Annual Seminars

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

18:30 Welcome Reception at Hotel Mirador



Monday, September 17th

08:00 - 08:45 Registration and Welcome Coffee
08:45 - 09:00 Welcome Speech
08:45 - 09:00

Geneva Risk Economics Lecture

N. Doherty

"Risk and the Endogenous Economist: Some Comparisons of the Treatment of Risk in Quantum Physics and Economics"

Discussant: H. Schlesinger

10:30 - 11:00 Coffee Break
11:00 - 12:20 Session A1 (Chair: P. Zweifel)

M. Guillén, A. Comas-Herrera
"How Much Risk is Mitigated by LTC Protection Schemes?" (Discussant: R. Huang)

C. Courbage, P. Zweifel
"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
"Asset and Liability Composition in Participating Life Insurance: The Impact on Shortfall Risk and Shareholder Value" (Discussant: M. Sherris)

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
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
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

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
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
15:00 - 16:00 General Assembly
16:30 Boat Trip






















Wednesday, September 19th

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)

10:30 - 11:00 Coffee Break
11:00 - 12:20


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)
Farewell Lunch