Conference Program - 12th Conference in Actuarial Science & Finance on Samos

12th Conference in Actuarial Science & Finance on Samos

The Department of Statistics and Actuarial – Financial Mathematics of the University of the Aegean is pleased to host the 12th Conference in Actuarial Science & Finance on Samos

You can download the full pdf of the conference program here.

*Session 1:* Stochastic Models in Non-Life Insurance (Chair, Hansjoerg Albrecher).

Time	Subject
08:30 – 09:10	*Invited Lecture:* Julia Eisenberg Ornstein-Uhlenbeck Process in Non-life Insurance: The Beauty and the Beast
09:10 – 09:30	S. C. Vanegas Andrei L. Badescu, X. S. Lin Claim Reserving via Inverse Probability Weighting. A Micro-Level Chain-Ladder Method
09:30 – 09:50	G. Tzougas, D. Makariou The Multivariate Poisson-Generalized Inverse Gaussian Claim Count Regression Model with Varying Dispersion and Shape Parameters
09:50 – 10:10	*D. G. Konstantinides*, C. D. Passalidis, N. E. Porichis Closure properties in positively decreasing and related distributions under dependence
10:10 – 11:00	Break
11:00 – 11:20	M. A. Lkabous, Z. Wang, M. Yang On the Range Process of a Levy Risk Process with Fair Valuation of Insurance Contract
11:20 – 11:40	S. Asmussen Matrix representations of Wiener-Hopf Factorizations for Levy Processes
11:40 – 12:00	S. Tzaninis, A. Bozikas A recursive algorithm for the computation of some mixed compound distributions
12:00 – 12:20	L. Kanellopoulos Some approximation results for ruin probabilities in the classical risk model
12:20 – 12:40	H. Albrecher, P. Azcue, N. Muler Optimal dividend strategies for a catastrophe insurer

Session 2: Financial Theory and Practice (Chair, Jan Obłój).

Time	Subject
08:30 – 09:10	*Invited Lecture:* Carole Bernard (together with G. Junike, T. Lux and S. Vanduffel) Cost-efficiency under Model Ambiguity
09:10 – 09:30	B. Dong, W. Xu Joint Implied Willow Tree: an approach for joint S and P 500/VIX Calibration
09:30 – 09:50	M. Bladt Phase-type modelling of stochastic interest rates
09:50 – 10:10	S. Desmettre, S. Hochgerner A Mean-Field Extension of the LIBOR Market Model for the Valuation of Long-Term Guarantees
10:10 – 11:00	Break
11:00 – 11:20	M. Augustyaniak, Alexandru Badescu, J. F. Begin, S. K. Jayaraman On the relation between discrete and continuous-time affine option pricing models
11:20 – 11:40	M. Augustyniak, A. Badescu, J. F. Begin A Discrete-Time Hedging Framework for Econometric Option Pricing Models
11:40 – 12:00	M. Kelner, Z. Landsman, E. Makov A New Approach for Generating Archimedean Copulas
12:00 – 12:20	D. G, Konstantinides, C. D. Passalidis Closure properties and heavy tails: random vectors in the presence of dependence
12:20 – 12:40	M. V. Boutsikas, D. J. Economides Perpetual American Options in a jump-diffusion model with random inspection
12:40 – 13:00	P. Gapeev, G Peskir Perpetual American Options in Two-Dimensional Diffusion Model
13:10 – 13:40	Meeting of the Organizing Committee

Session 3: Actuarial and Financial Data Analytics (Chair, Jose Blanchet).

Time	Subject
08:30 – 09:10	Invited Lecture :Emmanuel Gobet, (together with M. Allouche, C. Lage, E. Mangin) Structured dictionary learning of rating migration matrices for credit risk modeling
09:10 – 09:30	L. Markus, D. Boros Deep Learning the Parameters of Fractional Processes and Assessing Their Accuracy
09:30 – 09:50	M. E. Hiabu, J. Meyer, E. Mammen Random Planted Forest
09:50 – 10:10	M. Denuit, J. Huyghe, J. Trufin, T. Verdbout Testing for auto-calibration with Lorenz and concentration curves
10:10 – 11:00	Break
11:00 – 11:20	A. Riis-Due, D. Landriault, B. Li Reinforcement Learning Approaches to the Problem of Actuarial Credibility
11:20 – 11:40	J. S. K. Chan, S. T. B. Choy, E. Makov, A. Shamir, V. Shapovalov Enhanced Variable Selection Algorithm for Handling Overdispersion in Claims Frequency Modeling with Mixture of Poisson Regression Using Telematics Car Driving Data
11:40 – 12:00	A. Janssen, S. Neblung, S. Stoev Metric embeddings of tail correlation matrices
12:00 – 12:20	K. Buchardt, C. Furrer, O. L. Sandqvist Likelihood-based estimation for multistate models subject to IBNR- and RBNS-effects
12:20 – 12:40	L. Hong, H. Yang A new machine learning approach to detecting insurance fraud
12:40 – 13:00	M. Anthropelos, R. Feng, S. Kim On the Expansion of Risk Pooling
13:15 – 20:00	Excursion to Samos Island

