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A Global Forum to DeepenUnderstanding AmongAcademics, Professionals, andPolicymakers
www.wriec.org
7 - 11 August 2005 in Salt Lake City, Utah, USA
World Risk and Insurance Economics Congress
WWoorrlldd RRiisskk aanndd IInnssuurraannccee EEccoonnoommiiccss CCoonnggrreessssCommittees and Joint Organizers
The sponsoring organizations express their appreciation to the American Institute for CPCU, which serves as the Executive Office for ARIA, our host, andInstitute staff, particularly Tony Biacchi, Lee Gardner, Donna Garrison, Karen Jennings, Kim Nicholl, Joanne Scanlon, Jennifer Smith, and Terrie Troxel.
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AARRIIAAPresident: James M. Carson, Florida State UniversityPresident-Elect: Larry A. Cox, The University of MississippiVice President: James R. Garven, Baylor UniversityImmediate Past President: Robert E. Hoyt, U. of GeorgiaDirectors: Joan Lamm Tennant, General Cologne Re
Capital ConsultantsMary Weiss, Temple UniversityRichard MacMinn, Illinois State UniversityTerri Vaughan, Drake UniversitySimon Ashby, Lloyds TSB Bank, LondonVickie Bajtelsmit, Colorado State University
AAPPRRIIAAPresident: Ramamurthy Vaidyanathan, Indian Institute of
Management at Bangalore, IndiaVice Pres. Operations/Finance: Shih-Chieh “Bill” Chang,
National Chengchi U., TaiwanVice Pres. Programs: Jeffrey Thomas, University of
Missouri at Kansas City, USASecretary: Michael Sherris, University of New South
Wales, AustraliaImmediate Past-President: W. Jean Kwon, St. John's
University, USA Advisor to the President: Harold D. Skipper, Georgia State
University, USA
EEGGRRIIEEPresident: Christian GollierPresident Elect: Peter Zweifel Past President: Henri LoubergéDirectors: Keith Crocker
Patrick LiedtkePierre Picard
Executive Secretary: Christophe Courbage
TThhee GGeenneevvaa AAssssoocciiaattiioonnSecretary General, Managing Director: Patrick M. Liedtke Vice Secretaries General: Walter R. Stahel (Risk Management)
Prof. Gerry Dickinson (Insurance & Finance)
Head of Research Projects: Dr. Christophe Courbage (Health & Ageing)
Dr. Knut H. Hohlfeld (Progres)Ms. Geneviève Reday-Mulvey (4 Pillars)Dr. Bruno Porro (ART of CROs)
Head of Communication: Ms. Stéphanie Achard
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AARRIIAAJames M. CarsonHarold D. Skipper, Jr.
AAPPRRIIAAW. Jean Kwon (chair)Ramamurthy Vaidyanathan
James R. Garven (chair)Larry BergerRichard MacMinnMichael Powers Terri Vaughan
EEGGRRIIEEChristian GollierAchim Wambach
S. Hun Seog (chair)Shih-Chieh Bill ChangPiman LimpaphayomMuhammad Ziaulhaq MamunZiyou Yu
Christian Gollier (chair) Stephen DiaconHenri LoubergéAchim WambachRichard Watt
GGAAPatrick M. LiedtkeChristophe Courbage
SScciieennttiiffiicc CCoommmmiitttteeee
3
44 Welcome
66 Sponsors
88 Hotel Map and Information
99 Location of Events
1100 Dine Around
1111 Conference Program
1144 Opening Ceremony
1155 Plenary Sessions
1177 Semi-plenary Sessions
1188 Concurrent Sessions
1188 Session I
2211 Session II
2244 Session III
2288 Session IV
3311 Session V
3355 Session VI
3399 Session VII
4422 Session VIII
4444 Message from Conference Organizers
4488 Message from Corporate Sponsors
Table of Contents
4
The American Risk and Insurance Association (ARIA), Asia-Pacific Risk and InsuranceAssociation (APRIA), European Group of Risk and Insurance Economists (EGRIE) and TheGeneva Association (GA) jointly organized this first meeting of the World Risk andInsurance Economics Congress (WRIEC). The purposes of the Congress are to stimulatecorporate awareness and interest in risk-related research and to provide a forum for networking among academics and industry and government professionals worldwide.The joint organizers encourage you to take advantage of the many opportunities thatare available during the World Congress. ARIA graciously hosts this first meeting.
Welcome WRIEC Attendees
James M. Carson W. Jean KwonPresident, ARIA President, APRIA
Christian Gollier Secretary General, Managing DirectorPresident, EGRIE The Geneva Association
5
August 7, 2005
Dear WRIEC Attendees:
It is with pleasure that I write this letter welcoming the World Risk and InsuranceEconomics Congress to Salt Lake.
The Salt Lake Convention & Visitors Bureau and the entire community are eager toextend our hospitality to the attendees of the Inaugural Meeting. We welcome theopportunity to host your group and commit our support and talent to ensure a successful convention.
Thank you for allowing us the opportunity to host you. We guarantee you will have a spectacular experience.
Sincerely,
Clifford O. DonerActing President/CEO
The Salt Lake Convention & Visitors Bureau
6
Platinum Sponsors
Gold Sponsors
Silver Sponsors
Thank You
7
Sponsored Gifts
Travel Bag AIG, AXA, MunichRe, ZurichPortfolio AXIS, Chubb, PartnerReSponge Globe ARIACommemorative Pin U of Louisiana at LafayetteTravel Aid All Corporate Sponsors
With the generous financial support by corporate sponsors, the organizers have provided travel aid to those authors from developing countries whose papers are judged to be of highquality and who certify their employing institutions provide no travel support for attendingthe Congress. Travel aid comprises a waiver of the Congress registration fee and a cash awardof US$500.
The generosity of all sponsors is greatly appreciated.
Sponsors
Platinum
Florida StateUniversity of GeorgiaUniversity of Wisconsin-Madison,
School of Business
Gold
American Institute for CPCUBradley UniversityCalifornia State, NorthridgeGeorgia State UniversityTemple UniversityThe University of MississippiUniversity of North Carolina,
CharlotteVirginia Commonwealth
Silver
LaSalle UniversityUniversity of Calgary,
Haskayne School of Business
Sponsors of WRIEC Activities
First Time Attendees Reception World Congress OrganizersSunday Welcome Reception AIG, AXA, MunichRe, ZurichMonday Breakfast AXISMonday Luncheon World Congress OrganizersMonday Reception before Dinner Palgrave Macmillan in recognition of
The Geneva Papers' 30th AnniversaryMonday Night Dinner AIG, AXA, MunichRe, Zurichincluding Champagne Toast Tuesday Breakfast ChubbTuesday Awards Luncheon Casualty Actuarial SocietyTuesday Dine Around AIG, AXA, MunichRe, ZurichWednesday Breakfast The Geneva AssociationWednesday Luncheon PartnerReThursday Breakfast ARIA, APRIA, EGRIEDaily Coffee and Tea Breaks ARIA Meeting Sponsors
ARIA Sponsors
8
Meeting Rooms
All meeting rooms are non-smoking.
Please turn off all cell phones during sessions.
Business Center - ground floor near front desk7am - 7pm (Monday-Friday)8am - 12pm (Saturday)
Consignee - extension 2170
Kinko's (right down the road)801.533.9444Open 24 Hours
Sheraton City Centre
Event Room
Opening Session .......................... Monday, 8 August 8:40 AM - 10:00 AM.... Seasons South
All Plenary Sessions ...................................................................................................... Seasons SouthSemi-plenary Session A ............ Monday, 8 August 4:00 - 5:30 PM ............ Seasons South Semi-plenary Session B ............ Monday, 8 August 4:00 - 5:30 PM ............ Seasons North
Concurrent SessionsSession A .......................................................................................................................... HarvestSession B .......................................................................................................................... Weights and
MeasuresSession C .......................................................................................................................... Rap-Smoke
HouseSession D ........................................................................................................................ GranarySession E .......................................................................................................................... Market StreetSession F ..........................................................................................................................Market WestSession G ........................................................................................................................Season South
(but Wasatch Room on Thursday)
Organization MeetingsARIA Board .................................... Sunday, 7 August, 8:00 AM - 3:00 PM ...... AutumnAPRIAExecutive Committee .......... Sunday, 7 August, 9:00 AM - 1:00 PM ...... Market WestAPRIA Board .................................. Sunday, 7 August, 2:00 PM - 4:00 PM ...... Market WestEGRIE Board .................................. Sunday, 7 August, 4:00 PM - 6:00 PM ...... Rap of the Gavel
ARIA Membership........................ Monday, 8 August 5:30 PM - 6:30 PM ...... Seasons SouthAPRIA Membership .................... Monday, 8 August, 5:30 PM - 6:30 PM .... Seasons NorthEGRIE Membership...................... Monday, 8 August, 5:30 PM - 7:00 PM .... Harvest
Meals and SocialsAll Breakfasts ................................ All Days 7:30 AM - 8:30 AM .......................... Three SeasonsFirst-time Reception.................... Sunday, 7 August 5:00 PM - 6:00 PM ...... HarvestWelcome Reception .................... Sunday, 7 August 6:00 PM - 7:30 PM ...... Seasons NorthAll Luncheons ................................................................................................................ Three SeasonsGeneva Papers Cocktail ............ Monday, 8 August 6:30 - 7:30 .................... CourtyardMonday Dinner ............................ 7:30 PM - 9:00 PM .......................................... Three SeasonsTuesday Dine Around ................ 6:00 PM .............................................................. See page 10
9
Location of Events
6:00 PM, Tuesday, 9 August 2005(Prior reservations are required through the WRIEC Staff.)
