Casualty Actuarial Society

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A Message from the ASTIN 2008 Organizing Committee Chairman

05/27/2008 —

Dear Colleagues,

Followers of football (soccer to some!) will have seen that the world-famous Manchester United football team won this year's Champions League final, the most prestigious club football trophy. There will be an opportunity for ASTIN participants who wish to do so to visit the MU stadium at Old Trafford.

An excellent programme has been put together, including the following keynote speakers:

Climate Change and its Impacts – Professor Julia Slingo, University of Reading
This presentation will begin with a brief overview of the scientific basis for climate change and then go on to consider what aspects of the predictions of regional and local changes in climate we can be confident in, and where there is still much more research to be done. The focus will be on those impacts of climate change that are likely to be of particular interest to actuaries.

Accounting for Extreme-Value Dependence in Multivariate Data – Professor Christian Genest, Laval University, Canada
Insurance claim data often exhibit fat-tail behavior. This phenomenon is well documented and can be analyzed by standard statistical tools. In contrast, extreme-value dependence in multivariate claim data or between financial assets is seldom recognized. This talk will describe how to test, measure and account for extreme dependence from a copula modeling perspective.

Economic Capital, Enterprise Risk Management and Insurance Ratings – David Ingram, Standard & Poors, New York
The presentation will review the objectives, standards and process that S&P is using to assess insurer economic capital models within the ratings evaluation. In addition, the sufficiency (or lack thereof) of economic capital within an ERM program as the sole metric of risk in the view of S&P.

More than 35 submitted papers will be presented in 6 sets of concurrent sessions. Among the sessions and papers to be presented will be the following:

  • On the non-life Solvency II model
  • Solvency 2 versus IFRS: Cost of capital implications for insurers and pension schemes
  • Modelling aggregate non-life underwriting risk: standard formula vs internal model
  • Dynamic financial analysis of the minimum capital requirement: Empirical analysis of Polish non-life insurance companies
  • Economic consequences of a global energy crisis
  • Stochastic modelling of catastrophe risks in DFA models
  • Measurement and transfer of catastrophic risks: A simulation analysis
  • Applying option pricing theory to flood insurance and catastrophe risks
  • Bootstrap estimation of the predictive distributions of reserves using paid and incurred claims
  • Model risk in claims reserving within Tweedie's conpound Poisson models
  • A loss reserving method for incomplete claims data
  • Bornhuetter-Ferguson as a general principle of loss reserving
  • Modelling the claims development result for solvency purposes
  • XL property rating: a reinsurance pricing tool combining experience and exposure rating for property excess of loss treaties
  • Give credit where credit is due: operational risk goes Bayesian

Apart from a first-class scientific and professional programme, the ASTIN Colloquium will take place in a fantastic meeting venue - the splendid Victorian Manchester Town Hall. The registration fee also includes a reception in the Sculpture Hall of the Town Hall, a formal dinner in the Town Hall, with plenty of civic pomp and dressing up, a half day outing to Tatton Park and the historic town of Chester and a closing dinner in the spectacular Imperial War Museum North.

There is also an excellent accompanying persons programme available. The £400 registration for accompanying persons is excellent value, as it includes the range of special tours for accompanying persons as well as participation in all the social events covered by the participants’ registration fee.

Are you a golf enthusiast? The 2008 British Open starts the day after the ASTIN Colloquium ends. It takes place at Royal Birkdale - just one hour's drive northwest of Manchester. You have the rare opportunity to attend the ASTIN Colloquium and then extend your stay to see the best golfers in the world compete for The Claret Jug in a major golf tournament played on a famous links course on the coast of England. For information about the Open and to purchase tickets, go to

For those not into golf, Manchester is also an excellent starting off place for visiting the mountains of North Wales, the Peak District or the Cumbrian Lake District, some of the most beautiful parts of the British Isles.

For more details about the Colloquium and a link to the on-line registration form, go to

In case of any queries about registering, do not hesitate to contact Claire Marsh at The Actuarial Profession in London on +44 20 7632 2147 or by e-mail to

Looking forward to seeing you in Manchester in July.

Chris Daykin
Chairman, ASTIN 2008 Organising Committee
23 May 2008

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