Conference program

Wednesday 1/09	20h30 - 22h00	Welcome & Registration   (in the foyer of the "Provatari" building)
Thursday 2/09	08h30 - 11h40	Session 1: Extremes and Large Deviations in Actuarial Science
	15h30 - 19h00	Session 2: Non-life Insurance
	19h00 - 20h00	Meeting of the Organizing Committee
Friday 3/09	08h30 - 11h20	Session 3: Advances in Incomplete Markets
	12h00 - 13h00	Poster session
Saturday 4/09	08h30 - 12h00	Session 4: Modelling Dependence in Actuarial Science
	12h30 - 13h30	Open Meeting of the Scientific Committee
	15h30 - 18h40	Session 5: Risk and Control
	20h00	Gala dinner
Sunday 5/09	08h30 - 12h00	Session 6: Life, Pension and Health Insurance
	12h40 - 13h30	Closing ceremony

Session 1: Extremes and Large Deviations in Actuarial Science Chairman H. Drees
	08h30 - 09h10	C. Klüppelberg Subexponential Risk Models: Old Ideas and New Insight
	09h10 - 09h30	D. Konstantinides, T. Mikosch Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-tailed Innovations
	09h30 - 09h50	J. F. Collamore Small-time Ruin Estimates for a Financial Process Modulated by a Harris Recurrent Markov Chain
	09h50 - 10h10	A. Charpentier Extremes and Dependence, a Copula Approach
	10h10 - 10h40	Break
	10h40 - 11h00	F. Bonifacio An Automatic Method for Detection of Extreme Values: Rules and Applications
	11h00 - 11h20	E. Delafosse, J. Beirlant, A. Guillou Estimation of the Extreme Value Index and High Quantiles under Random Censoring
	11h20 - 11h40	T. Pereira On Modelling US Dollar/Pound Sterling Exchange Rate: Stochastic Volatility and Extreme Values

Session 2: Non-life Insurance Chairman R. Verrall
	15h30 - 16h10	R. Nelsen Copulas: An Introduction to their Properties and Applications
	16h10 - 16h30	J. S. K. Chan, S. T. B. Choy, U. E. Makov The Growing Triagle Techniques for Choosing a Method of Loss Reserves
	16h30 - 16h50	P. de Jong Forecasting General Insurance Liabilities
	16h50 - 17h10	A. L. Pretorius, A. J. van der Merwe A Non-parametric Dirichlet Process Prior Specified for Premiums Based on Automobile Insurance Data
	17h10 - 17h40	Break
	17h40 - 18h00	A. Makroglou Numerical Solution of Some Second Order Integro-differential Equations Arising in Ruin Theory
	18h00 - 18h20	D. G. Konstantinides, S. G. Meintanis Goodness-of-fit Tests for the Generalized Pareto Distribution Based on Transforms
	18h20 - 18h40	G. Pitselis, M. Maragou Investigating Insurance Insolvency and Fraud
	18h40 - 19h00	E. Bronstein Insurance Premiums and Demand Function

Session 3: Advances in Incomplete Markets Chairman Th. Zariphopoulou
	08h30 - 09h10	W. Schachermayer A Note on Arbitrage and Closed Convex Cones
	09h10 - 09h30	T. Hoedemakers, G. Darkiewicz, J. Dhaene, M. Goovaerts Life Annuities with Stochastic Interest Rates
	09h30 - 09h50	L. Ballotta Alternative Fair Valuation Models for Options Embedded in Life Insurance Contracts
	09h50 - 10h10	E. Biffis, P. Millossovich The fair value of the Guarranteed Annuity Options
	10h10 - 10h40	Break
	10h40 - 11h00	C. A. Valle, H. S. Migon Bayesian Modelling of Time-varying Variances: a Survey with Applications to the Brazilian Market
	11h00 - 11h20	W. Szatzschneider Comments about CIR Model

