networking plenary talks parallel talks- astin …...leonardo rojas-nandayapa mark j. cathcart t...

Day 1- Sunday 20th

Registration

Educational Workshops

Parallel Talks- ASTIN

Parallel Talks- AFIR

Plenary TalksNetworking

PROGRAMASTIN /AFIR 2017 PANAMA CITY

Lobby

WELCOME COCKTAIL

S Private Lounge / Main floor Grand Sheraton Hotel

12:00 - 20:00

20:00 - 23:00

SPONSORED BY:

Day 2- Monday 21st

Stéphane LoiselERM

Stéphane LoiselERM

Paul Embrechts

Registration

Roger HayneReserving

Roger HayneReserving

Room Colón

Room Colón Room Contadora 2

Room Taboga 2

Room Taboga 2 Room Contadora 1

RoomGran Salón

RoomGran Salón

RoomGran Salón

RoomGran Salón

Room Taboga 2

Room Taboga 2

Room Taboga 2

Room Taboga 2

Room Contadora 2

Room Contadora 2

Room Contadora 2

Room Contadora 2

Room Colón

Room Colón

Room Colón

Clemente Cabello






Bor Harej

Glenn Meyers Emiliano A. Valdez

Alessandro Ferriero Wilson Mayorga

Guojun Gan Kazy Hata

Jennifer Alonso Garcia

Torsten Moenig

Andres Villegas

Pierre-Olivier Goffard

LeonardoRojas-Nandayapa Mark J. Cathcart

Torsten Kleinow

Lobby

Coffee Break Lobby

Coffee Break Lobby

Gran Salón

Gran Salón

Lunch Gran Barú

7:00 - 8:00

8:00 - 9:30

9:30 - 10:30

10:30 - 11:00

11:00 - 12:00

12:00 - 13:00

13:00 - 14:30

14:30 - 15:30

15:30 - 16:30

16:30 - 17:00

17:00 - 18:00

18:00 - 19:00

A DARWINIAN VIEW ON INTERNAL MODELS

ASTIN session 1.a: Bor Harej - Individual Claims Development with Machine Learning

AFIR session 1.a: Torsten Moenig - Where Less Is More: Reducing Variable Annuity Fees to Benefit Policyholder and

Insurer

ASTIN session 2.a: Loss reserving and capital adequacy - Glenn Meyers - A cost of capital risk margin formula for non-life

insurance

ASTIN session 2.b: Insurance pricing and optimization - Emiliano A. Valdez - General-ized linear mixed models (GLMMs) for dependent

compound risk models

AFIR session 2.a: Variable Annuities - Guojun Gan - Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and

Benchmark Datasets

AFIR session 2.b: Interest Rate and Risk Transfer - Kazy Hata - Japanese saving / bancassurance market under long dated low

interest rate environment

ASTIN session 3.a: Loss reserving and capital adequacy - Alessandro Ferriero - Solvency capital estimation, reserving

cycle and ultimate risk

ASTIN session 3.b: Insurance pricing and optimization - Wilson Mayorga - A practical model for pricing optimiza-

tion in auto insurance

AFIR session 3.a: Variable Annuities - Jennifer Alonso-Gar-cia - Pricing and Hedging Guaranteed Minimum Withdraw-al Benefits under a General Levy Framework using the COS

Method

ASTIN session 4.b: Insurance pricing and optimization - Greg Taylor - Evolutionary

hierarchical credibility

AFIR session 4.a: Mortality risk - Andres Villegas - Mortality Improvement Rates: Modelling and

Parameter Uncertainty

ASTIN session 5.b: Risk theory - Pierre-Olivier Goffard - The PDF of the ruin time in the ordered dual risk

model

AFIR session 5.a: Mortality risk - Torsten Kleinow - Parameter risk in time-series

mortality forecasts

ASTIN session 5.a: Loss reserving and capital adequacy - Agniezka Bergel - An approach to the individual claims reserving

method

ASTIN session 6.a: Copulas: theory and applications - Rahul Parsa - Pricing cyber security

insurance using copulas

ASTIN session 6.b: Risk theory - Leonardo Rojas-Nandayapa - Approxi-mation of Ruin Probabilities via Erlangized Scale

