economic valuation in life insurance – Market-(in)consistency
Antoon Pelsser – Difference between LSMC and replicating portfolios
Aurélien Couloumy – Innovation into a restrictive prudential regulation framework: How to use “new approaches” to increase efficiency ?

Thursday, Sept 8th


PLENARY TALKS
Ermanno Pitacco – Heterogeneity in a life annuity portfolio: modeling issues and risk profile assessment

SESSIONS – SUMMER SCHOOL OF INSTITUT DES ACTUAIRES here

PARALLEL SESSION 4 / Mortality modelling
Elena Vigna – A unisex stochastic mortality model to comply with EU gender directive
Dominique Abgrall – Exploring the longevity risk using statistical tools derived from the Chiryaev-Roberts procedure
Alexandre Boumezoued – Population dynamics
Marcin Bartkowiak
PARALLEL SESSION 4 / Reserving
Julien Trufin – Collective loss reserving with two types of claims in motor third party liability insurance
Pieter Segaert – Robust bootstrap techniques for claims reserving using GLM
Geoffrey Nichil – Solvency need resulting from provisioning risk in an ORSA context
Bernard Wong
PARALLEL SESSION 4 / Risk theory
Arian Cani
Uwe Schmock
Paul Kruhner
PARALLEL SESSION 4 / Market analysis
Auguste Mpacko Priso – The cost of longevity in France: An assessment from the supplementary pension market
Ovgücan Karadag Erdemir – Principal component analysis as a method of measuring the performance of Turkish non-life insurance companies
Murat Kirkagac – Analysis of cause of loss in motor own damage insurance with competing risks-An application
Philippe Deprez – National macroprudential insurance regulation: a swiss case study
PARALLEL SESSION 4 / Long term care and health
George Streftaris – Prediction of settlement delay in critical illness insurance
Michel Fuino
Quentin Guibert – Pricing and risk analysis of a long-term care insurance contract in a non-Markov multi-state model
Tianyuan Ni – A machine learning approach to modelling healthcare data for insurance

PARALLEL SESSION 5 / Longevity risk
Sander Devriendt – Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard
Fidence Munyamahoro
Nikolaï Kolev
PARALLEL SESSION 5 / Capital allocation
Pierre-Olivier Goffard
Eleonore Haguet – Adjusting economic scenarios within the ORSA framework
Leila Chaouech
Lars Frederik Brandt Henriksen
PARALLEL SESSION 5 / Risk theory
Andrei Badescu
Dimitrios Konstantinides – Distributions with heavy tails in Orlicz spaces
Christian Hipp – Maximal dividends and ruin: Lagrange and beyond
Arham Achlak – Ruin analysis of Takaful insurance using discrete time sparre Andersen model with multiple threshold level
PARALLEL SESSION 5 / Risk measures
William Guevara-Alarcon
Nabil Kazi-Tani
Weihao Choo – Analysing systematic risk and diversification benefits
PARALLEL SESSION 5 / Asset allocation
Jessica Donadio – Extreme value theory and optimal portfolio choice for downside-risk averse investors
Benjamin Avanzi – On the distribution of the excedents of funds with assets and liabilities in presence of solvendy and recovery requirements
Nora Muler – Optimal cash management control for processes with two-sided jumps
David Zerbib

PARALLEL SESSION 6 / Longevity risk
Héloise Labit-Hardy – Cause-of-death mortality and socio-economic status: A study of a portfolio dynamics
Séverine Arnold – Mind the gap: A study of causal mortality by socio-economic circumstances
Funda Karaman
PARALLEL SESSION 6 / Extremes
Claude Lefèvre
Tom Reikens – Global fits using splicing for censored data: mixed Erlang and extreme value distributions
Jan Beirlant – Modelling of long-tail reinsurance data
PARALLEL SESSION 6 / Asset pricing
Alejandro Balbas – Good deal measurement in asset pricing: actuarial and financial implications
Jean-François Chassagneux
Manuel Morales – A stochastic simulator model for the limit order book
PARALLEL SESSION 6 / Long term care
David Smith – Paying for long term care insurance: The pros and cons of different payment methods
Franck Adekambi
Kristian Buchardt – Kolmogorov’s forward PIDE and forward transition rates in life insurance
PARALLEL SESSION 6 / Financial risks
Mabelle Sayah – Counterparty credit risk under Basel II – Application on simple portfolios
Thierry Moudiki – A discount curve for insurance risk management with exact fit and parsimonious forecasts
Simon Wang
PARALLEL SESSION 6 / Forecasting
Luxi Chen – Analysis of the past and detection of the alarms: the trendometer, forecast of the future: the extrapolator, evaluation of the risk by insurance durations
Majid Traghiloo
Betül Zehra Karagul – Investigation of the dependence between insurance premiums and socio-economic development indices with canonical correlation analysis

POSTER SESSION
Carlos Vidal-Melia – Would it work? A notional defined contribution scheme combining retirement and long-term care
Carlos Vidal-Melia – A “swedish” actuarial balance sheet for a notional defined contribution pension scheme with disability and retirement benefits
Pavel Zimmermann – Comparison of efficiency of severity estimators based on different data aggregation levels