Attendees: Dine around participants must be at your assigned restaurant by 6:00 PM.
Attire: Business casual; coats are not required.
Travel: The restaurants are located within easy walking distance of the Sheraton. If you foresee difficulty walking to a restaurant, please visit the registration desk.
Restaurants
Baci Trattoria offers an extensive menu of traditional Italian favorites, featuring fresh pasta,pizza, and lasagna, as well as roast veal, lamb, chicken, and seafood specialties. Delicious appetizers, salads, and fresh baked desserts round out the menu. Wall murals painted by localartists, a 30-foot tall-stained glass mural and balcony seating contribute to the colorful,upbeat atmosphere.
Bambara has won several awards as one of “Salt Lake’s Best Restaurants” for its outstandingcuisine, professional service, eclectic design and colorful atmosphere. This “chic” NewAmerican bistro is located inside the Hotel Monaco.
Cucina Toscana takes pride in its proven ability to serve its authentic Tuscan fare in a visuallydramatic atmosphere at the highest levels of service and quality.
Metropolitan specializes in crafting fresh and seasonal New American cuisine, Metropolitanhas been featured on the cover of Salt Lake Magazine and Designing Entrances for Retail andRestaurant Spaces (Rockport Publishing), and has also appeared in The New York Times,Washington Post, USA Today, Fortune, Travel and Leisure, Wine Spectator, Interior Design, Geo,Sunset, Outdoor, Nation's Restaurant News, Sante, The Salt Lake Tribune, Deseret News, UtahBusiness, Utah Homes & Garden, City Weekly and Catalyst.
NNeeww YYoorrkkeerr’’ss is described in Zagat as “a tasteful, elegant classic that is always reliable, alwaysan appropriate choice...’excellent’ Traditional American fare (including great steaks and to-die-for soufflés delivered by a top-notch staff.”
SSppeenncceerr’’ss is the standard for steaks and chops in Salt Lake City. Located in the Hilton Salt LakeCity Center, it’s the only place in the valley where you’ll find USDA Prime-Grade Black AngusBeef. It’s a special place for the best in prime beef or succulent chops, served in a stately, yetcomfortable atmosphere.
Join your friends after the dinner for a cash bar social back at the Sheraton City Centre.10
Dine Around Salt Lake City
11
www.wriec.org7 - 11 August 2005
CONFERENCE PROGRAM at a GlancePlease refer to pages 18 - 43 for specific information about Concurrent Sessions.
World Risk and Insurance Economics Congress
Monday, 8 August 2005 Room7:30 AM ~ 5:00 PM Registration Desk Open Season Lobby
7:30 AM ~ 8:30 AM Continuous Breakfast Buffet Three Seasons Ballroom
7:30 AM ~ 5:00 PM Exhibit Area Open Seasons South Lobby
8:40 AM ~ 10:00 AM
Official Opening: (business attire) Welcome Addresses:
Representatives of the OrganizersGary R. Herbert, Lt. Governor, Utah
Keynote Address Keynote Speaker: Peter A. Diamond, Institute Professor,Massachusetts Institute of Technology
Seasons South Ballroon
10:00 AM ~ 10:30 AM Coffee & Tea Break
10:30 AM ~ 12:00 PM
Plenary Session I: Key Issues in InsuranceModerator: Gordon Stewart, President, Insurance Information
InstitutePanelists: Axel Lehmann,CEO,Zurich North America Commercial
David Holland,Vice Chairman,President & CEO,MunichAmerican Reinsurance
Stanley Tulin,Vice Chairman & CFO, AXA Financial
Seasons South Ballroon
12:30 PM ~ 1:45 PM Luncheon (joint association function) Three Seasons Ballroom
Sunday, 7 August 2005 Room1:00 PM ~ 5:00 PM Registration Desk Open Sessions Lobby
8:00 AM ~ 3:00 PM ARIA Executive Committee and Board Meetings Autumn
9:00 AM ~ 1:00 PM APRIA Executive Committee Meeting Market West
2:00 PM ~ 4:00 PM APRIA Board of Governors Meeting Market West
4:00 PM ~ 6:00 PM EGRIE Board Meeting Rap of the Gavel
5:00 PM ~ 6:00 PMFirst-time Participant Welcome Reception (joint association function)
Harvest
6:00 PM ~ 7:30 PM Welcome Reception (open to all) Harvest, Seasons North
12
2:00 PM ~ 3:30 PM
Plenary Session II: Corporate Risk Management by Non-financial FirmsModerator: James Copeland, Jr. CEO (retired), Deloitte TouchePanelists: John R. Alm, President & CEO, Coca-Cola Enterprises
Ed. H. Bowman, President & CEO, SOURCECORPTom Johnson, Chairman & CEO, Chesapeake CorporationCharles Noski,Vice Chairman (retired), AT&T Corporation
Seasons SouthBallroom
3:30 PM ~ 4:00 PM Coffee & Tea Break
4:00 PM ~ 5:30 PM
Semi-plenary Session A: Insurance FraudModerator: Richard Derrig, OPAL ConsultingPanelists: Elizabeth Sprinkel, SVP, Insurance Research Council
Daniel Johnson, Executive Director, Insurance Fraud Bureau of Massachusetts
Hunsoo Kim, Professor, SoonChunHyang University
Seasons South
Semi-plenary Session B: Capital Adequacy and Financial Issues In Insurance Regulation
Moderator: Kawai Yoshihiro, Secretary General, International Association of Insurance Supervisors
Panelists: Potjanee Thanavaranit, Director-General, Department of Insurance, Ministry of Commerce,Thailand
Ruben Mendiolaza, Intendent, Superintendency of Banking and Insurance, Peru
Terri Vaughan, Professor, Drake University, former Iowa Insurance Commissioner and former President of the National Association of Insurance Commissioners (NAIC), USA
Seasons North
5:30 PM ARIA Annual General Meeting (until 6:30 PM)APRIA Annual General Meeting (until 6:30 PM)EGRIE Annual General Meeting (until 7:00 PM)
Seasons SouthSeasons NorthHarvest
7:00 PM ~ 9:00 PM Reception and Outdoor Dinner (casual attire) Courtyard
Tuesday, 9 August 2005 Room7:30 AM ~ 5:00 PM Registration Desk Open Seasons Lobby
7:15 AM ~ 8:15 AM Continuous Breakfast BuffetThree SeasonsBallroom
7:30 AM ~ 5:00 PM Exhibit Area Open Seasons Lobby
8:30 AM ~ 10:00 AM Concurrent Sessions I See page 18
10:00 AM ~ 10:30 AM Coffee & Tea Break
10:30 AM ~ 12:00 PM Concurrent Sessions II See page 21
12:00 PM ~ 1:30 PM Awards LuncheonThree SeasonsBallroom
WRIEC
13
Wednesday, 10 August 2005 Room
7:15 AM ~ 8:15 AM Continuous Breakfast BuffetThree SeasonsBallroom
7:30 AM ~ 5:00 PM Exhibit Area Open Seasons Lobby
8:30 AM ~ 10:00 AM Concurrent Sessions IV See page 28
10:00 AM ~ 10:30 AM Coffee & Tea Break
10:30 AM ~ 12:00 PM Concurrent Sessions V See page 31
12:00 PM ~ 1:15 PM Luncheon (joint association function)Three SeasonsBallroom
1:30 PM ~ 3:00 PM Concurrent Sessions VI See page 35
3:00 PM ~ 3:30 PM Coffee & Tea Break
3:30 PM ~ 5:00 PM Plenary Session IV:The Economics of Brokers - Current Challenges
Moderator: Neil Doherty,The Wharton School, University of Pennsylvania
Seasons SouthBallroom
Thursday, 11 August 2005 Room
7:15 AM ~ 8:15 AM Continuous Breakfast Buffet Three SeasonsBallroom
8:30 AM ~ 10:00 AM Concurrent Sessions VII See page 39
10:00 AM ~ 10:30 AM Coffee & Tea Break
10:30 AM ~ 12:00 PM Concurrent Sessions VIII See page 42
12:00 PM ~ 1:30 PM ARIA Board Meeting
1:45 PM ~ 3:15 PM Concurrent Sessions III See page 24
3:15 PM ~ 3:45 PM Coffee & Tea Break
3:45 PM ~ 5:15 PM
Plenary Session III: Geneva Risk Economics Lecture 2005(Bounding Risk Measures for Portfolios with Known Marginal Risks)
Moderator: Christian Gollier, University of ToulouseSpeaker: Paul Embrechts, Swiss Federal Institute of TechnologyDiscussant: Svein-Arne Persson, Norweign School of Economics and
Business Administration
Seasons SouthBallroom
6:00 PM“Dine Around Salt Lake City” -- Enjoy networking with others in one of the six restaurantsof your choice! See page 10. (Prior reservations are required. Dress is casual.)