Mixtures

AFIR session 6.a: Bob Alting von Geusau Prize - Mark J. Cathcart - Calculating Variable Annuity Liability “Greeks”

Using Monte Carlo Simulation

THE ACTUARY AS LEADER

SPONSORED BY:

Greg Taylor

Agniezka Bergel

Rahul Parsa

Day 3 - Tuesday 22nd

Olivier Le CourtoisDerivate Pricing

Olivier Le CourtoisDerivate Pricing

Lunch

Dave Ingram

Registration

Panamá City Tour

Room Colón

Room Colón Room Contadora 2

Room Taboga 2

Room Taboga 2

RoomGran Salón

Gran Salón

Gran Salón

Lobby

Coffee Break Lobby

Axel Wolfsteinand

Chris CookseyPricing

Axel Wolfsteinand

Chris CookseyPricing

RoomContadora 1

Contadora 1

Room Taboga 2Room Colón

Éric Dal Moro

Ezgi Nevruz LeonardoRojas-Nandayapa

Pierre Miehé

Andrew Cairns

Jonathan Ziveyi

Jorge RosalesContreras

Gran Barú

7:00 - 8:00

8:00 - 9:30

9:30 - 10:30

10:30 - 11:00

11:00 - 12:00

12:00 - 13:00

13:00 - 14:30

14:30 - 19:00

Half Day Panama City Networking Tour including Panama´s old quarter "Casco Antiguo" + the Panama Canal

Miraflores Lock´s visitor center and the Amador Causeway for an amazing view of the city´s skyline.

(optional, $100 per person)

ASTIN session 7.a: AWP - Éric Dal Moro - Risk AdjustmentsAFIR session 7.a: Market risk - Jorge Rosales Contreras - Finite Gaussian

mixtures in market risk assessment

ASTIN session 8.a: Natural hazards, disaster, catastrophe risks and pricing - Ezgi Nevruz - Multivariate stochastic prioritiza-tion of dependent actuarial risks in

agricultural insurance

ASTIN session 8.b: Risk theory - Leonardo Rojas-Nandayapa - Fitting phase-type scale mixtures to

heavy-tailed risks

AFIR session 8.a: Longevity Risk - Andrew Cairns - Modelling Socio-Economic Differences in the Mortality of Danish

Males Using a New Affluence Index

AFIR session 9.a: Longevity Risk - Jonathan Ziveyi - Cohort and Value-Based Multicountry Longevity Risk Management

ASTIN session 9.a: AWP - Pierre Miehé - Reserving Best Practices






SPONSORED BY:

