31/05/2019
21 maggio 2019
PLENARY 1
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
PARALLEL SESSIONS
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
PLENARY 2
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)
PARALLEL SESSIONS
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
SESSION 3A - MICHELANGELO
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
SESSION 3B - GIOTTO
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
SESSION 3C - DANTE
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
PLENARY 3
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
PARALLEL SESSIONS
SESSION 4A - MICHELANGELO
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
SESSION 4B - GIOTTO
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
SESSION 4C - DANTE
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