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