Convene in Sheraton lobby at 6:00 PM for walk to restaurants.
8:30 PM “Social Event” at the Conference Hotel (optional)
WRIEC
14
Monday, 8 August 2005, 8:40 - 10:00 AM, Seasons South Ballroom
Master of Ceremonies Harold D. Skipper
Welcome Addresses
Welcome from the Presidents of World Congress Organizers
James M. Carson ARIAW. Jean Kwon APRIAChristian Gollier EGRIEPatrick M. Liedtke The Geneva Association
Welcome from the State of Utah
Honarable Gary R. Herbert, Lt. Governor
Keynote Address
Keynote Speaker:
Peter A. Diamond, Institute Professor Massachusetts Institute of Technology
Opening Ceremony
15
Plenary Sessions
Plenary Session I: Key Issues in Insurance
Monday, 8 August 2005, 10:30 - 12:00 PM, Seasons South Ballroom
Moderator: Gordon Stewart, President, Insurance Information InstitutePanelists: Axel Lehmann, CEO, Zurich North America Commercial
David Holland, Vice Chairman, President & CEO,Munich American Reinsurance
Stanley Tulin, Vice Chairman & CFO, AXA Financial
Plenary Session II: Corporate Risk Management by Non-financial Firms
Monday, 8 August 2005, 2:00 - 3:30 PM, Seasons South Ballroom
Moderator: James Copeland, Jr., CEO (retired), Deloitte TouchePanelists: John R. Alm, President & CEO, Coca-Cola Enterprises
Ed H. Bowman, President & CEO, SOURCECORPTom Johnson, Chairman & CEO, Chesapeake CorporationCharles Noski, Vice Chairman (retired), AT&T Corporation
Plenary Session III: Geneva Risk Economics Lecture 2005 (Bounding Risk Measures for Portfolios with Known Marginal Risks)
Tuesday, 9 August 2005 3:45 - 5:15 PM, Seasons South Ballroom
Moderator: Christian Gollier, University of ToulouseSpeaker: Paul Embrechts, Swiss Federal Institute of TechnologyDiscussant: Svein-Arne Persson, Norwegian School of Economics and
Business Administration
16
Plenary Sessions
Plenary Session IV: The Economics of Brokers - Current Challenges
Wednesday, 10 August 3:30 - 5:00 PM, Seasons South Ballroom
Moderator: Neil Doherty, The Wharton School, University of PennsylvaniaPanelists: J. David Cummins, The Wharton School, University of Pennsylvania
Gerald R. Ray, President, Corporate OperationsIndustry Representative (TBA)
17
Semi-plenary Session A: Insurance Fraud
Monday, 8 August 2005, 4:00 - 5:30 PM, Seasons South Ballroom
Moderator: Richard Derrig, President, OPAL ConsultingPanelists: Elizabeth Sprinkel, Senior Vice President, Insurance Research Council
Daniel Johnson, Executive Director, Insurance Fraud Bureau of Massachusetts
Hunsoo Kim, Professor, SoonChunhyang University
Semi-plenary Session B: Capital Adequacy and Financial Issues inInsurance Regulation
Monday, 8 August 2005, 4:00 -5:30 PM, Seasons North Ballroom
Moderator: Kawai Yoshihiro, Secretary General, International Association of Insurance Supervisors
Panelists: Potjanee Thanavaranit, Director-General, Department of Insurance, Ministry of Commerce, Thailand
Ruben Mendiolaza, Intendent, Superintendency of Banking and Insurance, Peru
Terri Vaughan, Professor, Drake University, former Iowa Insurance Commissioner and former President of The National Association of Insurance Commissioners (NAIC), USA
Semi-plenary Sessions
18
Concurrent Sessions I: Tuesday, 9 August 2005, 8:30 AM -10:00 AM
Concurrent Sessions
Author Affiliation Paper Title Discussant Affiliation
EGRIE Minh Phuong Bui New York U and U of Toulouse
Comparative Prudenceand ComparativeTemperance
Jim Ligon U of Alabama
EGRIE Louis Eeckhoudt,Béatrice Rey, and HarrisSchlesinger
U of Alabama andU of Konstanz
Putting Risk in itsProper Place:The Multi-dimensional Case
ChristopheCourbage
The GenevaAssociation
EGRIE Christian Gollier U of ToulouseOptimal Expectationswith Complete Markets
AlexMuermann
U of Pennsylvania
Concurrent Session I A: Economics of Uncertainty I -- HarvestModerator: Michael Sonnenholzner U of Erlangen-Nuernberg
Author Affiliation Paper Title Discussant Affiliation
EGRIE Pierre Picard U Paris X - Nanterre
Costly Risk Verificationwithout Commitment inCompetitive InsuranceMarkets
Neil Doherty U of Pennsylvania
EGRIE Henri Loubergé andRichard Watt
UniversidadAutonoma deMadrid
The Effect of an Increasein the Probability ofLoss When Risk IsEndogenous
Marie-CécileFagart
Université deRouen
Concurrent Session I C: Insurance Economics I -- Rap of the Gavel and SmokehouseModerator: Achim Wambach, U of Erlangen-Nuernberg
Concurrent Session I B: Efficiency Analysis I -- Weights & MeasuresModerator: Martin Grace, Georgia State U
Author Affiliation Paper Title Discussant Affiliation
ARIA B. Paul Choi Howard U
Foreign-owned Insurers’Performance in the U.S.Property-LiabilityMarkets
Lingyan Suo Beijing U
ARIADavid Cummins andXiaoying Xie
U of Pennsylvania
Is Independent AgencyDistribution SystemMore Revenue Efficient:A Data EnvelopmentAnalysis
Martin Grace Georgia State U
19
Author Affiliation Paper Title Discussant Affiliation
EGRIE David Cummins,YijiaLin, and Rich Phillips
U of Pennsylvaniaand Georgia State U
An EmpiricalInvestigation of thePricing of FinanciallyIntermediated Riskswith Costly ExternalFinance
RuedigerReissaus
U of Erlangen-Nuernberg
EGRIEJim Barrese, MartinGrace, and Nicos Scordis
St. John's U Concentration in theU.S. Property-LiabilityInsurance Industry
Gene LaiWashington State U
Concurrent Session I D: Insurance Empirics I -- GranaryModerator: Oliver Burkart, BaFin (Federal Financial Supervisory Authority)
Author Affiliation Paper Title Discussant Affiliation
APRIA Liu Xiaojun and ChenDan
Central U ofFinance andEconomics, andBeihang U
An Empirical Study onthe Solvency of China'sInsurers Basing theFinancial Situation ofCompanies
ThomasBerry-Stölzle
U of Cologne
APRIASoon-Jae Lee, HunsooKim, and W. Jean Kwon
Sejong U,SoonChunHyang U,and St. John's U
Choice of Exit Forms andFirm Characteristics:Evidence from the U.S.Property-LiabilityInsurance Market
HaroldSkipper
Georgia State U
ARIA Thomas Berry-Stölzle U of Cologne
The Impact of Illiquidityon the AssetManagement ofInsurance Companies
Steven Pottier U of Georgia
Concurrent Session I E: Insurance Solvency -- Market StreetModerator: Steven Pottier, U of Georgia at Athens
Concurrent Sessions
20
Concurrent Session I G: Pensions I -- Season SouthModerator: Roland Eisen, Johann Wolfgang Goethe-U Frankfurt
Concurrent Session I F: Life Insurance I -- Market WestModerator: Bill Rabel, LOMA (retired)
Author Affiliation Paper Title Discussant Affiliation
APRIA Zheng YuCentral U ofFinance andEconomics
The Focus of Life: RiskProtection orInvestment--Evidencefrom the Empirical Studyon the Demand of theLife Insurance in China’sEmerging Markets
Randy Dumm Florida State U
APRIAAlexander Kling,Andreas Richter, andJochen Russ
Institut fuerFinanzundAktuarwissenschaften and IllinoisState U
The Impact of SurplusDistribution on the RiskExposure of With ProfitLife Insurance PoliciesPolicies includingInterest RateGuarantees
ChenghsienTsai
NationalChengchiu
Author Affiliation Paper Title Discussant Affiliation
ARIA Marie-Eve Lachance San Diego State UHelping Workers DelayRetirement: Is it Worthit?
