Annual Seminars

40th Seminar, Paris, 17-19 September 2012

25th Geneva Risk Economics lecture by Miles Kimball on "The Effect of Uncertainty on Optimal Control Models in the Neighborhood of a Steady State"

Program Committe: Ray Rees, Georges Dionne, Jean Pinquet, Rachel J. Huang

Local Organizer: Pierre Picard

Sunday, September 15th

18:00 Welcome Cocktail at Le Carmen



Monday, September 16th

08:00 - 08:45 Registration and Welcome Coffee
08:45 - 09:00 Welcome Speech
09:00 - 10:30

Geneva Risk Economics Lecture

M. Kimball

"The Effect of Uncertainty on Optimal Control Models in the Neighborhood of a Steady State"

Discussant: N.V. Long

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

Session A1 (Chair: L. Eeckhoudt)

H. Schlesinger, S. Ebert, L. Eeckhoudt
"Comparative Risk Apportionment"
(Discussant: J. Maier)

C. Bernard, J.S. Chen, S. Vanduffel
"All Investors Are Risk-Averse Expected Utility Maximizers" (Discussant: H. Loubergé)

Session A2 (Chair: G. Turner)

J. Wang, A. Subramanian
"Catastrophe Risk Transfer"
(Discussant: M. Acharyya)

C. Grislain-Letrémy
Natural Disasters: Exposure and Underinsurance
(Discussant: Y. Suzawa)

12:30 -


14:00 - 16:00

Session B1 (Chair: C. Heinzel)

R. Peter, A. Hofmann
"Self-Insrunace, Self-Protection, and Increased Risk Aversion: An Intertemporal Reinvestigation"
(Discussant: P. Zweifel))

A. Snow, R.J. Huang, L.Y. Tzeng
"Preauctionary Saving in the Presence of Ambiguity"(Discussant: H. Schlesinger)

R.Peter, M. Hoy, A. Richter
"Take-up for Genetic Tests and Ambiguity"
(Discussant: R. Rees)

Session B2 (N. Gatzert)

E. Biffis, L.R. Sotomayor, D. Bauer
"Optimal Collaterization with Bilateral Default Risk (Discussant: F. Loss)

N. Gatzert, M. Martin
"Valuation and Risk Assessment of Participating Life Insurance in the Presence of Credit Risk"
(Discussant: C. Cheng)

J. Etner, H. d' Albis
"Welfare Gains from Illiquid Annuities"
(Discussant: N. Gatzert)

16:00 - 16:30 Coffee Break
16:30 - 18:00

Session C1 (Chair: M. Hoy)

P. Picard, K. Wang
"The Collusion between Policiyholders and Car Dealers and the Manipulation of Insurance Claims"
(Discussant: M. Boyer)

M. Santolino, M. Ayuso, L. Bermúdez
"The Dynamic Nature of the Information Asymmetry During the Negotiation Process of Motor Injury Claims"
(Discussant: C.S. Li)

Session C2 (Chair: P. Zweifel)

S. Kamiya, J.T. Schmit
"The Legal Constraint of Misrepresantation in Insurance Market" (Discussant: K. Crocker)

F. Glenzer, H. Gründl, C. Wilde
"And Lead Us Not Into Tempation": Presentation Formats and the Choice of Risky Alternatives
(Discussant: J.T. Schmit)

19:30 Conference Dinner at Le Capitaine Fracasse: Cruise on the Seine River

































Tuesday, September 17th

08:30 - 10:30

Session D1 (Chair: E. Biffis)

G. Dionne, J. Li, C. Okou
"An Extension of the Consumption-Based CAPM Model" (Discussant: A. Braun)

F. Schreiber, A. Braun, H. Schmeiser
"Portfolio Optimization under Solvency II: Implicit Constraints Imposed by the Market Risk Standard Approach" (Discussant: A. Bohnert)

J.K. Hammitt, D. Crainich, L. Eeckhoudt
"The Value of Risk Reduction: New Tools for an Old Problem" (Discussant: R. Peter)

Session D2 (Chair: C. Courbage)

F. Pannequin, A. Corcos, C. Montmarquette
"Risk Lovers May Also Love Insurance"
(Discussant: S. Ebert)

L. Liu, J. Meyer
"Substituting One Risk Increase for Another: A method for Measuring Risk Aversion" (Discussant: L. Tibiletti)

C. Courbage, B. Rey
"Changes in Ambiguity - Definition, Measures and Application" (Discussant: M. Hoy)

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

Session E1 (Chair: C. Bernard)

S. Ebert, P. Strack
"Until the Bitter End: On Prospect Theory in a Dynamic context" (Discussant: F. Schreiber)

R. Laeven, L. Eeckhoudt
"Prudence, Temperance (and Other) Virtues: The Dual Story" (Discussant: L. Liu)

Session E2 (Chair: J. Garven)

J. Garven, N. Doherty, S.H. Sinclair
"Noise Hedging and Executive Compensation"
(Discussant: E. Biffis)

G. Turner
"Insurer Moral Hazard and Consumer Confidence with Catastrophic Risk" (Discussant: C. Grislain-Letrémy)

12:30 - 14:00 Lunch
14:00 - 15:30

Session F1 (Chair: N. Treich)

N: Treich, X.Z. He
"Prediction Market Accuracy under Risk Aversion and Heterogeneous Beliefs"(Discussant: J.K Hammitt)

B. Lopez-Cabrera, W.k. Härdle, H.W. Teng
"State Price Densities Implied from Weather Derivatives" (Discussant: C. Bernard)

Session F2 (Chair: W. Koeniger)

G.N.F. Weiss
"Why Do Some Insurers Become Systemically Relevant?" (Discussant: A. Kartasheva)

F. Loss, G. Piaser
"Linear Prices Equilibria and Nonexclusive Insurance Market" (Discussant: M. Kraft)

15:30 - 16:00 Coffee Break
16:00 General Assembly
19:00 Gala Dinner at Musée du Vin






















Wednesday, September 19th

8:00 - 8:30 Welcome Coffee
8:30 - 10:00

Session G1 (Chair: F. Pannequin)

X.Ping, G. Zanjani
"Optimal Insurance Contracts with Insurer's Background Risk" (Discussant: P.Picard)

M. Ghossoub
"Belief Heterogeneity in the Arrow-Borch-Raviv Insurance Model" (Discussant: F. Pannequin)

Session G2 (Chair: J.J Wang)

S. Ben Ammar, M. Eling
"Common Risk Factors of Infrastructure Firms"
(Discussant: B. Villeneuve)

S.A. Persson, A. Mjos, T.A. Myklebust
"On the Pricing of Performance Sensitive Debt"
(Discussant: W. Koeniger)

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


Session H1 (Chair: A. Richter)

V. Aseervatham, P. Born, A. Richter
"Demand Reactions in the Aftermath of Catastrophes and the Need for Behavioral Approaches"
(Discussant: C.C. Liu)

C. Cheng, F. Uzelac
"Optimal Termination Rules for DB Pension Insurance"
(Discussant: S. Kamiya)

Session H2 (Chair: A. Kartasheva)

W. Koeniger, G. Bertola
"Hidden Insurance in a Moral Hazard Economy"
(Discussant: K. Wang)

A. Bohnert, P. Born, N. Gatzert
"Dynamic Hybrid Products in Life Insurance: Assessing the Policyholders' Viewpoint" (Discussant: H. Schmeiser)