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8:30 am Short Course: Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp. @ Aula Máxima de Derecho. Claustro de San Agustín.
Short Course: Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp. @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 15 @ 8:30 am – 10:30 am
Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp (Karlsruher Institute of Technology, Karlsruhe, Germany) We give examples for stochastic control problems in insurance: optimal reinsurance (unlimited...
11:00 am Short Course: Using Bayesian MCMC Models for Stochastic Loss Reserving. Glenn Meyers. ISO Innovative Analytics @ Aula Máxima de Derecho. Claustro de San Agustín.
Short Course: Using Bayesian MCMC Models for Stochastic Loss Reserving. Glenn Meyers. ISO Innovative Analytics @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 15 @ 11:00 am – 1:00 pm
Short Course: Using Bayesian MCMC Models for Stochastic Loss Reserving. Glenn Meyers. ISO Innovative Analytics. The course will open with an explanation of Bayesian MCMC models and the software used to implement these models. It...
2:30 pm Plenary talk: To Borrow or Insure? Long Term Care Costs and the Impact of Housing. Michael Sherris. (CEPAR, UNSW Business School) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary talk: To Borrow or Insure? Long Term Care Costs and the Impact of Housing. Michael Sherris. (CEPAR, UNSW Business School) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 15 @ 2:30 pm – 3:30 pm
To Borrow or Insure? Long Term Care Costs and the Impact of Housing. Michael Sherris. (CEPAR, UNSW Business School) Long term care costs are significant to individuals who survive to older ages. Many individuals own...
5:00 pm Invited Session–José Garrido* @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Invited Session–José Garrido* @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Jun 15 @ 5:00 pm – 6:30 pm
5:00pm–5:30pm: Correlations between insurance lines of business: An illusion or a real phenomenon? Some methodological considerations Greg Taylor*, UNSW Australia; Bernard Wong, UNSW Australia; Benjamin Avanzi, UNSW Australia This paper is concerned with dependency between...
8:00 am Short Course: Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp. @ Aula Máxima de Derecho. Claustro de San Agustín.
Short Course: Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp. @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 16 @ 8:00 am – 10:00 am
Stochastic control for insurers; what can we learn from finance, and what are the differences?. Christian Hipp (Karlsruher Institute of Technology, Karlsruhe, Germany) We give examples for stochastic control problems in insurance: optimal reinsurance (unlimited...
10:30 am Short Course: Using Bayesian MCMC Models for Stochastic Loss Reserving. Glenn Meyers. ISO Innovative Analytics @ Aula Máxima de Derecho. Claustro de San Agustín.
Short Course: Using Bayesian MCMC Models for Stochastic Loss Reserving. Glenn Meyers. ISO Innovative Analytics @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 16 @ 10:30 am – 12:30 pm
Short Course: Using Bayesian MCMC Models for Stochastic Loss Reserving. Glenn Meyers. ISO Innovative Analytics. The course will open with an explanation of Bayesian MCMC models and the software used to implement these models. It...
2:00 pm Plenary Talk: Mitigating Extreme Risks Through Securitization. Qihe Tang. University of Iowa, USA @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary Talk: Mitigating Extreme Risks Through Securitization. Qihe Tang. University of Iowa, USA @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 16 @ 2:00 pm – 3:00 pm
Mitigating Extreme Risks Through Securitization Qihe Tang. University of Iowa, USA Recent decades have seen an unprecedented surge in the frequency and severity of catastrophes, be they natural (such as earthquakes, floods, droughts, hurricanes, tsunamis,...
3:00 pm Plenary Talk: Stochastic control for insurance: new problems and methods. Christian Hipp (Karlsruher Institute of Technology, Karlsruhe, Germany) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary Talk: Stochastic control for insurance: new problems and methods. Christian Hipp (Karlsruher Institute of Technology, Karlsruhe, Germany) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 16 @ 3:00 pm – 4:00 pm
Plenary Talk: Stochastic control for insurance: new problems and methods. Christian Hipp (Karlsruher Institute of Technology, Karlsruhe, Germany) Stochastic control for insurance is concerned with problems in insurance models (jump processes) and for insurance applications...
4:30 pm Poster Session @ Sala de Exposiciones. Piso 1. Casa Museo Arte y Cultura la Presentación.
Poster Session @ Sala de Exposiciones. Piso 1. Casa Museo Arte y Cultura la Presentación.
