2b) or not 2b) Conference

ISA
Faculty HEC
U of Lausanne
1015 Lausanne
Switzerland

Program [Preliminary]

Dates: June 2 - 3, 2009

Location: Lecture Halls 271, 272, and 273 of the Internef Building, University of Lausanne

	Plenary Session		273
June 2	Parallel Session A		272	Parallel Session B		271

09:30-09:45	Opening
09:45-10:30	Elias Shiu	Maturity Guarantee with Dynamic Living Benefit
10:30-11:00	Coffee Break
11:00-11:30	Hailiang Yang	Ruin Probability and Martingales	Maria de Lourdes Centeno	Optimal per claim reinsurance for dependent risk
11:30-12:00	Stéphane Loisel	On some path-dependent correlation models in risk theory	Jun Cai	Optimal reinsurance retentions under the joint survival probability and joint Value-at-Risk for insurers and reinsurers
12:00-12:30	Ragnar Norberg	Securitization of systematic mortality risk	Corina Constantinescu	An algebraic operator approach to the analysis of Gerber-Shiu functions
12:30-14:30	Lunch
14:30-15:15	Marc Goovaerts	Risk Measures and Decisions in Insurance
15:15-15:45	Claude Lefèvre	On convex extrema for monotone risk distributions	Dimitrios Konstantinides	A Subclass of Subexponential Distributions
15:45-16:15	Coffee Break
16:15-16:45	Philippe Artzner	Provision And Acceptability Capital Requirement In Supervisory Insurance Accounting	Ilie-Radu Mitric	On the Gerber-Shiu function for a risk process with special forms of MAP(2) claims in the presence of interest
16:45-17:15	Arnold Shapiro	Fuzzy Martingales	Apostolos Papaioannou	The Gerber-Shiu discounted penalty functions for a perturbed risk model with two classes of claims and a constant dividend barrier strategy
17:30-18:00	Olivier Deprez & François Dufresne: 2b or not 2b...
18:00-18:15	John U. Tanner: From Table Magicians to Monte Carlo Methods
18:30-18:45	The White Crow
18:45-19:15	Apero
19:30-	Conference Dinner

	Plenary Session		273
June 3	Parallel Session A		272	Parallel Session B		271

09:00-09:45	Andreas Kyprianou	Scale functions and ruin
09:45-10:15	Giorgios Pitselis	Robust Standard Industry Norm and Supervision of Solvency	Cary Tsai	An effective method for constructing a bound for ruin probabilities for the surplus process
10:15-10:45	Coffee Break
10:45-11:15	Vladimir Kaishev	Finite-time ruin probability formulae for Erlang claim inter-arrival times and dependent claim amounts	Xiaowen Zhou	Exit problems for a jump-diffusion with two-sided exponential jumps
11:15-11:45	Romain Biard	Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings	Ronnie Loeffen	The 2-band strategy in de Finetti’s optimal dividend problem
11:45-12:15	Mathieu Bargès	On finite-time ruin probabilities with dependence between reinsurance cycles and the claim arrival process	Jean-François Renaud	Optimal dividend strategies when the time of ruin and the deficit at ruin are taken into account
12:15-14:15	Lunch
14:15-14:45	Yi Lu	Recursive methods for evaluating expected penalty at ruin in finite time	Luis Arcila	Pricing Funeral (Burial) Insurance in a Microinsurance World
14:45-15:15	Jiandong Ren	Analysis of dividends with Markov Modulated Brownian Motion	Daniel Neuenschwander	Lie groups in finance and actuarial mathematics
15:15-15:45	Nathaniel Smith	On optimal dividend strategies with deficit or incomplete information	Rosario Monter	The Market Value of Life Insurance Liabilities Under a Regime Switching Process

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