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Some observations on the random walk model
  • David Wilkie

  • Models of the shot interest rate dynamics with the differentials
  • Petr Lappo

  • The implied volatility announce the behavior of the market risk
  • Ricardo Alfredo Tagliafichi

  • Diversification
  • Jean-François Walhin

  • The effects of parameter uncertainty in dependency structures
  • Jakub M. Borowicz~James P. Norman

  • On calculation of surplus value using stochastic modeling
  • Aldona Skucaite

  • Premium Determination Based on Change of Measure
  • Farrokh Guiahi

  • Can a coherent risk measure be too subadditive?
  • Roger Laeven~Jan Dhaene~G. Darkiewicz~M.J. Goovaerts

  • Economic Capital and the Aggregation of Risks using Copulas
  • Emiliano A. Valdez~Andy Tang

  • Economic risk capital of guaranteed cash-flows under Fréchet-Markov return models
  • Werner Hürlimann

  • Gestion Actif Passif et Solvabilité
  • Charles Descure~Cristiano Borean

  • Value at Risk en assurance : recherche d’une méthodologie à long terme
  • Marcin Fédor~Julien Morel

  • Valorisation du risque IARD et nouvelles normes comptables
  • Guillaume Gorge~Mathieu Gatumel

  • Les apports de l’intelligence artificielle dans l’allocation stratégique d’actifs sous contraintes stochastiques de solvabilité
  • Luca De Dominicis

  • Optimal investment strategies: A short survey of classical and recent results
  • Peter Holm Nielsen

  • Risk-averse Capital Market Line using Revised Option-Based Portfolio Insurance
  • Rachid Bouchaib

  • Risk based solvency norms and their validity
  • W.J. Willemse~H. Wolthuis

  • Aspects on calculating the Solvency Capital Requirement with the use of internal models
  • Raoul Berglund~Lasse Koskinen~Vesa Ronkainen

  • Insurer risk management in the presence of frictional costs
  • Yuriy Krvavych~Michael Sherris

  • The VaR of the mathematical provision: critical issues
  • Emilia Di Lorenzo~Rosa Cocozza ~Albina Orlando ~Marilena Sibillo

  • Towards a standard for market-consistent embedded value reporting
  • Paul Whitlock~Ben Pollard

  • A Numerical Study of Reserves and Risk Measures in Life Insurance
  • Mikkel Dahl

  • The win-first probability under interest force
  • Stéphane Loisel~Didier Rullière

  • Duality and Derivative Pricing with Time-Changed Lévy Processes
  • José Fajardo~Ernesto Mordecki

  • Risk theory insight into the asset-liability and solvency adaptive management
  • Vsevolod Malinovskii

  • Assessing the Market Value of Safety Loadings
  • François Quittard-Pinon~Carole Bernard~Olivier Le Courtois

  • Insurance Pricing and Capitalisation Given Market Incompleteness and Frictional Costs
  • Mark Johnston

  • Contingent Liability Swap
  • Ricardo Alvarado~David Iglesias

  • Ratio d’univers
  • Jean-François Boulier~Romain Verdier

  • False Discoveries in Mutual Fund Performance: Finding Lucky Alphas
  • Laurent Barras~O. Scaillet~R. Wermers

  • On the optimization of a CAPM-portfolio considering the possibility of safeguarding its loss
  • Uli Willibald Spreitzer

  • Management strategy for systemics risk within insurance contracts: the case of farm's crop insurance
  • Martial Phélippé-Guinvarc'h~Jean E. Cordier

  • An Introduction to the Benefits of Optimization Models for Underwriting Portfolio Selection
  • Kreuser Jerome~Lane Morton

  • Explaining low annuity demand: an optimal portfolio application to Japan
  • Sachi Purcal~John Pigott