Jeff BrownU of Illinois andNBER
EGRIE Miguel Romero UniversidadAutonoma deMadrid
Optimal Consumptionand Investment with anUncertainty Lifetime ina Model with Two Assets
JasonSeligman
U of Georgia
10:00 AM - 10:30 AM -- Coffee and Tea Break -- Seasons Lobby
Concurrent Sessions
21
Author Affiliation Paper Title Discussant Affiliation
EGRIE Henry Chiu U of Manchester
Skewness Preference,Risk Taking andExpected UtilityMaximization
Minh PhuongBui
New York U and Uof Toulouse
APRIAShih-Chieh Chang,Chenghsien Tsai and Ya-Wen Hwang
National Chengchi U
Hedging Labor Incomeand Inflation uncertain-ties through CapitalMarket in DefinedContribution PensionSchemes
Snorre LindsetNorwegian U ofScience andTechnology
EGRIE Emilio Venezian Rutgers U
Evolving Risk Aversionand the Evidence forConstant Relative RiskAversion
LouisEeckhoudt
FacultésUniversitairesCatholiques deMons (retired)
Concurrent Session II A: Economics of Uncertainty II -- HarvestModerator: Minh Phuong Bui, New York U and U of Toulouse
Concurrent Sessions II: Tuesday, 9 August 2005, 10:30 AM - 12:00 PM
Concurrent Session II B: Insurance Economics II -- Weights & MeasuresModerator: Marie-Cécile Fagart, U de Rouen
Author Affiliation Paper Title Discussant Affiliation
EGRIE Jose Penalva IAE, CSIC
A Study of theInteraction of Insuranceand Financial Markets:Efficiency and FullInsurance Coverage
Seungryul Ma Daegu U
EGRIEMarie-Cécile Fagart andBidéman Kambia-Chopin
Université deRouen andUniversité ParisX-Nantere
Prevention in InsuranceMarkets
Henry ChiuU of Manchester
Concurrent Sessions
22
Author Affiliation Paper Title Discussant Affiliation
EGRIEJean Pinquet, MercedesAyuso, and MontserratGuillen
U of Barcelona Selection Bias andAuditing Policies onInsurance Claims
Martin BoyerHEC Montréal andCIRANO
ARIA Patrick Brockett, LindaGolden, and SandraDunn
U of Texas at Austin
Biological and Psycho-behavioral Correlates ofRisk Taking, CreditScores, and AutomobileInsurance Losses:Toward an Explanationof Why Credit ScoresWork
Richard Derrig Opal Consulting
ARIARichard A. Derrig andGrzegorz Rempala
Opal Consultingand UniversityLouisville
A Statistical Analysis ofthe SettlementNegotiation Process forAutomobile Bodily InjuryLiability Claims inPresence of Suspicion ofFraud and Build-up
Keith CrockerPennsylvania StateUniversity
Concurrent Session II C: Insurance Empirics II - Rap--SmokehouseModerator: Dick Butler, Brigham Young U
Concurrent Session II D: Life Insurance II -- GranaryModerator: Mahito Okura, Nagasaki U
Author Affiliation Paper Title Discussant Affiliation
APRIAMahito Okura andNorihiro Kasuga
Nagasaki UFinancial Instability andLife Insurance Demand
Bill Rabel LOMA (retired)
APRIAYee Wah Chin, Yuan Wu,and Patrick K.P. Chan
NanyangTechnological U
Spousal Characteristicsand Its Effect on LifeInsurance Ownershipbetween Spouses inSingapore
R. SuriyaNarayanan
SBI Life Insurance
Concurrent Sessions
23
Concurrent Session II E: Pensions II -- Market StreetModerator: Vickie Bajtelsmit, Colorado State U
Author Affiliation Paper Title Discussant Affiliation
EGRIE Christian Gollier U of Toulouse Optimal PortfolioManagement forIndividual Pension Plans
Richard WattUniversidadAutonoma deMadrid
ARIAJeff Brown and ScottWeisbenner
U of Illinois atUrbana-Champaign andNBER
Individual AccountInvestment Options andPortfolio Choice -Behavioral Lessons from401(k) Plans
DavidRichardson
Georgia State U
Concurrent Session II F: Public Policy -- Market WestModerator: S. Hun Seog, KAIST
Author Affiliation Paper Title Discussant Affiliation
EGRIE Anderas Engel andAchim Wambach
U of Erlangen-Nuernberg
Risk Management inProcurement Auctions
John Marshall U of California,Santa Barbara
EGRIE Sandrine Spaeter andPanagiotis Tsakiris
Louis Pasteur Uand NationalTechnical U ofAthens
Environmental Risks andFinancial Guarantees:Improving Prevention inthe Mining Industry
Martin Grace Georgia State U
Concurrent Sessions
24
Concurrent Session II G: Reinsurance -- Season SouthModerator: Bill Ferguson, U of Louisiana at Lafayette
Author Affiliation Paper Title Discussant Affiliation
ARIA Cassandra Cole, RyanLee, and KathleenMcCullough
Florida State U andU of Calgary
A Test of the EclecticParadigm: Evidencefrom the U.S.Reinsurance Market
Lars Powell U of Arkansas atLittle Rock
EGRIE Oliver Burkart
BaFin (FederalFinancialSupervisoryAuthority)
Are There Co-move-ments in the DefaultRisk of ReinsuranceCompanies?
