Schedule

(Tentative to change)

The various days of the virtual colloquia will coincide with certain time zones to enable delegates in North and South America, Europe and Africa, and East Asia and Australia to participate at times more convenient for them.

Session abstracts and speakers

Day One (June 21)

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ASTIN Presentation Titles

  • A new framework of prediction error decomposition for the machine learning era
  • Estimating the effect on payment due to COVID-19 by machine learning method using causal inference
  • Stochastic Ensemble Loss Reserving
  • Stochastic Loss Reserving with a Special Bi-directional Neural Network Algorithm
  • Anti-discrimination Insurance Pricing: Regulations, Fairness Criteria, and Models
  • Capital market effects of full fair value insurance accounting
  • Multivariate matrix-exponential affine mixtures and their applications in risk theory
  • Deep Composite Regression
  • Estimation of the mean square error of a product of random variables
  • Modelling Insurers Cyber Risk by Hybrid Methodology – Scenario Analysis and LDA
  • The Skewness of Bornhuetter-Ferguson
  • Thinning of loss counts and the Mixed Contagion model
  • GemAct: a comprehensive actuarial package for non-life (re)insurance
  • One-year and ultimate reserve risk in Mack Chain Ladder model
  • Social inclusion in the world of modern predictive analytics
  • Stable Dividends are Optimal under Linear-Quadratic Optimization

AFIR/ERM Presentation Titles

  • AI in longevity risk management: improved long-term projections by machine learning
  • Suicide Death Number Estimation for Insurers by Neural Networks: Grasping trend changes
  • Risk management for climate change and catastrophes in Asia
  • Sustainable Financial Risk Modelling Fitting the SDGs: Some Reflections CANCELLED
  • Efficient Monte Carlo simulation of portfolio value, value-at-risk and other portfolio metrics
  • Pension accounting forecasts based on nested stochastic modelling
  • Analysis of financial contagion among economic sectors through Dynamic Bayesian Networks
  • Modern Life-Care Tontines

Day Two (June 22)

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ASTIN Presentation Titles

  • An aggregate trend renewal micro model for loss reserves, with inflation and discount
  • Contingent Claim, Lender of Last Resort (LoLR), Helicopter Money in the Era of LIBOR Conversion (CANCELLED)
  • Risk model with dependent frequency and severity, premium and ruin probability calculation
  • Scenario Testing for Large Fleets during the yearly price adjustment process – a practical example
  • Cyber risk: An analysis of self-protection and the prediction of claims
  • Efficient computation of expected allocations
  • Enhancing Claims Triage with Dynamic Data
  • Rebalancing the off-Balance Factor Using the Complement of Credibility
  • Monte Carlo Simulation, Dependence, and Risk Accumulation
  • Capturing the dependence among large losses using extreme-value copulas
  • Modeling the Reserving Cycle with the Discrete Fourier Transform
  • The predictive power of the multinomial distribution – 2 practical examples
  • Peer-to-Peer Multi-Risk Insurance and Mutual Aid
  • Required Sample Size in Capital Modeling
  • Simulation-based Earthquake Insurance Risk Calculation
  • Update on Actuarial Density and Actuarial Penetration

AFIR/ERM Presentation Titles

  • An Asset-Liability Model for Stable Value Fund Wraps (Guaranteed Retirement Plans)
  • Analysis threshold portfolio return of Swiss pension funds based on nested simulation engine
  • Pandemic effects on investors behaviour: Tesla valuation with Holt-Winters and fundamental analysis
  • COVID-19 Mitigations in the U.S.

Day Three (June 23)

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ASTIN Presentation Titles

  • Fraud detection in insurance using generative adversarial networks for data imbalance
  • Integrating hidden Markov model with machine learning for fraud detection in health insurance
  • Optimal prevention strategies in the classical risk model
  • Optimal reinsurance under terminal value constraints
  • Generating unfavorable VaR scenarios with patchwork copulas
  • Internal Modeling without copulas: the beauty of multivariate Thorin classes
  • Predicting Region-Specific Seismic Losses and Tail Risk – DFA with Learning Algorithms
  • Seismic Risk Assessment in UAE by the Large-Magnitude Offshore Shallow Crustal Earthquake
  • A copula estimation through recursive partitioning of the unit hypercube
  • Gamma Mixture Density Networks and their application to modelling insurance claim amounts
  • Longevity and mortality risk management post-Covid
  • Mental health and insurance cover
  • Actuarial (R)evolutions
  • Bootstrap Consistency for the Mack Bootstrap
  • Capital requirements modeling for market and non-life premium risk in a dynamic insurance portfolio
  • Continuous partition-of-unity copulas and their application to risk management and other fields

AFIR/ERM Presentation Titles

  • Taxation treatment of retirement income products in Australia focusing on variable annuity contracts
  • Selling life insurance in Africa and Modeling Loss Reserving for surrounding in Micro saving Product (CANCELLED)
  • Impact of management actions such as policyholder dividends on solvency ratio
  • Computation of bonus in multi-state life insurance
  • Cyber Risk Management
  • Regulation risk: the case of Solvency II CANCELLED
  • Insurability and Pandemic (or More Generally, Shared Resilience) Risk
  • Covering pandemic risk: insurance or smart saving?

Day Four (June 24)

ASTIN and AFIR/ERM Annual General Membership Meetings

Download Full Colloquia Schedule