39th Seminar, Palma de Mallorca, 17-19 September 2012
24th Geneva Risk Economics lecture by Neil Doherty on "Risk and the Endogenous Observer: Some Comparisons of the Treatment of Risk in Physics and Economics"
Scientific Committee: Hato Schmeiser, Larry Tzeng, Henry Chiu
Local Organizer: Richard Watt
Sunday, September 16th |
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18:30 | Welcome Reception at Hotel Mirador |
Monday, September 17th |
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08:00 - 08:45 | Registration and Welcome Coffee | |
08:45 - 09:00 | Welcome Speech | |
08:45 - 09:00 |
Geneva Risk Economics Lecture N. Doherty Discussant: H. Schlesinger |
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10:30 - 11:00 | Coffee Break | |
11:00 - 12:20 | Session A1 (Chair: P. Zweifel) M. Guillén, A. Comas-Herrera "Double Crowding-out Effects of Means-tested Public Provision for Long-term Care" (Discussant: M. Guillén) |
Session A2 (Chair: L. Eeckhoudt) O. Le Courtois, F. Menoncin "Management of Pension Funds under Market Jump Risk" (Discussant: K. Hanewald) P. Jørgensen, N. Gatzert "On Risk Charges and Shadow Account Options in Pension Funds" (Discussant: O. Le Courtois) |
13:30 - 14:50 | Session B1 (Chair: J. Wagner) H. Schmeiser, J. Wagner "The Influence of Interest Rate Guarantees and Solvency Requirements on the Asset Allocation of Life Insurance Companies" (Discussant: H. Loubergé) A. Bohnert, N. Gatzert, P. Jørgensen |
Session B2 (Chair: L. Tzeng) M. Christiansen, M. Eling, J. Schmidt, L. Zirkelbach "Policyholder Behavior in Private Health Insurance - Empirical Evidende on Lapse and Tarif Switch" (Discussant: L. Tzeng) H. Iwaki, Y. Osaki "The Dual Theory of the Smooth Ambiguity Model" (Discussant: K. Romaniuk) |
14:50 - 15:20 | Coffee Break |
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15:20 - 16:40 | Session C1 (Chair: N. Gatzert) C. Blackburn, K. Hanewald, A. Olivieri, M. Sherris "Comparing Life Insurer Longevity Risk Management Strategies in a Firm Value Maximizing Framework" (Discussant: M. Dong) C. Heinzel "Term Structure of Discount Rates under Multivariate s-Ordered Consumption Growth" (Discussant: U. Schmidt) |
Session C2 (Chair: Q. Zeng) K. Romaniuk "Portfolio Restriction to Impose on Defined Benefit Pension Plans" (Discussant: M. Ayuso) M. Adler, J. Hammit, N. Treich "The Social Value of Mortality Risk Reduction: VSL vs. the Social Welfare Function Approach" (Discussant: H. Schlesinger) |
16:40 - 17:10 | Coffee Break |
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17:10 - 18:30 | Session D1 (Chair: A. Wambach) A. Braun, P. Rymaszewski, H. Schmeiser "Stock vs. Mutual Insurers: Who Should and Who Does Charge More" (Discussant: P. Jørgensen) E. Baranoff, T. Sager, B. Shi "Variable Annuities with Guaranteed Living Benefits: A Capital Structure Impact for Life Insurers?" (Discussant: A. Wambach) |
Session D2 (Chair: L. Tibiletti) R. Stapleton, Q. Zeng "Downside Risk Aversion and the Downside Risk Premium" (Discussant: L. Tibiletti) R. Huang, P. Shih, L. Tzeng "The Comparative Statics of Changes in Risk for Most Decision Makers" (Discussant: Q. Zeng) |
20:00 | Gala Dinner at Bahia Mediterranea |
Tuesday, September 18th |
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08:30 - 10:30 | Session E1 (Chair: R. Derrig) K. Müller, H. Schmeiser, J. Wagner "Insurance Claims Fraud: Optimal Auditing Strategies in Insurance Companies" (Discussant: P. Picard) D. Asmat, S. Tennyson "Do Multiple Damages Awards Succeed in Relieving Strain on the Legal System? Evidence from Tort Law in the Auto Insurance Industry" (Discussant: K. Müller) J. Bourgeon, P. Picard "Fraudulent Claims and Nitpicky Insurers" (Discussant: R. Derrig) |