Ran Wei U of Pennsylvania
EGRIE Ruediger Reissaus andAchim Wambach
U of Erlangen-Nuernberg
The Demand forReinsurance in theGerman and theEuropean Market: FirstEmpirical Results
Roland Eisen Johann WolfgangGoethe-U Frankfurt
12:00 PM - 1:30 PM -- ARIA Awards Luncheon -- Three Seasons Ballroom
Concurrent Sessions III: 9 August 2005, 1:45 PM - 3:15 PM
Concurrent Session III A: Actuarial Science and Insurance Finance I -- HarvestModerator: Jochen Russ, Institut für Finanz-und Aktuarwissenschaften
Author Affiliation Paper Title Discussant Affiliation
ARIA Kristian Miltersen andSvein-Arne Persson
Norweign School ofEconomics andBusinessAdministration
Is Mortality Dead? Jean Pinquet Universite Paris X -Naterre
ARIA Changsoo Lee andKwangbong Lee
Soongsil U and Inje U
Risk Diversifications inReserve Valuation:TheCase of the Korean LifeInsurance Industry
ChenghsienTsai
National Chengchi U
APRIA Chenghsien Tsai,WeiyuKuo, and Derek Mi-HsiuChiang
National Chengchi U
The Distributions ofPolicy ReservesConsidering the Policy-year Structures ofSurrender Rates andExpense Ratios
Stephen P.D’Arcy
U of Illinois
Concurrent Sessions
25
Concurrent Session III B: Corporate Risk Management I -- Weights & MeasuresModerator: Larry Cox, The University of Mississippi
Author Affiliation Paper Title Discussant Affiliation
APRIA
J.Thomas Connelly,Piman Limpaphayom,and ThanomsakSuwannoi
Chulalongkorn Uand CelestialBusiness
Are Insurance FirmsExposed to ForeignExchange RateFluctuations? Evidencefrom Insurers in theAsia-Pacific
ChristianThomann
U of Hannover
APRIAYung-Ming Shiu and Yi-Cheng Shin
Tunghai U Derivatives Usage byTaiwanese FinancialFirms
DavidSommer
U of Georgia
Concurrent Session III C: Efficiency Analysis II -- Rap--SmokehouseModerator: Gilles Bernier, Laval U
Author Affiliation Paper Title Discussant Affiliation
ARIADavid Eckles andNarumon Saardchom
Georgia Southern Uand NationalInstitute ofDevelopmentAdministration
Technical and ScaleEfficiency in the ThaiNon-life InsuranceIndustry
Yijia Lin Georgia State U
APRIA James C. Hao Tamkang U
Comparison of EconomicEfficiency EstimationMethods: An Applicationto Taiwan's LifeInsurance Industry
B. Paul Choi Howard U
ARIA Lars Powell, DavidEckles, and DavidSommer
U of Arkansas atLittle Rock, GeorgiaSouthern U and U of Georgia atAthens
Internal Capital MarketEfficiency withinFinancialConglomerates:Evidence from Property-Liability InsuranceGroups
AndreLiebenberg
Old Dominion U
Concurrent Sessions
26
Concurrent Session III D: Healthcare Economics I -- GranaryModerator: Etti Baranoff, Virginia Commonwealth U
Author Affiliation Paper Title Discussant Affiliation
EGRIE Christophe Courbageand Béatrice Rey
The GenevaAssociation
Prudence and OptimalPrevention for HealthRisks
EmilioVenezian
Rutgers U
EGRIE Rod Garatt and John Marshall
U of California,Santa Barbara
Treatment of Illnessesunder CopaymentInsurance
Peter Zweifel U of Zurich
Concurrent Session III E: Insurance Economics III -- Market StreetModerator: Art Snow, U of Georgia
Author Affiliation Paper Title Discussant Affiliation
EGRIE Michael Breuer U of Zurich
Optimal InsuranceContracts without theNon-negativityConstraint onIndemnities: Revisited
Pierre PicardUniversite Paris X -Nanterre
ARIA Peter S. Faynzilberg The Aleph Group,LLC
Competitive InsuranceMarkets
Mahito Okura Kwansei Gakuin U
APRIARichard MacMinn and S. Hun Seog
Graduate School ofManagement,KAIST
Distribution of Price andQuality underInformation Asymmetry
AchimWambach
U of Erlangen-Nuernberg
Concurrent Session III F: Pensions III -- Market WestModerator: David Richardson, Georgia State U
Author Affiliation Paper Title Discussant Affiliation
ARIA James Carson andRandy E. Dumm
Florida State U Price Indicia in theIndividual AnnuityMarket
Jennifer Wang National Cheng-chi U
APRIA Wonshik Kim Konkuk U The Corporate PensionSystem in Korea: Limitsand Prospects
Hunsoo Kim SooChunHyang U
Concurrent Sessions
27
Concurrent Session III G: Risk Analysis -- Season SouthModerator: Christian Gollier, U of Toulouse
Author Affiliation Paper Title Discussant Affiliation
APRIA Madhu Vij and GunjanSanjeev
U of Delhi andInstitute forIntegratedLearning andManagement
The Determinants ofCountry Risk Ratingsand Their PolicyImplications
Martin Halek U of Georgia atAthens
APRIANeil Doherty and RichPhilips
U of Pennsylvaniaand Georgia State U
Does a LittleCompetition ImproveRatings? The IndustrialOrganization ofInsurance Ratings
Bill Panning Willis Re
ARIA Puneet PrakashVirginiaCommonwealth U
Absolute or Relative:Which Standard DoCredit Rating AgenciesUse?
Jim Barrese St John’s U
3:15 PM - 3:45 PM -- Coffee and Tea Break -- Seasons Lobby
3:45 PM - 5:15 PM -- Plenary Session III: see page 15
Concurrent Sessions
28
Concurrent Sessions
Wednesday, 10 August 2005
7:15 AM - 8:15 AM -- Continuous Breakfast Buffet -- Three Seasons Ballroom
Concurrent Sessions IV: 10 August 2005, 8:30 AM - 10:00 AM
Author Affiliation Paper Title Discussant Affiliation
APRIAYijia Lin and Samuel H.Cox
Georgia State UMortality SecuritizationModeling
PatrickBrockett
U of Texas at Austin
ARIA
Richard MacMinn,Krzysztof Ostaszewski,Ranee Thiagarajah, andJan Frederik Weber
Illinois State U
Mortality ImprovementSelect Birth Cohorts andTheir Effect on Pricing ofSurvival Bonds
Richard Butler Brigham Young U
EGRIE
Antoine Delwarde,Michel Denuit, GuillenMontserrat, and AntonioVidiella
U Catholique deLouvain and U ofBarcelona
Application of thePoisson Log-bilinearProjection Model to theG5 Mortality Experience
EmmaZavarrone
Bicocca U, Milan,Italy
Concurrent Session IV A: Actuarial Science, Life Insurance and Mortality -- HarvestModerator: Patrick Brockett, U of Texas at Austin
Author Affiliation Paper Title Discussant Affiliation
ARIA Andre Liebenberg andDavid Sommer
Old Dominion Uand U of Georgia
Effects of CorporateDiversification: Evidencefrom the Property-Liability InsuranceIndustry
Yayuan RenU of Wisconsin atMadison
ARIA J. François Outreville UNCTAD Players and DrivingForces in WorldInsurance Services
Xinyu Li Peking U
ARIA Yayuan RenU of Wisconsin atMadison
Insurer Risk-takingStrategies in IndustryEquilibrium
MichaelSherris
U of New SouthWales
Concurrent Session IV B: Corporate Risk Management II -- Weights & MeasuresModerator: Martin Boyer, HEC Montréal and CIRANO
29
Concurrent Session IV C: Healthcare Economics II -- Rap--SmokehouseModerator: Mark Browne, U of Wisconsin at Madison
Author Affiliation Paper Title Discussant Affiliation
ARIA Patricia Born,W. KipViscusi, and Tom Baker
California State U,Northridge,Harvard LawSchool, and U ofConnecticut Schoolof Law
Tort Reform in the LongRun: An Analysis of theLasting Effects ofReform Activity onMedical MalpracticeInsurance Profitabilityand CyclicalPerformance
Steven PottierU of Georgia atAthens
ARIA Yu Lei U of Hartford
Effects of Cost-Sharingin Employer-sponsoredHealth Insurance onEmployees’ Use ofHealth Care and Health
HelenDoerpinghaus
U of South Carolina
EGRIE Karolin Becker and PeterZweifel
U of Zurich
Age and Choice inHealth Insurance:Evidence fromSwitzerland
Carlo Savino
AssociazioneNazionale fra leImpreseAssicuratrici
Concurrent Session IV D: Insurance Economics IV -- GranaryModerator: Thomas Russell, Santa Clara U
Author Affiliation Paper Title Discussant Affiliation
APRIA Wondon Lee Daegu U, Korea Costly State Verificationby a Claimant
Saleem Shaik Mississippi State U
EGRIE Arthur Snow U of Georgia
On the Possibility ofProfitable Self-selectionContracts in CompetitiveInsurance Markets
Keith H. Coble Mississippi State U
ARIAPaul Thistle and JamesLigon
U of Nevada-LasVegas and U ofAlabama
Moral Hazard andBackground Risk
Arthur Snow U of Georgia
Concurrent Sessions
30
Concurrent Session IV E: Life Insurance III -- Market StreetModerator: Mike Adams, U of Wales, Swansea
Author Affiliation Paper Title Discussant Affiliation
ARIA Helmut Gruendl,Thomas Post, andRoman Schulze
HumboldtUniversitaet zuBerlin
To Hedge or not toHedge: ManagingDemographic Risk inLife InsuranceCompanies
Shih-ChiehChang
National ChengchiU
APRIA Robert W. Cooper, Bong-Joo Lee, Kyung-LyongLee, and Han-Duck Lee
Drake U, Kyung HeeU, Sogang U, andHongik U
A Cross-culturalComparison of theEthical Environments ofthe U.S. and SouthKorean Life InsuranceMarkets
HaroldSkipper
Georgia State U
Concurrent Session IV F: Pensions IV -- Market WestModerator: Jack Marshall, U of California - Santa Barbara
