European Actuarial Journal

Preface

Ralf Korn

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

On the pricing of inflation-indexed caps

Susanne Kruse

Select birth cohorts

Richard MacMinn, Frederik Weber

Economic values of contribution cashflows for a sponsoring employer of a DB pension plan and measures to bring the economic costs under control within an affordable range

Shimizu Nobuhiro

Mean–variance efficient strategies in proportional reinsurance under group correlation in a gaussian framework

Flavio Pressacco, Paolo Serafini, Laura Ziani