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Slides Evento AFIR ERM Colloquium Firenze 21-24 Maggio 2019Feed RSS

News - 31/05/2019

21 maggio 2019


Opening Address

Chair: Marcello Galeotti

Michael Sherris, AFIR-ERM President - AFIR-ERM Video

Marcello Galeotti, Colloquium President

Marco Bindi, University of Florence - Prorettore

Ermanno Pitacco, Scientific Committee President

Giampaolo Crenca, Organizing Committee President/ISOA President

Investment within the framework of the Environment, Society and Governance, A Catholic Church Perspective Cardinal Peter Turkson

Why sustainable finance is inevitable - Will Martindale


22 Maggio 2019


Session 1A Sala Michelangelo

Chair: Nino Savelli

A Megatrends-ESG long-term investing approach Salas Maria Fernanda

The Importance of Narrative in Enterprise Risk Management and elsewhere Ashe Frank

ESG factors in investments for a better world Islas Terán Héctor


Session 1B Sala Giotto

Chair: Gennaro Olivieri

Sunk Costs and Screening: Two-Part Tariffs in Life Insurance Ostaszewski Krzysztof

Pricing and hedging defaultable participating contracts with regime switching and jump risk Le Courtois Olivier

Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate Zanette Antonino


Session 1C Sala Dante

Chair: Fausto Belliscioni

Sensitivity analysis of annuity models Rabitti Giovanni

Design of risk sharing for variable annuities Ngugnie Diffouo Pauline

Optimal successive annuitisations after retirement Melis Roberta



Chair: Ermanno Pitacco

The New Scenarios for Risk and Uncertainty and their Implications for Business Strategy and Policy making Paolo Garonna - Secretary General of the Italian Banking,

Insurance, and Finance Federation Probability of Sufficiency of Solvency II Reserve Risk Margins Yuriy Krvavych - Winner of the AFIR-ERM Bob Alting von Geusau prize

The Actuarial Association of Europe and its Risk Management Committee Malcolm Kemp - AAE (Actuarial Association of Europe)



Session 2A Sala Michelangelo

Chair: Giampaolo Crenca

Opportunities for actuaries in banking Allan Iain

Current financial stability initiatives relating to insurers and pension funds Kemp Malcolm


Session 2B Sala Giotto

Chair: Marco Pirra

Three-layer problems and the GPD Fackler Michael

Distribution Choice in Non-Life Insurance Risk Models via Statistical Learning Methods SU Xiaoshan



Session 2C Sala Dante

Financial impact in the Mexican insurance sector due to the implementation of Solvency II Gavira Durón Nora

Focus on the Risk management of African central banks Balde Alpha Mamodou

An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression Baione Fabio



Chair: Carla Angela

Holistic patrimonial investment. How to combine and diversify investment strategies with a risk management and sustainable approach, Salas Maria Fernanda

Miles for Retirement Salas Maria Fernanda

Sustainability as a Strategic risk approach: Sustainability Option into Non-Life Insurance Pricing Pedol Miriam



Chair: Marcello Galeotti

The dynamic structure of data breaches Pirra Marco

The Accelerating Evolution Underway in the Reach and Efficiency of Quantamental Investing Macedo Rosemary

Capital Requirement and Extreme Risk - study on a real flood dataset in Europe Berti Francesca



Chair: Annie Tay

On Inconsistencies of Risk Adjusted Returns with Expected Utility Models in Optimization Matsuyama Naoki

Frailty Modelling in a multistate framework Tabakova Daniela Yordanova

A Double-Sigmoid approach for dynamic policyholder behavior Baione Fabio


24 Maggio 2019


Chair: Michael Sherris

Enterprise Risk Management: a crucial evolution path also for "non-financial companies" Fabio Cerchiai - President ATLANTIA Yes we CANN!:

Machine Learning in Actuarial | Modeling Mario V. Wüthrich - Professor of the Department of Mathematics at ETH Zurich




Chair: Paolo De Angelis

Modelling Dynamic Prepayment and Default with Survival Analysis and Machine Learning in Credit Protection Insurance Aleandri Marco - Eletti Alessia

Flood risk insurance: the Blockchain approach for a bayesian adaptive design of the contract Vannucci Emanuele

Pricing of Reverse Mortgages through Machine Learning: new opportunities for the actuaries Piscopo Gabriella



Chair: Luigi Vannucci

Comparative Risk Analysis between Sponsors and Participants for the New Risk - Sharing Pension Plan in Japan Yokoyama Taiga

Stochastic Ordering of the Risks Affecting theSocial Security Coverage in Africa Şahin Şule

Fat-tailed distributions for investment variables Wilkie David - Şahin Şule



Chair: Fausto Belliscioni

Investment strategy for pooled annuity products Labit Hardy Héloïse - Sherris Michael

A Value-Based Longevity Index for Hedging Retirement Income Portfolios Ziveyi Jonathan

Fair valuation of insurance liability cash-flow streams in continuous time: Theory Delong Łukasz

Application of Affine Processes in Multi-Cohort Mortality Modelling Sherris Michael