Author Affiliation Paper Title Discussant Affiliation
APRIASeungryul Ma andDeokho Cho
Daegu U
A Lifetime HousingAsset Plan UsingMortgage and ReverseMortgage Finance inKorea
CassandraCole
Florida State U
APRIA R.VaidyanathanIndian Institute ofManagement
Pension Reforms andCapital MarketDevelopments in India
Byung In LimNational PensionResearch Institute
APRIA Sung-ho Kang andByung In Lim
National PensionResearch Institute,Andong U
The Crowding-out Effectof the Public Pension onthe Private Savings byIncome Classes in Korea
Marie-EveLachance
San Diego State U
Concurrent Sessions
31
Concurrent Session IV G: Social Insurance -- Season SouthModerator: Vicki Batjelsmit, Colorado State U
Author Affiliation Paper Title Discussant Affiliation
EGRIE Catarina Goulão COREThe Inefficiency of aTop-up InsuranceSystem
Xiaojun Wang Renmin U of China
ARIA David Richardson andJason Seligman
Georgia State U,and U of Georgia
Social Security:Adequacy versusSustainability
CatarinaGoulão
CORE
EGRIE Roland EisenJohann WolfgangGoethe-U Frankfurt
Short-versus Long termRisks: Arguments inFavour of PAYG SocialSecurity
VickieBajtelsmit
Colorado State U
10:00 AM - 10:30 AM -- Coffee and Tea Break -- Seasons Lobby
Concurrent Sessions V: Wednesday, 10 August 2005, 10:30 AM - 12:00 PM
Concurrent Session V A: Agency Theory I -- HarvestModerator: David Sommer, U of Georgia
Author Affiliation Paper Title Discussant Affiliation
ARIA David Eckles and MartinHalek
U of Georgia Insurer Reserve Errorand ExecutiveCompensation
Wei Zheng Peking U
ARIA Rob Hoyt and KathleenMcCullough
U of Georgia andFlorida State U
Managerial Discretionand the Impact of Risk-Based CapitalRequirements onProperty-LiabilityInsurer ReservingPractices
Larry Cox The U of Mississippi
ARIA Enya He and DavidSommer
U of Georgia
CEO Turnover andOwnership Structures:Evidence from the U.S.Property-CasualtyInsurance Industry
Qiang Liu The U of Mississippi
Concurrent Sessions
32
Concurrent Session V B: Corporate Risk Management III -- Weights & MeasuresModerator: Richard Phillips, Georgia State U
Author Affiliation Paper Title Discussant Affiliation
ARIAMarcel Boyer, MartinBoyer, and Rene Garcia
HEC Montréal andCIRANO
The Value of RiskManagement: A FrontierAnalysis
Greg Davis U of Cambridge
APRIA Mariko Nakabayashi Meiji U
Business Scandals andRisk Management: Froma Business EthicsPerspective
Terrie Troxel AICPCU/IIA
ARIADavid Cummins,Christopher Lewis, andRan Wei
U of Pennsylvania,Hartford InsuranceGroup, and U ofPennsylvania
The Market ValueImpact of OperationalRisk Events
Nobuko Aoba Naruto U ofEducation
Concurrent Session V C: Healthcare Economics III -- Rap--SmokehouseModerator: Sandrine Spaeter, U of Strasbourg
Author Affiliation Paper Title Discussant Affiliation
APRIACarlo Savino and DarioFocarelli
AssociazioneNazionale fra leImpreseAssicuratrici
Household PortfolioDiversification and theDiffusion of Health andProperty Insurance inItaly
Jan Ambrose La Salle U
APRIA S. Jayaprakash and S.Ganesan
Jansons School ofBusiness
Tweaking the CorporateHealth InsuranceModels in IndianScenario: An Entry Point
Jie GaoU of Wisconsin-Madison
Concurrent Sessions
33
Concurrent Session V D: Insurance Empirics III -- GranaryModerator: Gene Lai, Washington State U
Author Affiliation Paper Title Discussant Affiliation
ARIA Steven Pottier andDavid Sommer
U of Georgia
On the Use of Group-level FinancialInformation in InsurerSolvency Surveillance
FrancescoNatale
Bicocca U
EGRIE Emilio Venezian Rutgers U What Is the Property-Liability InsuranceBusiness?
LaureenRegan
Temple U
ARIALarry Tzeng, Ching-FanChung and JenniferWang
National Taiwan U,Academia Sinicia,and NationalChengchi U
Immoral Smirks JosephRuhland
U of Georgia
Concurrent Session V E: Insurance Finance I -- Market StreetModerator: Peter Zweifel, U of Zurich
Author Affiliation Paper Title Discussant Affiliation
ARIA Qiming Wang andJames Ligon
U of Alabama The Underpricing ofIPOs of InsuranceCompanies
Yong-DuckKim
Soongsil U
APRIAWen-Yen Hsu, RichardLu, and Shu-Ying Wu
Feng Chia U
Fair Participating LifeInsurance Policies:TheImpact of Interest RateGuarantees, BonusPolicies, and InvestmentIncentives
Jochen Russ Insitut fuer Finanz- undAktuarwissenschaften
APRIAYu Ziyou and XiaoYanhua
Lingnan U
Safety-first PortfolioOptimization Model:Predicting the AssetPortfolio of ChineseInsurance Funds withDirect Investment in theStock Market
Jung HwanLee
Korea InsuranceDevelopmentInistitute
Concurrent Sessions
34
Concurrent Session V F: Taxes -- Market WestModerator: Richard Derrig, Opal Consulting
Author Affiliation Paper Title Discussant Affiliation
ARIA Andreas Milidonis andMartin Grace
Georgia State U
Tax-deferred Pre-eventCatastrophe LossReserves:The Case ofFlorida
Richard Lu Feng Chia U
APRIA Minglai Zhu and YuanYuan
Nankai U
The Impact of StateTaxation on Property-Casualty InsuranceIndustry
Rachel Huang Ming Chuan U
ARIARachel Huang and LarryTzeng
Ming Chuan U andNational Taiwan U
Why Does aGovernment Provide TaxDeductions for NetLosses?
Minglai Zhu Nankai U
Concurrent Session V G: Terrorism Insurance -- Season SouthModerator: Louis Eeckhoudt, Facultés universitaires catholiques de Mons (retired)
Author Affiliation Paper Title Discussant Affiliation
EGRIE Christian Thomann andJ-Matthias Graf von derSchulenburg
U of HannoverCorporate Demand forTerrorism Insurance inGermany
ThomasRussell
Santa Clara U
APRIA Tom Russell and DwightJaffee
Santa Clara U Terrorism Insurance:TheRole of Government
Neil Doherty U of Pennsylvania
12:00 PM - 1:15 PM -- Luncheon -- Three Seasons Ballroom
Concurrent Sessions
35
Concurrent Sessions VI: Wedneday, 10 August 2005, 1:30 PM - 3:00 PM
Concurrent Session VI A: Actuarial Science and Insurance Finance II -- HarvestModerator: Krzysztof Ostaszewski, Illinois State U
Author Affiliation Paper Title Discussant Affiliation
ARIA Martin Grace and TylerLeverty
Georgia State U
Property-CasualtyInsurer Reserve Error:Motive, Manipulation, orMistake
KrzysztofOstaszewski
Illinois State U
EGRIE Maria Isabel Barao, Ser-Huang Poon, andJonathan Tawn
ManchesterBusiness School
A Dynamic andMultivariate Model forRisk Management andPrediction
Jose Penalva IAE, CSIC
APRIAZinoviy Landsman andMichael Sherris
U of Haifa, and U ofNew South Wales
An Insurance and AssetPricing Model for Non-normal Distributionsand Incomplete Markets
Ser-HuangPoon
ManchesterBusiness School
Concurrent Session VI B: Agency Theory II -- Weights & MeasuresModerator: Cassandra Cole, Florida State U
Author Affiliation Paper Title Discussant Affiliation
ARIA Bum Kim California State U,Bakersfield
InformationalAsymmetry, DifferentialCompensation, andImperfect Message inDemutualization
PimanLimpaphayom
Chulalongkorn U
ARIA Nobuko AobaNaruto U ofEducation
The Strategic Role ofInformation inInsurance Markets: AVertical IntegrationModel
Paul Thistle U of Nevada-LasVegas
ARIAJoe Ruhland and DavidSommer
U of Georgia
Information Asymmetryand CorporateGovernance in theProperty-LiabilityInsurance Industry
Bum KimCalifornia State UBakersfield
Concurrent Sessions
36
Concurrent Session VI C: Catastrophe Risk -- Rap--SmokehouseModerator: David Cummins, U of Pennsylvania
Author Affiliation Paper Title Discussant Affiliation
ARIA Carolyn W. Chang, JackS.K. Chang,Wei Li Lu
California State Uat Los Angeles andCalifornia StateUniversity atFullerton
Pricing CatastropheInsurance Derivatives ina SubordinatedBinomial Tree
AndreasMilidonis
Georgia State U
ARIA Yves Schneider andPeter Zweifel
U of Zurich
How MuchInternalization ofNuclear Risk ThroughLiability Insurance
Anne Kleffner U of Calgary
ARIA
Xuanjuan Chen, HelenDoerpinghaus,BingXuan Lin, and Tong Yu
U of North Carolinaat Wilmington, U ofSouth Carolina, andU of Rhode Island
Catastrophic Losses andInsurer Profitability:Evidence from 911
Faith Neale U of North Carolinaat Charlotte
Concurrent Session VI D: Insurance Brokerage -- GranaryModerator: Henry Chiu, U of Manchester
Author Affiliation Paper Title Discussant Affiliation
EGRIE Michael Sonnenholzner U of Erlangen-Nuernberg
Insurance Brokers andAdvice Quality
Peter Maas U of St. Gallen
ARIA Peter Maas U of St. Gallen How Insurance BrokersCreate Value: AFunctional Approach
MichaelSonnenholzner
U of Erlangen-Nuernberg
EGRIE Neil Doherty and AlexMuermann
U of Pennsylvania Brokers and theInsurance of Non-verifi-able Losses
Larry Tzeng National Taiwan U
Concurrent Sessions
37