Day 4 - Wednesday 23rd

Supervisory Panel

Registration

Room Contadora 1

Room Contadora 2

Room Taboga 2

Room Taboga 2

RoomGran Salón

RoomGran Salón

RoomGran Salón

Gran Salón

Room Taboga 2

Room Taboga 2

Room Taboga 2

Room Taboga 2

Room Contadora 2

Room Room Contadora 2

Room Room Contadora 2

Room Colón

Room Colón

ASTIN General Assembly AFIR General Assembly

Closing

Louise Francis

Ricardo Tagliafichi

Başak Bulut Karageyik

Miwaka Yamashita

Octavio Rojas

Room Contadora 1

Olivier Le Courtois

Philipp Lechner

Ricardo Tagliafichi

Emanuele Vannucci

Room Colón

Paul Embrechts

Room Colón

Frank Cuypers

Greg Taylor Knut K. Aase

Frank Cuypers

Coffee Break

Lobby

Lobby

Coffee Break Lobby

Gran Salón

Eberhard Müller&

Éric Dal MoroReinsurance

Eberhard Müller Éric Dal MoroReinsurance

Laura Baradel

Wilson Mayorga

Lunch Gran Ancón

Glenn MeyersMCMC

Glenn MeyersMCMC

Gala DinnerKeynote speech: Karel Van Hulle

7:00 - 8:00

8:00 - 9:30

9:30 - 10:30

10:30 - 11:00

11:00 - 12:00

12:00 - 13:00

13:00 - 14:30

14:30 - 15:30

15:30 - 16:30

16:30 - 17:00

17:00 - 18:00

18:00 - 18:30

18:30 - 19:00

20:00 - 24:00

ASTIN session 10.a: AWP - Louise Francis - Data Analytics AFIR session 10.a: ERM - Philipp Lechner - The Drivers and Value of Enterprise Risk Management: Evidence from ERM

Ratings

ASTIN session 11.b: Risk Management - Ricardo Tagliafichi - Do risk manag-ers believe in stress testing

outcomes?

ASTIN session 11.a: Risk theory - Paul Embrechts- Quantil- Based Risk Allocation

ASTIN session 12.a: Machine learning - Frank Cuypers - Neural Networks

Demustified

ASTIN session 12.b: Reinsurance and risk transfer - Başak Bulut Karageyik - Comparative evaluation of multi attribute decision making methods on determination of optimal

reinsurance

AFIR session 12.a: Asset Risk - Octavio Rojas - Defining A Posteriori Distribution Of A Long-Term Rate Structure (A Mixed And Empirical Approach Based

On Fisher’s Formula)

AFIR session 11.a: Asset Risk - Miwaka Yamashita - Empirical Study of Asset Returns by Economic Cycles and Investment

Strategy

ASTIN session 13.b: Longevity, health, critical illness and employment insurance - Laura Baradel - Life tables for work-related

injured or ill people

AFIR session 13.a: Interest Rate and Inflation Risk - Ricardo Tagliafichi - The Interest Term Structure and

Gap Liquidity Risk

ASTIN session 14.a: Copulas: theory and applications - Emanu-ele Vannucci - The distribution function of the sum of dependent risks: a geometric-combinatorial

approach

AFIR session 14.a: Interest Rate and Inflation Risk - Frank Cuypers - Measuring Claims Inflation: an

Argentinean Case Study

ASTIN session 15.a: Copulas: theory and applications - Greg Taylor - Common shock models

for claim arrays

ASTIN session 15.b: Longevi-ty, health, critical illness and employment insurance - Wilson Mayorga - Modeling and pricing high-cost illness

in health insurance

AFIR session 15.a: Bob Alting von Geusau Prize - Knut K. Aase - Life Insurance and Pension Contracts I: The Time

Additive Life Cycle Model

ARE SUPERVISORS BRIDGEBUILDERS?

Gran Ancón

Gran Salón

Room Taboga 2Room Colón






SPONSORED BY:

AFIR session 12.b: Supervi-sion and model risk - Olivier Le Courtois - A SAHARA-CPT Framework for Own Risk and Solvency

Assessments

Day 5 - Thursday 24th

Registration

Room Contadora 1 + 2

Room Contadora 1 + 2

Room Taboga 2

Room Taboga 2

Room Contadora 1 + 2 Room Taboga 2

Room Contadora 1 + 2 Room Taboga 2

Jean LemaireBonus-Malus

Jean LemaireBonus-Malus

Michael SherrisTerm Structures

Michael SherrisTerm Structures

Frank CuypersSolvency

Frank CuypersSolvency

Andrew CairnsLongevity

Andrew CairnsLongevity

9:00 - 9:30

9:30 - 10:30

10:30 - 11:00

11:00 - 13:00

13:00 - 14:30

14:30 - 16:30

16:30 - 17:00

17:00 - 18:00

Lunch Gran Barú

Lobby

Coffee Break Lobby

Coffee Break Lobby






SPONSORED BY:

networking plenary talks parallel talks- astin …...leonardo rojas-nandayapa mark j. cathcart t...

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