Issue Special Issue 2/2011
Selected papers presented during the 19th IAA AFIR Colloquium in Munich, Germany, 2009
Content (17 Articles)
Programme
IAA AFIR Colloquium 9–11 September 2009
Original Research Paper
A user-friendly approach to stochastic mortality modelling
Helena Aro, Teemu Pennanen
Original Research Paper
An integrated Cost of Risk model and its application to company valuation
Alexander Baier
Original Research Paper
Solvency requirements for Swiss pension funds and how to ensure the guarantee of benefit payments at any time
Ljudmila Bertschi, Julien Roueche, Nathalie Munaretto
Original Research Paper
How can defined contribution pension plans benefit from momentum and mean reversion?
Mabrouk Chetouane
Original Research Paper
Mixed dynamic and static risk-minimization with an application to survivor swaps
Mikkel Dahl, Sverkel Glar, Thomas Møller
Original Research Paper
Comparison of market models for measuring and hedging synthetic CDO tranche spread risks
Jack Jie Ding, Michael Sherris
Original Research Paper
Optimisation of limit systems for investment risks in accordance with Solvency II
Alexander Dotterweich, Stefan Köstner
Original Research Paper
Risk–reward optimisation for long-run investors: an empirical analysis
Manfred Gilli, Enrico Schumann
Original Research Paper
Cash-flow based valuation of pension liabilities
Petri Hilli, Matti Koivu, Teemu Pennanen
Original Research Paper
Optimal construction of a fund of funds
Petri Hilli, Matti Koivu, Teemu Pennanen
Original Research Paper
Asset allocation for a DC pension fund under regime switching environment
Ralf Korn, Tak Kuen Siu, Aihua Zhang
Original Research Paper
Mean–variance efficient strategies in proportional reinsurance under group correlation in a gaussian framework
Flavio Pressacco, Paolo Serafini, Laura Ziani