Concurrent Session VI E: Insurance Economics V -- Market StreetModerator: Pierre Picard, Universite Paris X - Nanterre
Author Affiliation Paper Title Discussant Affiliation
EGRIE Christian Laux Goethe U Frankfurt
Multiline Insurance andSecuritization: BundlingRisks to Reduce MoralHazard
HarrisSchlesinger
U of Alabama andU of Konstanz
APRIA Ziyou Yu and Wu Jianjun Shanghai U ofFinance andEconomics
The Kuznets Hypothesisfor the Income Elasticityof Insurance Demandand Economic Growth: AComparison betweenMature Markets andEmerging Markets
PuneetPrakash
George State U
EGRIEStein-Erik Fleten andSnorre Lindset
Norwegian U ofScience andTechnology
Optimal HedgingStrategies for Multi-period Guarantees inthe Presence ofTransaction Costs: AStochastic ProgrammingApproach
Svein-AnnePersson
Norwegian Scool ofEconomics andBusinessAdministration
Concurrent Sessions
38
Concurrent Session VI F: Insurance Finance II -- Market WestModerator: Bill Panning, Willis Re
Author Affiliation Paper Title Discussant Affiliation
EGRIE Francesco Natale andEmma Zavarrone
Bicocca U
Testing for RiskSensitivity in theEuropean InsuranceIndustry: EmpiricalEvidence fromSubordinated DebtIssues
RichardPhillips
Georgia State U
ARIAQiang Liu and KarenEpermanis
The University ofMississippi
Debt-induced AgencyProblems and MarketDiscipline: Evidence inLife InsuranceCompanies that IssueGICs
Enya He U of Georgia
ARIA Hong Zou and MikeAdams
Lingnan U and U ofWales Swansea
Debt Capacity, Cost ofDebt and CorporateInsurance
Rob Hoyt U of Georgia
Concurrent Session VI G: Medical Malpractice Insurance - Season SouthModerator: Jay Thompson, Thompson, Coe, Cousins & Irons
Author Affiliation Paper Title Discussant Affiliation
ARIA Faith Neale, KevinEastman, and PamelaPeterson Drake
U of North Carolinaat Charlotte, FloridaState U, and FloridaAtlantic U
Is There a Crisis inHealthcare ProfessionalLiability Insurance
Cuncun Luan U of Wisconsin-Madison
ARIA Anne Carroll and JanAmbrose
Rider U and La Salle U
Medical MalpracticeReform:The Effect onInsurer Claims DefenseEffort
Lars PowellU of Arkansas atLittle Rock
ARIAPatricia Danzon, AndrewEpstein, and ScottHarrington
U of Pennsylvaniaand Yale School ofPublic health
Soft and Hard Marketsin Medical MalpracticeInsurance
Patricia Born California State U,Northridge
Concurrent Sessions
39
3:15 PM - 3:45 PM -- Coffee and Tea Break -- Seasons Lobby
3:30 PM - 5:00 PM - Plenary Session IV: See page 16
Thursday, 11 August 2005
7:15 AM - 8:15 AM -- Continuous Breakfast Buffet -- Three Seasons Ballroom
Concurrent Sessions VII: 11 August 2005, 8:30 AM -10:00 AM
Concurrent Session VII A: Agriculture Insurance -- HarvestModerator: Helmut Gruendl, Humboldt Universitaet zu Berlin
Author Affiliation Paper Title Discussant Affiliation
APRIA Chen ShuCentral U ofFinance andEconomics
Risk ManagementModel of ChinaAgriculture InsuranceFund
Liu XiaojunCentral U ofFinance andEconomics
ARIAKeith H. Coble, RobertDismukes, and JosephGlauber
Mississippi State Uand U.S.Department ofAgriculture
Private Crop Insurersand the ReinsuranceFund Allocation Decision
Zhang Hui Central U ofFinance andEconomics
APRIASaleem Shaik andJoseph Atwood
Mississippi State Uand Montana State U
Asymmetric InformationDue to Optional UnitProvision in CropInsurance
R.Vaidyanathan
Indian Institute ofManagement
Concurrent Session VII B: Automobile Insurance I -- Weights & MeasuresModerator: Yehuda Kahane, Tel Aviv U
Author Affiliation Paper Title Discussant Affiliation
ARIA Anne Kleffner, GillesBernier, and David Chan
U of Calgary andLaval U
Automobile Insurance inCanada: An Analysis ofCosts and Premiumsacross Provinces
LaureenRegan
Temple U
ARIA Steve D'Arcy U of Illinois Predictive Modeling inAutomobile Insurance
Jason Jia-Hsing Yeh
Chinese U of HongKong
Concurrent Sessions
40
Concurrent Session VII C: Corporate Risk Management IV -- Rap--SmokehouseModerator: Christian Laux, Goethe U Frankfurt
Author Affiliation Paper Title Discussant Affiliation
APRIA Yong-Duck Kim Soongsil U
An Empirical Analysis ofMarket Risks in theKorean InsuranceIndustry by Using theVaR Mo
Christian Laux Goethe U Frankfurt
ARIA Mark Browne andCuncun Luan
U of Wisconsin -Madison
The Bowman Paradox inthe U.S. Property andCasualty InsuranceIndustry
MarikoNakabayashi
Meiji U
Concurrent Session VII D: Financial Services Consolidation/ Integration -- GranaryModerator: Bum Kim, California State U, Bakersfield
Author Affiliation Paper Title Discussant Affiliation
ARIA Yuan Yuan Georgia State UIntegration in U.S.Financial System andthe Role of Insurers
Qiu PengCentral U ofFinance andEconomics
APRIA Jaehyun Kim, Sukho Lee,and Joongyoung Jeong
Seowon U
Impact ofBancassurance on LifeInsurance Companies inKorea: FirmCharacteristics andPerformance Change
Jing Ai U of Texas, Austin
APRIA M. Z. Mamun andMohammad Aslam
U of Dhaka andInstitute ofChartered Accountsof Bangladesh
Possible Synergy ofBank and Insurance in aDeveloping Economy:Empirical Evidence fromBangladesh
Li-Ming HanChinese U of HongKong
Concurrent Sessions
41
Concurrent Session VII E: Life Insurance IV -- Market StreetModerator: Jim Carson, Florida State U
Author Affiliation Paper Title Discussant Affiliation
APRIA Gene Lai and Lin Yhi Chou
Washington State U
The Impact ofOrganizational Structureand Business Strategyon Performance andRisk Taking: Evidencefrom the Life InsuranceIndustry in Taiwan
Jim Carson Florida State U
ARIA Michael E. McShane andLarry Cox
The University ofMississippi
Issuance Decisions andLong Term CareInsurance
Wonshik Kim Konkuk U, Korea
ARIAQixiang Sun, LingyanSuo, and Tao Liu
Beijing UAn Empirical Study ofChina's Life InsuranceDemand
Fang LiING Asia PacificRegional Pensions
Concurrent Session VII F: Miscellaneous Risk Management Topics -- Market WestModerator: Jennifer Wang, National Cheng-chi U
Author Affiliation Paper Title Discussant Affiliation
APRIA Mahito Okura, KojiKojima, Mahito Okura,and Yen Tong
Kwansei Gakuin U,Nagasaki U, and Uof Washington
Stock Analyst’sCompensation Structure
H.J. MohdRasid Hussin
Universiti TeknologiMARA
APRIA SeungYoung OhSamsung ResearchInstitute of Finance
A Simple Approach toRisk-based DepositInsurance Pricing
Li Zhang U of Calgary
APRIA Wenyan Shiu Feng Chia U
Uninsured Liabilitiesand Market Discipline inthe Property-LiabilityInsurance Industry
KarenEpermanis
The U of Mississippi
Concurrent Session VII G: Risk Management and Insurance Education I - WasatchModerator: Kathleen McCullough, Florida State U
Strickler Award Winning Paper Presentation - Risk Management Case Project
ARIA Rob Hoyt, U of GeorgiaKathleen McCullough, Florida State URandy Dumm, Florida State U
Concurrent Sessions
42
10:00 AM - 10:30 AM -- Coffee and Tea Break -- Seasons Lobby
Concurrent Sessions VIII: 11 August 2005, 10:30 AM - 12:00 PM
Concurrent Session VIII A: Asset/Liability Management -- HarvestModerator: Rob Hoyt, U of Georgia
Author Affiliation Paper Title Discussant Affiliation
ARIA S. Hun Seog, andSungwhee Shin
Graduate School ofManagement,KAIST, andUniversity of Seoul
Capital Allocation Usingthe Cooperative GameTheory
Bum KimCalifornia State U,Bakersfield
ARIA Bill Panning Willis ReMeasuring Loss ReserveUncertainty
HelmutGruendl
HumboldtUniversitaet zuBerlin
Concurrent Session VIII B: Insurance Regulation -- Weights & MeasuresModerator: Bill Feldhaus, Georgia State U
Author Affiliation Paper Title Discussant Affiliation
ARIA Chu-Shiu Li, Chwen-ChiLiu, and Jason Jai-HsingYeh
Feng Chia andChinese U of HongKong
The Incentive Effects ofIncreasing Per-claimDeductible Contracts inAutomobile Insurance
Jaehyun Kim Seowon U
ARIALaureen Regan, SharonTennyson, and MaryWeiss
Temple U andCornell U
The Incentive Effect ofAutomobile InsuranceRate Regulation onAccident Frequency andLoss Costs: An EmpiricalAnalysis
S. Hun Seog Graduate School ofManagement,KAIST
ARIA Yi-hsun Lai,Wen-changLin, and Min-ming Wen
National Chi NangU, National ChungCheng U, andShippensburg U
An Integrated Analysisof Regulatory Pressureand Franchise Value onthe Risk-takingBehavior of a Property-Liability Insurance Firm
Soon-Jae Lee Sejong U
Concurrent Sessions
43
Concurrent Session VIII C: Risk Management and Insurance Education II -- GranaryModerator: Bill Rabel, LOMA (retired)
Paper Title Discussant Affiliation
ARIA
Special topic: Fundraising for Universityprograms in Risk Management,Insurance, Actuarial Science, andFinancial Services
This session will end at 11:30 AM.