Session 4: Modelling Dependence in Actuarial Science Chairman C. Klüppelberg
	08h30 - 09h10	H. Drees Dependence Between Extreme Losses
	09h10 - 09h30	M. J. Goovaerts, R. Kaas, R. J. A. Laeven, Q. Tang A Comonotonic Image of Independence for Additive Risk Measures
	09h30 - 09h50	N. Bäuerle, A. Müller Stochastic Orders and Risk Measures: Consistiency and Bounds
	09h50 - 10h10	J. Einmahl, J. Segers, B. Werker Efficient Estimation within Parametric Copula Models when Margins are Unknown
	10h10 - 10h40	Break
	10h40- 11h00	A. Tsanakas, Z. Landsman Elliptical Distributions and Stochastic Orders
	11h00 - 11h20	E. A. Valdez The Iterated Tail Conditional Expectation for the Log-Elliptical Loss Process
	11h20 - 11h40	T. Cacoullos Premiums for Partial Coverage Insurance Policies Against Correlated Claims
	11h40 - 12h00	R. J. A. Laeven, M. J. Goovaerts, T. Hoedemakers Some Asymptotic Results for Sums of Dependent Random Variables with Actuarial Applications

Session 5: Risk and Control Chairman S. Asmussen
	15h30 - 16h10	R. Korn Optimal Portfolios: New Variations of an Old Theme
	16h10 - 16h30	Yu. Krvavych, M. Sherris Enhancing Insurer Value through Reinsurance Optimization
	16h30 - 16h50	P. Azcue, N. Muler Optimal Reinsurance and Dividend Distribution in a Compound-Poisson Process: Viscosity Solutions and Numerical Methods
	16h50 - 17h10	N. E. Frangos, S. D. Vrontos, A. N. Yannacopoulos Insurance Control for a simple model with Liabilities of the Fractional Brownian Motion Type
	17h10 - 17h40	Break
	17h40 - 18h00	D. Silvestrov, A. Malyarernko, E. Silvestrova Stochastic Modelling of Insurance Business with Dynamical Control of Investments
	18h00 - 18h20	M. Morales Risk Theory with the Generalized Inverse Gaussian Levy Process
	18h20 - 18h40	P. Volf On Intensity Model and Outlier Detection for Compound Point Process

Session 6: Life, Pension and Health Insurance Chairman H. Gerber
	08h30 - 09h10	M. Steffensen Differential Systems in Finance and Life Insurance
	09h10 - 09h30	P. H. Nielsen Optimal Bonus and Portfolio Strategies in Participating Life Insurance in a Stochastic Environment
	09h30 - 09h50	A. R. Bacinello Modelling the Surrender Conditions in Equity-linked Life Insurance
	09h50 - 10h10	E. Biffis, P. Millossovich A Bidimensional Approach to Mortality Risk
	10h10 - 10h40	Break
	10h40 - 11h00	E. Bremze, V. Gribkova, A. Matvejevs Defined Contribution Pension Plan Modelling with "SIMULINK"
	11h00 - 11h20	C. R. Neves, H. S. Migon Mortality Rates Bayesian Graduation
	11h20 - 11h40	M. Economou, S. Haberman Pension Funding, allowing for the Pension Accrual Density Function
	11h40- 12h00	S. Vanduffel, J. Dhaene, M. Goovaerts On the Evaluation of "Saving-consuming" Plans

Poster session
U. dos Anjos, N. Kolev Copulas with Given Multivariate Marginals N. G. Berketis Marine Insurance Market C. Constantinescu, E. Thomann Decay of the Probability of Ruin Under Uncertain Investments J. Gáll Statistical Questions in A Random Field Based Forward Interest Rate Model R. Gerrard, S. Haberman, E. Vigna The Management of De-cumulation Risks in a Defined Contribution Environment D. A. S. S. Khalil Dynamic Pension Funding Models D. Lazar On Forecasting Mortality Using the Lee-Carter Model T. Papaioannou, A. Sachlas Graduation of Mortality Rates Revisited D. Lazar Pricing Inflation-indexed Life Annuities Using Stochastic Model for Inflation K. Stamokostas, D. Vasiliou Statistical Techniques for Parameters Estimation that Involved in Individual-Based Pricing of Credit Card Holders A. Tsanakas Portfolio-relative Distortion Risk Measures G. Darkiewicz, T. Hoedemakers, A. Ahcan, J. Dhaene, M. Goovaerts Multi-Period Portfolio Selection for Stochastic Liabilities

Samos 2004

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