38th Seminar, Vienna, 19-21 September 2011
23rd Geneva Risk Economics lecture by Louis Eeckhoudt on "Beyond Risk Aversion: Why and What is Next?"Scientific Committee: Ray Rees, Johana Etner, Jörg Schiller
Local Organizer: Alexander Mürmann
08:15 - 9:00
Registration and Welcome Coffee
SR 2
09:00 - 9:30
Welcome Speech
SR 1
09:30 - 11:00
GENEVA RISK ECONOMICS LECTURE
Beyond Risk Aversion: Why, How and What`s Next?
Louis Eeckhoudt; Iéseg School of Management, Catholic University of Lille and Facultés Universitaires Catholiques de Mons
Discussant: Harris Schlesinger; University of Alabama
SR 1
11:00 - 11:30
Coffee Break
SR 2
11:30 - 13:00
Parallel Sessions I
A. HIGHER ORDER ATTITUDES TO RISK
Chair: Harris Schlesinger; University of AlabamaSR 1
A1. Decreasing Risk Aversion and Prudence under Ambiguity Aversion
Christian Gollier; Toulouse School of Economics
(Joint with Frederic Cherbonnier)
Discussant: Daniel Clarke; University of Oxford
A2. Three Measures of the Intensity of Temperance
David Crainich; Iéseg School of Management, Catholic University of Lille(Joint with Louis Eeckhoudt)
Discussant: Henry Chiu; University of Manchester
B. EMPIRICAL AND EXPERIMENTAL MEASURES OF RISK AVERSION
Chair: Peter Zweifel; University of ZurichSR 4
B1. Mapping Risk Aversion in Norway Using Hypothetical Income Gambles
Fred Schroyen; Norwegian School of Economics
(Joint with Karl Ove Aarbu)
Discussant: Peter Zweifel; University of Zurich
B2. Prudential Saving: Evidence from a Laboratory Experiment
Christoph Heinzel; UMR SMART, Rennes
(Joint with Aja Bostian)
Discussant: Maximilian Rüger; University of Hamburg
13:00 - 14:30
Lunch
Cafeteria
14:30 - 16:00
Parallel Sessions II
A. BACKGROUND RISKS
Chair: Henry Chiu; University of ManchesterSR 1
A1. Risk-Taking-Neutral Background Risks
Harris Schlesinger; University of Alabama
(Joint with Günter Franke and Richard Stapleton)
Discussant: Francesca Barigozzi; University of Bologna
A2. Optimal Portfolio and Insurance Choice in the Presence of Uninsurable Background Risk: A General Two-Parameter Approach
Henry Chiu; University of Manchester
Discussant: Georges Dionne; HEC Montréal
B. CAPITAL MARKET BEHAVIOUR OF INSURERS, BANKS AND PENSION FUNDS
Chair: David Cummins; Temple UniversitySR 4
B1. Investment Risk Taking by Institutional Investors
Janko Gorter; Dutch Central Bank
(Joint with Jacob Bikker)
Discussant: Doina Radulescu; ETH Zurich
B2. Financial Sector Integration and Information Spillovers: Effects of Operational Risk Events on U.S. Banks and Insurers
David Cummins; Temple University
(Joint with Ran Wei and Xiaoying Xie)
Discussant: Janko Gorter; Dutch Central Bank
16:00 - 16:30
Coffee Break
SR 2
16:30 - 18:00
Parallel Sessions III
SR 1
A. RISK, FINANCIAL MARKETS AND INSURANCE
Chair: Georges Dionne; HEC Montréal
A1. Financial Bounds for Insurance Claims
Steven Vanduffel; Vrije Universiteit Brussel
(Joint with Carole Bernard)
Discussant: Larry Tzeng; National Taiwan University
A2. A Theoretical Extension of the Consumption-Based CAPM Model
Georges Dionne; HEC Montréal
(Joint with Jingyuan Li)
Discussant: Hannah Wesker; University of Erlangen-Nuremberg
B. EMPIRICAL ANALYSIS OF ASYMETRIC INFORMATION
Chair: James Garven; Baylor UniversitySR 4
B1. Asymmetric Information in the Automobile Insurance Revisited
Martin Spindler; LMU Munich
(Joint with Steffen Hagmayer and Joachim Winter)
Discussant: Chu-Shui Li; Asia University
B2. Adverse Selection in Reinsurance Markets
James Garven; Baylor University
(Joint with Martin Grace)
Discussant: Muhammed Altuntas; University of Cologne
18:00 - 18:15
(Departure: 18:15)Bus transfer to Gala Dinner
18:30
Welcome Drink
19:00
Gala Dinner at Restaurant Hansen at "Alte Börse"
(1010 Vienna, Wipplinger Straße 34)
Tuesday, September 20, 2011
09:00 - 10:30
Parallel Sessions IV
A. THEORY AND EXPERIMENTAL EVIDENCE ON DOWNSIDE RISK AVERSION Chair: Arthur Snow; University of Georgia
SR 1
A1. Experimental Evidence on Higher Order Risk Preferences with Real Monetary Losses
Maximilian Rüger; University of Hamburg
(Joint with Johannes Maier)
Discussant: Christian Gollier; Toulouse School of Economics
A2. The Schwarzian Derivative as a Ranking of Downside Risk Aversion Arthur Snow; University of Georgia
(Joint with Donald Keenan)
Discussant: Jean Pinquet; École Polytechnique and ECONOMIX, University Paris Ouest Nanterre
B. EQUILIBRIUM INSURANCE CONTRACTS
Chair: Achim Wambach; University of CologneSR 4
