ISOA Association

ISOA is an Association, a joint between Istituto Italiano degli Attuari and Ordine degli Attuari, founded in order to represent and follow all the international activities of Italian Actuaries enrolled in the official list "Albo".

June 24, 2019

Journal Decisions in Economics and Finance

Dear speakers of the AFIR/ERM Colloquium,

the Journal Decisions in Economics and Finance, edited by Springer, will publish a special issue devoted to the Colloquium works. If you wish to submit your paper for being taken into consideration for this publication, please, read carefully the following message.

Call for Papers

Special issue on “Innovating Actuarial Research on Financial Risk and Enterprise Risk Management”

Decision in Economics and Finance

Springer, ISSN: 1593-8883 (Print) 1129-6569 (Online)

Decisions in Economics and Finance is the official publication of the Association for Mathematics Applied to Social and Economic Sciences (AMASES) and is ranked at the highest level in ratings for access to Italian ASN. The journal provides a specialized forum for the publication of research in all areas of mathematics as applied to economics, finance, insurance, management, and social sciences. Primary emphasis is placed on original research exploring topics in mathematics or computational techniques that are explicitly motivated by or contribute to the analysis of economic or financial problems. Decisions in Economics and Finance is abstracted and indexed in the following databases: SCOPUS, Zentralblatt Math, EconLit, Google Scholar, EBSCO, ProQuest, Academic OneFile, CSA Environmental Sciences, ECONIS, Expanded Academic, Mathematical Reviews, OCLC, Research Papers in Economics (RePEc), SCImago, STMA-Z, and Summon by ProQuest.

The guest editors:

Giampaolo Crenca (ISOA, Italy) g.crenca@studio-cea.it
Marcello Galeotti (University of Florence, Italy) marcello.galeotti@unifi.it
Ermanno Pitacco (University of Trieste, Italy) ermanno.pitacco@deams.units.it

are very pleased to invite you to submit your paper for consideration for this special issue consisting of work which was presented at the International AFIR/ERM Colloquium, held in Florence from May 21st to May 24th 2019, organized by ISOA (Istituto Italiano degli Attuari and Ordine degli Attuari) and the AFIR-ERM Section of the International Actuarial Association (IAA).

Papers must not exceed a length of 12 pages.

The opening date for the special issue is 1st October 2019. Please do not submit for the special issue before that date. The closing date for submissions is 30th November 2019.

Manuscript Submission

Submitted papers should be original works and should not have been previously published nor be currently under consideration for publication elsewhere. The manuscripts should be prepared in keeping with the Instructions for Authors provided on the Decisions in Economics and Finance homepage: http://www.springer.com/economics/economic+theory/journal/10203

All manuscripts should be submitted electronically using the journal’s online manuscript submission system at: https://www.editorialmanager.com/deaf/default.aspx.

Authors: please select ‘Special issue on “Innovating Actuarial Research on Financial Risk and Enterprise Risk Management”’ when you reach the “Select Article Type” step in the submission process.

While ensuring the high quality of the works to be published, the journal will follow an accelerated review process. The first round referee reports will be completed by 29th February 2020 and the accepted papers will be available on-line on the journal’s website by the end of April 2020. All papers will be refereed in the usual way.

On behalf of the guest editors,

With best wishes

Marcello Galeotti

June 10, 2019

AFIR-ERM Colloquium 2019 - Best Paper Award

We are pleased to announce the winner of the AFIR ERM 2019 Best Paper Award.

Certificate - AFIR-ERM 2019 Best Paper of the Colloquium Award

June 1, 2019

AFIR-ERM Colloquium 2019 Slides

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
An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile Regression Baione Fabio

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

May 28, 2019

AFIR-ERM Florence Colloquium 21-24 MAY 2019

The Closing Press Release for the AFIR-ERM Colloquium which took place in Florence between 21-24 May is now available for download.

Press Release (English)

May 20, 2019

AFIR-ERM Florence Colloquium 21-24 MAY 2019

The final complete Colloquium Programme is now available.

Final Complete Colloquium Programme
List of Attendees

See you in Florence!

Giampaolo Crenca
Organizing Committee President

Press Release (English)
Comunicato Stampa (Italiano)

May 20, 2019

AFIR-ERM Florence Colloquium 21-24 MAY 2019

The Press Releases for the AFIR-ERM Colloquium beginning tomorrow in Florence are now available for download.