Session E2 (Chair: C. Bernard) M. Browne, C. Knoller, A. Richter "Behavioral Biases, Market Intermediaries and the Demand for Bicycle and Flood Insurance" (Discussant: R. Eisen) D. Eckles, J. Wise "Prospect Theory and the Demand for Insurance" (Discussant: C. Bernard) J. Garven, J. Hilliard "Optimism Bias and the Demand for Health Insurance" (Discussant: M. Browne) |
10:30 - 11:00 | Coffee Break |
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11:00 - 12:20 | Session F1 (Chair: K. Hanewald) K. Miltersen, S. Persson "Capital Requirement and Optimal Default in Insurance" (Discussant: K. Hanewald) M. Dong, H. Gründl, S. Schlütter "The Risk-Shifting Behavior of Insurers under Different Guarantee Schemes" (Discussant: H. Schmeiser) |
Session F2 (Chair: K. Crocker) A. Muermann, D. Kremslehner "Asymmetric Information in Automobile Insurance: New Evidence from Driving Behavior" (Discussant: H. Loubergé) C. Li, C. Liu, S. Peng "Risk Classification, Rating Innovation, and Self Selection in Automobile Insurance Market" (Discussant: K. Crocker) |
12:20 - 13:30 | Lunch | |
13:30 - 14:50 | Session G1 (Chair: R. Peter) A. Hofmann, R. Peter "Intertemporal Self-Insurance-cum-Protection: Saving, Imperfection, and Background Risk" (Discussant: R. Eisen) M. Boyer "Leprechauns, Werewolves, Zombies and Underwriting Cycles are (Statistical) Figments of Our Imagination" (Discussant: R. Peter) |
Session G2 (Chair: N. Treich) U. Schmidt "Correlated Risks and Insurance Demand: An Experimental Analysis" (Discussant: N. Treich) E. Jouini, C. Napp, D. Nocetti "Economic Consequences of Nth-Degree Risk Increases and Nth-Degree Risk Attitudes" (Discussant: L. Eeckhoudt) |
14:50 - 15:00 | Coffee Break |
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15:00 - 16:00 | General Assembly |
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16:30 | Boat Trip |
Wednesday, September 19th |
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8:30 - 10:30 | Session H1 (Chair: J. Garven) R. Peter, A. Richter, P. Thistle "Endogenous Information and Adverse Selection under Loss Prevention" (Discussant: J. Mühlnickel) S. Kamiya, M. Browne "Active Screening in Insurance Markets" (Discussant: J. Garven) R. Huang, A. Snow, L. Tzeng "Asymmetric Information in Insurance Markets with Ambiguity" (Discussant: D. Asmat) |
Session H2 (Chair: D. Eckles) A. Milidonis "Compensation Incentives of Credit Ratings Agencies and Predictability of Changes in Bond Ratings and Financial Strength Ratings" (Discussant: D. Eckles) E. Baranoff, P. Brocket, T. Sager, B. Shi "Is the U.S. Life Insurance Industry in Danger of Systemic Risk by Using Derivative Hedging?" (Discussant: G. Weiss) C. Bernard, J. Chen, S. Vanduffel "Optimal Portfolios under Worst-Case Scenarios" (Discussant: L. Tibiletti) |
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10:30 - 11:00 | Coffee Break |
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11:00 - 12:20
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Session I1 (Chair: M. Sherris) M. Nirmalendran, M. Sherris, K. Hanewald "Solvency Capital, Pricing, and Capitalization Strategies of Life Annuity Providers"(Discussant: J. Wagner) |
Session I1 (Chair: R. Rees) G. Weiß, J. Mühlnickel "Consolidation in the International Insurance Industry and Financial Stability" (Discussant: A. Snow) R. Kremslehner "Limited Liability Provisions and Directors' and Officers' Insurance" (Discussant: R. Rees) |
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12:20 |
Farewell Lunch |