Session 4: Life, Health, and Pension Insurance (Chair, Mogens Steffensen).

Time	Subject
08:30 – 09:10	*Invited Lecture:* Torsten Kleinow Mortality Scenarios based on Cause-of-Death Modelling
09:10 – 09:30	X. Yu, Y. Shen, J. Ziveyi, K. Park, M. Sherris Modelling Joint Life Functional Disability and Mortality and Joint Insurance Pricing
09:30 – 09:50	M. Bladt, B. F. Nielsen, P. F. H. Olsen Matrix representation for prices of life-contingent derivatives
09:50 – 10:10	Y. Shen, M. Sherris, Y. Wang, J. Ziveyi The valuation and assessment of retirement income products: A unified Markov Chain Monte Carlo framework
10:10 – 11:00	Break
11:00 – 11:20	P. C. Hornung, M. Steffensen Investigating trade-offs in the design of smooth pension products
11:20 – 11:40	A. G. Balter, M. Kallestrup-Lamb, M. D. Plovst Systematic longevity risk: The willingness to pay
11:40 – 12:00	K. Park, M. Sherris Design and Pricing of Private Long-term Care Insurance: An Australian Analysis
12:00 – 12:20	J. A. Landono, J. B. Soe Optimal consumption, investment, and life insurance including state dependence by risk-adjusted utility
12:20 – 12:40	W. Li, T. Moenig, M. Augustyniak Basis Risk in Variable Annuity Separate Accounts
12:40 – 13:00	J. P. Dehn-Toftehoj, D. Kusch-Falden, M. Steffensen Calibration of risk aversion to real pension asset allocation
13:10 – 13:40	Open Meeting of the Scientific Committee

Session 5: Emerging risks: Climate, Cyber, Pandemics (Chair, Holger Drees).

Time	Subject
08:30 – 09:10	*Invited Lecture:* Caroline Hillairet (together with A. Reveillac, M. Rosenbaum, T. Peyrat) Actuarial modeling for the systemic component of Cyber-risk
09:10 – 09:30	C. Siggelkow, M. Scherer Enhancing SME Factoring: A Stackelberg Game-Based Hybrid Pricing Model
09:30 – 09:50	M. Ayguen, F. Bellini, R. J. A. Laeven On geometrically convex risk measures
09:50 – 10:10	J. Alonso-Garcia, L. P. D. M. Garces, J. Ziveyi Variables annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation
10:10 – 11:00	Break
11:00 – 11:20	T. W. Ng, T. Nguyen Individual Survivor Fund Account: The Impact of Bequest Motive on Tontine Participation
11:20 – 11:40	L. Yang, P. Shi, S. Huang A Copula Model for Market Point Process with A Terminal Event: An Application in Dynamic Prediction of Insurance Claims
11:40 – 12:00	G. Pitselis Some New Developments in the Credible Distribution Estimation
12:00 – 12:20	E. A. Valdez Enhancing Business Insurance Loss Models through InsurTech Innovations
12:20 – 12:40	H. Drees Statistical Inference on a Changing Extreme Value Dependence

20:30 – 23:00	Gala dinner in restaurant «Kritamo» at the Karlovassi Port.

Session 6: Risk Management (Chair, Zinovyi Landsman).

Time	Subject
08:30 – 09:10	*Invited Lecture:* Jie Yen Fan Implied Volatility, Option Models and mimicking
09:10 – 09:30	V. Asimit, A. Badescu, C. Ziwei, B. Ichim, L. Peng, R. Tunary, F. Zhou Estimation and Risk Modelling under Parity Principles
09:30 – 09:50	F. Yang, Chen Zhou Systemic Risk Shift
09:50 – 10:10	A. Dias, J. Han, A. J. McNeil On the Distribution of VAR Exceedances in a Vt-s-vine Model
10:20 – 11:00	Closing Ceremony