AXA Group

WORKSHOP : EVALUATING AND COVERING EXTREME RISKS Paris, June 10th, 2008 Universit´e Paris-Dauphine

• Workshop Program (78 Ko)
• Guillaume Gorge - AXA GRM- Modelling of extreme risks at the light of Solvency II (696 Ko)
• Stéphane Loisel -ISFA, Université Lyon 1- Joint work with Romain Biard (ISFA) and Claude Lefèvre (ULB)- "Asymptotics of finite-time ruin probabilities with stochastic correlation between heavy-tailed claim amounts" (510 Ko)
• Jan Beirlant -Dept Mathematics and Leuven Statistics Research Centre, KU Leuven-"Recent Developments in (univariate) EVT and Insurance Applications" (431 Ko)
• Hansjorg Albrecher -Radon Institute, Austrian Academy of Sciences and University of Linz, Austria-" Mathematical Modeling of Reinsurance" (293 Ko)
• Christian Y. Robert - ENSAE - " "Evaluation and Covering of Extreme Risks" (517 Ko)
• Christian HESS - SDFi & Université de Paris Dauphine- "Largest claims reinsurance: the cedent's point of view" (174 Ko)
• Arthur Charpentier CREM-Universite Rennes 1 - joint work with Johan Segers, UCLN -"Tails of Archimedean Copulas tail dependence in risk management " (5034 Ko)
• Daniel Pierre-Loti-Viaud - UNIVERSITE PIERRE ET MARIE CURIE- "Ruin probability and mean excess loss at ruin" (88 Ko)

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Session 4: mortality linked securities

• Stéphane Loisel's presentation (670 Ko)
• Alfred Galichon's presentation (13 Ko)
• Daniel Bauer's presentation (271 Ko)
• Mikkel Dahl's presentation (966 Ko)
• "Risk and Valuation of Mortality Contingent Catastrophe Bonds", by Daniel Bauer (Georgia State University, USA) and Florian W. Kramer (Ulm university, Germany) (428 Ko)
• "In the core of longevity risk: dependence in stochastic mortality models and cut-offs in prices of longevity swaps", by Stéphane Loisel (ISFA, Lyon) and Daniel Serant (ISFA, Lyon) (814 Ko)

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Panel session: the development of a liquid market in traded mortality and longevity

• Jean-Christophe Menioux's presentation (120 Ko)
• Dominic Carpenter's presentation (65 Ko)
• Darryl Stewart's presentation (284 Ko)
• Philippe Trainar's presentation (135 Ko) (135 Ko)

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Session 3: stochastic mortality

• Jean-Paul Laurent's presentation (67 Ko)
• Andrew Cairns' presentation ( Ko)
• Christian Robert's presentation (283 Ko)
• Elena Vigna's presentation (454 Ko)
• "Stochastic mortality models: criteria for assessing and comparing models", by Andrew Cairns (Heriot-Watt University and the Maxwell Institute, Edinburgh) David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, Alen Ong, and Igor Balevich (1169 Ko)
• "Modelling stochastic mortality for dependent lives", by Elisa Luciano (University of Turin, Icer and Collegio Carlo Alberto, Turin), Jaap Spreeuw (Cass Business School, London) and Elena Vigna (University of Turin) (759 Ko)

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Session 2: prospective mortality tables

• Fulvio Pegoraro's presentation (51 Ko)
• Christian Gourieroux's presentation (583 Ko)
• Michel Denuit's presentation (1365 Ko)
• "Life annuities, projected life tables, and exchangeability: An actuarial analysis in the Lee-Carter model", by Michel Denuit (Catholic University of Louvain) (266 Ko)
• "Quadratic stochastic intensity and prospective mortality tables", by Christian Gourieroux (University of Toronto, CREST) and Alain Monfort (CNAM and CREST) (811 Ko)

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Program

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Session 1: smoothing of mortality tables

• Jean Pinquet's presentation 1095
• Iain Currie's presentation (1061 Ko)
• Lucie Taleyson & Virginie Vasseur's presentation (204 Ko)
• "Smooth models of mortality with period shocks", by James Kirkby (Heriot-Watt University, Edinburgh) and Iain Currie (Heriot-Watt University, Edinburgh) (376 Ko)

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Program

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Session 1: smoothing of mortality tables

• Jean Pinquet's presentation 1095
• Iain Currie's presentation (1061 Ko)
• Lucie Taleyson & Virginie Vasseur's presentation (204 Ko)
• "Smooth models of mortality with period shocks", by James Kirkby (Heriot-Watt University, Edinburgh) and Iain Currie (Heriot-Watt University, Edinburgh) (376 Ko)

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Session 2: prospective mortality tables

• Fulvio Pegoraro's presentation (51 Ko)
• Christian Gourieroux's presentation (583 Ko)
• Michel Denuit's presentation (1365 Ko)
• "Life annuities, projected life tables, and exchangeability: An actuarial analysis in the Lee-Carter model", by Michel Denuit (Catholic University of Louvain) (266 Ko)
• "Quadratic stochastic intensity and prospective mortality tables", by Christian Gourieroux (University of Toronto, CREST) and Alain Monfort (CNAM and CREST) (811 Ko)

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Session 3: stochastic mortality

• Jean-Paul Laurent's presentation (67 Ko)
• Andrew Cairns' presentation ( Ko)
• Christian Robert's presentation (283 Ko)
• Elena Vigna's presentation (454 Ko)
• "Stochastic mortality models: criteria for assessing and comparing models", by Andrew Cairns (Heriot-Watt University and the Maxwell Institute, Edinburgh) David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, Alen Ong, and Igor Balevich (1169 Ko)
• "Modelling stochastic mortality for dependent lives", by Elisa Luciano (University of Turin, Icer and Collegio Carlo Alberto, Turin), Jaap Spreeuw (Cass Business School, London) and Elena Vigna (University of Turin) (759 Ko)

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Panel session: the development of a liquid market in traded mortality and longevity

• Jean-Christophe Menioux's presentation (120 Ko)
• Dominic Carpenter's presentation (65 Ko)
• Darryl Stewart's presentation (284 Ko)
• Philippe Trainar's presentation (135 Ko) (135 Ko)

Conference on Longevity "Insurance and Majors Risks' Chair - Ecole Polytechnique/ENSAE"- Session 4: mortality linked securities

• Stéphane Loisel's presentation (670 Ko)
• Alfred Galichon's presentation (13 Ko)
• Daniel Bauer's presentation (271 Ko)
• Mikkel Dahl's presentation (966 Ko)
• "Risk and Valuation of Mortality Contingent Catastrophe Bonds", by Daniel Bauer (Georgia State University, USA) and Florian W. Kramer (Ulm university, Germany) (428 Ko)
• "In the core of longevity risk: dependence in stochastic mortality models and cut-offs in prices of longevity swaps", by Stéphane Loisel (ISFA, Lyon) and Daniel Serant (ISFA, Lyon) (814 Ko)