Press Release (English)
Comunicato Stampa (Italiano)

May 16, 2019

AFIR-ERM Florence Colloquium 21-24 MAY 2019

The Final Programmes for the AFIR-ERM Colloquium and the Parallel Sessions are now available for download.

Final Colloquium Programme
Final Parallel Sessions Programme

May 6, 2019

The Colloquium AFIR-ERM is about to start

From 21st to 24th of May 2019, the beautiful city of Florence will host this event of great international importance.

Registrations will remain open until May 21st.

April 18, 2019

IMPORTANT NEWSAFIR-ERM Florence Colloquium 21-24 MAY 2019

IMPORTANT NEWS: THE DEADLINE FOR REGISTRATION HAS BEEN FURTHER EXTENDED TO APRIL 30, 2019.

March 30, 2019

IMPORTANT NEWSAFIR-ERM Florence Colloquium 21-24 MAY 2019

The annual Colloquium is just around the corner! We really hope to see you all in Florence and enjoy this memorable experience.

IMPORTANT NEWS: THE DEADLINE FOR REGISTRATION HAS BEEN EXTENDED TO APRIL 19, 2019.

Moreover we are pleased to confirm our 5 invited speakers who are ready to enlighten us with interesting topics:

  • Fiona Reynolds (Global CEO of the UN Principles of Responsible Investments)
  • Mario V. Wüthrich (professor of the Department of Mathematics at ETH Zurich)
  • Paolo Garonna (Secretary General of the Italian Banking, Insurance, and Finance Federation)
  • Fabio Cerchiai (Deputy Chairman of UnipolSai Assicurazioni S.p.A)
  • Cardinal Peter Turkson (Cardinal of the Roman Catholic Church. Ex-President of the Pontifical Council for Justice and Peace)

Thirty-eight papers and presentations around innovative topics have been accepted and will be presented in parallel sessions, such as:

  • Investments in an Environmental, Social and Governance Framework
  • Artificial Intelligence in actuarial science
  • Pricing of reverse mortgages through machine learning
  • Application of Affine Processes in Multi-Cohort Mortality Modelling
  • Holistic patrimonial investments
  • Opportunities for Actuaries in banking

...and much more!

Furthermore, Yuriy Krvavych, one of the winners of the AFIR-ERM Bob Alting von Geusau prize will be presenting his work on "Probability of Sufficiency of Solvency II Reserve Risk Margins".

25 Marzo 2019

Save the date

Nella giornata del prossimo 27 maggio si svolgerà a Milano presso la sede di Helvetia (Via G.B. Cassinis, 21) il primo evento Astin in Italia organizzato con il patrocinio di ISOA e la partecipazione di rappresentanti di Astin.

L'incontro inizierà alle ore 10 circa per terminare prima delle 17 e si affronteranno temi riguardanti IFRS17 e Machine Learning.
Si sottolinea che la partecipazione all'evento è aperta a tutti e saranno riconosciuti 5 crediti formativi agli iscritti all'Ordine degli Attuari.
Maggiori dettagli e il programma definivo sarà inviato a breve.

Con i più cordiali saluti.
Giampaolo Crenca
President ISOA

Board of Directors

Giampaolo Crenca Presidente
Augusto Bellieri Vice Presidente
Marco Pirra Tesoriere Consigliere
Nino Savelli Consigliere
Marcello Galeotti Consigliere
Aldo Balestrieri Consigliere
Rosa Maria Lacquaniti Consigliere
Ivano Pastorelli Consigliere
Dimitri Papacci Consigliere
Read our statute

AFIR/ERM COLLOQUIUM 2019

INNOVATING ACTUARIAL RESEARCH ON FINANCIAL RISK AND ERM

21 to 24 May 2019 in Florence, Italy
Call for Papers and Annex A and B are now available. International AFIR-ERM Colloquium 2019 2nd Announcement Contact Information

secretary@actuary-isoa.com (for Scientific Committee and Organizing Committee matters)
AfirErm2019@momedaeventi.com (for registration and payments matters)

Registration and payment matters

http://dev.mamoka.com/afir/registration.html

The registration will be opened from February 15, 2019.
Now available for payment by transfer or credit card.

Download invite Download brochure