Insurance Risk and Finance Research Centre
Insurance Risk and Finance
Research Conference 2014
Thursday, 26th June 2014
Goodwood Park Hotel, Singapore
Programme
| Venue: Goodwood Park Hotel, Singapore |
Click here to access papers. |
Download Presentations and Papers| Time | Presentation | |
| 8:00 | Registration from 8:00 am at 2nd level, Windsor Ballroom | |
| Session 1 Chair: Andreas Milidonis |
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| 8:45 |
Opening RemarksRavi Kumar, Shaw Chair Professor and Dean, Nanyang Business School, Nanyang Technological University |
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| 9:00 - 9:45 | Robust Hedging of Longevity RiskAndrew Cairns, Professor of Financial Mathematics, Heriot-Watt University |
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| 9:45 - 10:30 | Alternative Reinsurance StructuresMorton Lane, President of Lane Financial LLC |
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| 10:30 - 11:00 | ||
| Session 2 Chair: Andreas Milidonis |
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| 11:00 - 11:30 | Does One Size Fit All? Determinants of Insurer Capital Structure Around the GlobeSabine Wende, University of CologneCo-authors: Muhammed Altuntas, University of Cologne; Thomas R. Berry-Stölzle, University of Georgia |
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| 11:30 - 12:00 | Directors' and Officers' Liability Insurance and Corporate Risk-takingJoon Ho Hwang, Korea UniversityCo-author: Byungmo Kim, Dankook University |
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| 12:00 - 12:30 | Managing Capital and Insolvency Risk via Internal Capital Market Transactions: The Case of Life InsurersGreg Niehaus, University of South Carolina |
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| 12:30 - 13:15 | ||
| 13:15 - 14:00 | Luncheon Keynote
The Progress of C-ROSS: the GI StoryJohn Donghui Chen, Chief Actuarial Officer, PICC Property and Casualty Co Ltd |
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Chair: Michael Sherris Venue: Hall 1 |
Chair: Shinichi Kamiya Venue: Hall 2 |
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14:15 – 14:45 |
Life Insurer Longevity Risk Management, Solvency and Shareholder ValueMichael Sherris, CEPAR, University of New South WalesCo-authors: Craig Blackburn, CEPAR, University of New South Wales; Katja Hanewald, CEPAR, University of New South Wales; Annamaria Olivieri, University of Parma |
Catastrophes and Development of Non-life Insurance Market: A Cross-Country AnalysisShinichi Kamiya, Nanyang Technological University |
14:45 – 15:15 |
Multi-Population Mortality Models: A Factor Copula ApproachHua Chen, Temple UniversityCo-authors: Richard D. MacMinn, Illinois State University; Tao Sun, Temple University |
Optimum Mix across Financial and Reinsurance Markets: the Case of Catastrophe bondsJack S K Chang, California State UniversityCo-authors: Carolyn W. Chang, California State University; Min-Teh Yu, National Chiao Tung University |
15:15 – 15:45 |
Bilateral Intergenerational Moral Hazard: Empirical Evidence from ChinaXian Xu, Fudan UniversityCo-author: Peter Zweifel, University of Zurich |
Actuarial Geometry: Volumetric and Temporal Diversification of Insurance RiskStephen J. Mildenhall, Aon Analytics and Innovation Center |
| 15:45 - 16:15 | ||
Chair: Johnny Li Venue: Hall 1 |
Chair: Rachel Huang Venue: Hall 2 |
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16:15 – 16:45 |
A Step-by-Step Guide to Building Two-Population Stochastic, Mortality ModelsJohnny Siu-Hang Li, University of WaterlooCo-Authors: Rui Zhou, University of Manitoba; Mary Hardy, University of Waterloo |
Risk Benchmark Study, Non-life Insurance in China and IndiaEvan Leite, Risk Analyst, Risk Lighthouse LLCCo-authors: Yisi Lu Risk, Lighthouse LLC; Zhou Terry Fang , Risk Lighthouse LLC |
16:45 – 17:15 |
Closed-form Solutions for Guaranteed Minimum Accumulation BenefitsMikhail Krayzler, Technische Universität MünchenCo-authors: Rudi Zagst, Technische Universität München; Bernhard Brunner, risklab |
Generalized Almost Stochastic DominanceRachel J. Huang, National Taiwan University of Science and TechnologyCo-authors: Ilia Tsetlin;Larry Y. Tzeng; Robert L. Winkler |
17:15 – 17:45 |
A Bayesian Pricing of Longevity Derivatives with Mortality and Interest Rate RisksAtsuyuki Kogure, Keio UniversityCo-author: Takahiro Fushimi, Keio University |
Loss Reserves and the Role of the Actuary: Independent or In-House?Jiang Cheng, Shanghai University of Finance and EconomicsCo-authors: Mary A. Weiss, Temple University; Tzuting Lin, National Taiwan University |
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