Jun 16 @ 4:30 pm – 5:30 pm
Poster Session Short Term American Path Dependent Option Pricing in the USDCOP Market: Central Bank’s Volatility Control Option Case Santiago Stozitzky*, Bancolombia A stochastic approach to pricing financial instruments for the Caribbean markets Stephen Barnes*,...
5:30 pm Contributed Talks 3: Academic–Actuarial Science–Property-Casualty, General Insurance, Non-Life**.
Contributed Talks 3: Academic–Actuarial Science–Property-Casualty, General Insurance, Non-Life**.
Jun 16 @ 5:30 pm – 7:00 pm
5:30pm–6:00pm Classical Reserving – Double Chain Ladder and its Extensions Carolin Margraf*, Cass Business School, London; Jens Nielsen, Cass Business School, London; Maria Martinez Miranda, University of Granada, Spain; Munir Hiabu, Cass Business School, London...
9:00 am Plenary talk: Aggressive Backtesting of Stochastic Loss Reserve Models – Where It Leads Us. Glenn Meyers, ISO Innovative Analytics, New York USA. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary talk: Aggressive Backtesting of Stochastic Loss Reserve Models – Where It Leads Us. Glenn Meyers, ISO Innovative Analytics, New York USA. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 17 @ 9:00 am – 10:00 am
Aggressive Backtesting of Stochastic Loss Reserve Models – Where It Leads Us Glenn Meyers ISO Innovative Analytics, New York USA. In 2012 the was posted on the Casualty Actuarial Society website. This database includes several...
10:30 am Contributed talks 6: Practitioner–Actuarial Science** & Academic–Actuarial Science–Education** (English, Spanish) @ Aula Máxima de Derecho. Claustro de San Agustín.
Contributed talks 6: Practitioner–Actuarial Science** & Academic–Actuarial Science–Education** (English, Spanish) @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 17 @ 10:30 am – 12:00 pm
10:30am–11:00am: Value-at-Risk Estimation of Aggregated Risks Using Marginal Laws and Some Dependence Information ANDRES CUBEROS ACEVEDO*, SCOR; Esterina Masiello, Univ Lyon, Institut Camille Jordan,; Veronique Maume-Deschamps, Univ Lyon, Institut Camille Jordan, Estimating the Value-at-Risk of...
8:00 am Contributed Talks 7: Academic–Actuarial Science–Life, Pensions, and Other** @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Contributed Talks 7: Academic–Actuarial Science–Life, Pensions, and Other** @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Jun 18 @ 8:00 am – 9:30 am
8:00am–8:30am: On Reinsurance by Capital Injections in a Brownian perturbed Risk Model Zied Ben Salah*, American University in Cairo; Jose Garrido, Concordia University In this paper we consider a risk model where the deficits after...
10:30 am Contributed Talks 9: Academic–Actuarial Science–Life** @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Contributed Talks 9: Academic–Actuarial Science–Life** @ Auditorio Piso 2. Casa Museo Arte y Cultura la Presentación.
Jun 18 @ 10:30 am – 12:30 pm
10:30am–11:00m Policy Characteristics and Stakeholder Returns in Participating Life Insurance: Which Contracts Can Lead to a Win-Win? Charbel Mirza*, University of Lausanne; Joël Wagner, University of Lausanne Participating life insurance contracts and pension plans often...
2:00 pm Plenary Talk: Self-exciting process in Finance and Insurance for credit risk and longevity risk modelling in heterogenous portfolios. Nicole El Karoui, LPMA-UPMC. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary Talk: Self-exciting process in Finance and Insurance for credit risk and longevity risk modelling in heterogenous portfolios. Nicole El Karoui, LPMA-UPMC. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 2:00 pm – 3:00 pm
Self-exciting process in Finance and Insurance for credit risk and longevity risk modelling in heterogenous portfolios. Nicole El Karoui, LPMA-UPMC. Recent regulatory evolution in credit risk management suggests to consider the credit risk of an...
4:30 pm Invited Session–Greg Taylor* @ Aula Máxima de Derecho. Claustro de San Agustín.
Invited Session–Greg Taylor* @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 18 @ 4:30 pm – 6:30 pm
4:30pm–5:00pm: Asymptotic theory for over-dispersed chain-ladder models Jonas Harnau*, University of Oxford; Bent Nielsen, University of Oxford The chain-ladder technique is ubiquitous in non-life insurance claim reserving. In a Poisson model, the chain-ladder technique is...