B1. Insuring Non-Verifiable Losses and the Role of Intermediaries
Christian Laux; WU Vienna
(Joint with Neil Doherty and Alexander Mürmann)
Discussant: Sandrine Spaeter; University of Strasbourg
B2. Profitable Contracts in Competitive Insurance Markets with Adverse Selection
Wanda Mimra; University of Cologne
(Joint with Achim Wambach)
Discussant: Pierre Picard; École Polytechnique
10:30 - 11:00
Coffee Break
SR 211:00 - 13:00
Parallel Sessions V
A. LONG TERM CARE, MORBIDITY AND MORTALITY RISK
Chair: James Hammitt; Harvard UniversitySR 1
A1. On Insuring and Caring for Parents` Longterm Care Needs
Christopher Courbage; The Geneva Association
(Joint with Louis Eeckhoudt)
Discussant: Montserrat Guillén; University of Barcelona
A2. Mortality Risk and its Effect on Shortfall and Risk Management in Life Insurance
Hannah Wesker; University of Erlangen-Nuremberg
(Joint with Nadine Gatzert)
Discussant: Michael Sherris; University of New South Wales
A3. Valuing Morbidity Risk: Willingness to Pay per Quality-Adjusted Life Year
James Hammitt; Harvard University
(Joint with Kevin Haninger)
Discussant: Rachel Huang; National Taiwan University of Science and Technology
B. EMPIRICAL INSURANCE MARKETS
Chair: Ray Rees; LMU MunichSR 4
B1. Dynamic Determinants of Enterprise Risk Management Adoption in the Property-Liability Insurance Industry: Evidence from Germany
Muhammed Altuntas; University of Cologne
(Joint with Thomas Berry-Stölzle and Robert Hoyt)
Discussant: David Cummins; Temple University
B2. Is Corporate Governance Risk Valued? Evidence from Directors` and Officers` Insurance
Martin Boyer; HEC Montréal
(Joint with Lea Stern)
Discussant: Ray Rees; LMU Munich
B3. Corporate Governance and Managerial Incentives: Evidence from the Market for D&O Insurance
Doina Radulescu; ETH Zurich
(Joint with Peter Egger and Ray Rees)
Discussant: Steven Vanduffel; Vrije Univeristeit Brussel
13:00 - 14:30
Lunch
Cafeteria
14:30 - 16:00
EGRIE General Assembly
SR 1
~ 18:00
Bus Transfer from Hotel Regina to Schloss Belvedere
18:15
Guided Tour through the Museum
Bus Transfer from Schloss Belvedere to Heuriger Weinhof Zimmermann (1190 Vienna, Mitterwurzergasse 20)
Wednesday, September 21, 2011
09:00 - 10:30
Parallel Sessions VI
A. RISK FINANCING
Chair: Pierre Picard, École PolytechniqueSR 1
A1. Reinsurance and Securitisation in Insurance Risk Management
Henri Loubergé; University of Geneva
(Joint with Pauline Barrieu)
Discussant: James Hammitt; Harvard University
A2. Optimal Risk Financing in Large Corporations through Insurance Captives
Pierre Picard; École Polytechnique
(Joint with Jean Pinquet)
Discussant: Carole Bernard; University of Waterloo
B. EXPERIMENTAL APPROACHES TO AMBIGUITY AND INSURANCE FRAUD
Chair: Richard Watt; University of CanterburySR 4
B1. Insurance Demand under Ambiguity and Conflict for Extreme Risks
Théodora Dupont-Courtade; University Paris 1 Panthéon-Sorbonne
Discussant: Richard Watt; University of Canterbury
B2. The Effect of Contract Type on Insurance Fraud
Richard Watt; University of Canterbury
(Joint with Ignacio Moreno and Francisco José Vázquez)
Discussant: Jörg Schiller; University of Hohenheim
10:30 - 11:00
Coffee Break
SR 2
11:00 - 12:30
Parallel Sessions VII
A. THEORY TOPICS 1
Chair: Johanna Etner; ECONOMIX, Paris Descartes UniversitySR 1
A1. Risk-Sharing with Self-Insurance: The Role of Cooperation
Francesca Barigozzi; University of Bologna
(Joint with Renaud Bourlès, Dominique Henriet and Giuseppe Pignataro)Discussant: Wanda Mimra; University of Cologne
A2. Underestimation of Probabilities Modifications: Characterisation and Economic Implications
Meglena Jeleva; ECONOMIX, University Paris Ouest Nanterre and GAINS, University of Le Mans
(Joint with Johanna Etner)
Discussant: Fred Schoyen; Norwegian School of Economics
B. THEORY TOPICS 2
Chair: Christophe Courbage; The Geneva AssociationSR 4
B1. Limited Liability and Rational Over-Insurance: An Analysis of Dependence Structures
Ole von Häfen; University of Hamburg
(Joint with Kim Christiansen and Martin Nell)
Discussant: Christian Laux; WU Vienna
B2. "Buffering" Effect of Insurance Intermediaries: Does the Use of Contingent Commissions Dampen the Insurance Underwriting Cycle?
Lan Ju; Peking University - HSBC School of Business
(Joint with Zhiyong Tu)
Discussant: Martin Boyer; HEC Montréal
12:30
Business Lunch
Cafeteria
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European Group of Risk & Insurance Economists |