Debbie Babcock,Associate Director
Illinois State U
Ellen C. Paxton, Directorof Corporate andAlumni Relations
Indiana State U
Concurrent Session VIII D: Risk Management Innovation -- Market StreetModerator: Harris Schlesinger, U of Alabama and U of Konstanz
Author Affiliation Paper Title Discussant Affiliation
EGRIE Greg Davis U of Cambridge Rethinking Risk:Aspiration as Pure Risk
Yoram EdenCollege ofManagement,Rishon Lezion
APRIALi-Ming Han andRichard MacMinn
Illinois State U Bio-information andInsurance Markets
KwangbongLee
Inje U
ARIA Yoram Eden
College ofManagement,Rishon LeZion(Israel)
Probability Weighting inDamage-claimingDecisions
Wondon Lee Daegu U, Korea
12:00 PM - 1:00 PM -- ARIA Board Meeting -- Autumn
Concurrent Sessions
44
ARIA welcomes all participants and attendees to the inaugural World Risk and InsuranceEconomics Congress
ARIA:• Is a worldwide group of academic, professional, and regulatory leaders in
insurance, risk management, and related areas, joined together to advance the study and understanding of the field.
• Was founded in 1932 and its membership is comprised of academicians,individual insurance industry representatives, and institutional sponsors.
• Members teach at colleges and universities around the world, influencing tens of thousands of current and future insurance professionals and consumers.
• Emphasizes research relevant to the operational concerns and functions of insurance professionals, and provides resources, information, and support on important insurance issues.
• Aims to expand and improve academic instruction to students of risk management and insurance.
• Publishes two distinguished journals to promote the development and distribution of knowledge in risk and insurance: The Journal of Risk and Insurance and Risk Management and Insurance Review (both published by Blackwell).
• Provides forums and other programs to promote increased understanding of issues related to risk and insurance, including the ARIA annual meeting as well as the Risk Theory Society annual meeting.
Along with APRIA, EGRIE, and the GA, ARIA thanks the corporate, institutional, andindividual sponsors of the inaugural World Risk and Insurance Economics Congress.
2006 Annual meetings:2006 April 21 - 23 Richmond, VA Risk Theory Society2006 August 6 - 9 Washington, DC ARIA
For more information about ARIA, see http://www.aria.org
The American Risk and Insurance Association (ARIA)
45
c/o Singapore College of Insurance9 Temasek Boulevard, #14-01/02/03
Suntec Tower 2 o Singapore 038989Phone (65) 6221-2336 o Fax (65) 6220-6684
www.apria.org andwww.scicollege.org.sg/apria.aspEmail: [email protected]
APRIA is pleased to have you, and wishes each and every one of youto enjoy the best risk management, insurance, and actuarial scienceconference ever. It deeply appreciates the support of its individualand corporate members. It also extends thanks to sponsors of theWorld Congress for their support.
APRIA:
• Was created in 1997 to provide a means for all persons and entities with aninterest in risk management, insurance, actuarial science, and related areas to share ideas and to engage in collaborative research for the ultimate benefit of the insurance industry.
• Is international, drawing members from throughout the world, but particularly from Asia-Pacific countries.
• Provides a forum-an annual conference-where individuals from diverse cultural, political, and economic backgrounds-academics, executives,researchers, and government leaders-share their ideas as well as market developments, openly and in a spirit of helpfulness.
• Publishes Asia-Pacific Journal of Risk and Insurance.• Has Singapore College of Insurance, a regional insurance training institution
in Asia Pacific, as the official secretariat.
Future APRIA meetings:
2006 July 30 - August 2 Tokyo, Japan2007 July Taipei, Taiwan2008 July Kuala Lumpur, Malaysia (tentative)2009 July TBA2010 July/August Singapore (tentative)
For more information about APRIA, visit its website or contact its Secretariat [email protected] or [email protected].
Asia-Pacific Risk and Insurance Association
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http://www.egrie.orgEmail: [email protected]
EGRIE welcomes you to Salt Lake City for the World Risk and Insurance EconomicsCongress and wishes you a constructive andfruitful conference. EGRIE would like to extendits thanks to all those persons and sponsorswho have made this unique event possible.
• EGRIE is a European based non-profit organisation dedicated to promotingresearch on risk and insurance. This is mainly achieved through the organisation of scientific conferences and meetings, the publication of research materials and the creation of a contact network amongst the concerned parties.
• EGRIE was created by the Geneva Association in 1973 and has been supported by this association since then. In September 2002, during the 29th seminar of EGRIE, it was decided to formalise the organisational structure of EGRIE. On September 16, 2003, in Zurich, the founding assembly of EGRIE took place, the statutes of EGRIE were ratified and the Board of Directors was elected.
• Membership in EGRIE is open to all risk and insurance researchers who fulfill one of the two following conditions:
- be the author or co-author of a research paper at an EGRIE event;
- be the author or co-author of a research paper published in the GenevaReview of Risk and Insurance (formerly the Geneva Papers on Risk and Insurance Theory).
• Membership is automatic if the person concerned accepts, and is free of charge. Membership expires if the member has not participated in an official EGRIE event in the last three years.
European Group of Risk and Insurance Economists (EGRIE)
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The Geneva Association is happy to welcome insuranceeducators and professionals from around the world tothe first World Risk and Insurance Economics Congressin Salt Lake City. The Geneva Association is proud to beone of the four organizations that collaborated in creating and planning this major event.
The International Association for the Study of Risk & Insurance Economics (The Geneva Association)
• The Geneva Association was established in 1973 for the purpose of promoting economic research in the sector of risk and insurance.
• It is formed by a maximum of 80 chief executive officers from the most important insurance companies in the world.
• Its main goal is to research the growing importance of worldwide insurance activities in all sectors of the economy.
• The Geneva Association acts as a forum for its members, providing a worldwide unique platform for the top insurance CEOs.
The Geneva Association has the following core research programmes:
• Risk and Insurance Economics • Risk Management • Insurance and Finance• PROGRES: supervision and regulation• Four Pillars: research on social security and insurance, employment and
retirement• Health and Ageing: developments in health and ageing from a social,
technological, and economic point of view and assessing their influence onrisk management and insurance.
The Geneva Association publishes 8 information newsletters:• Insurance Economics • Risk Management• The Four Pillars • Health and Ageing• PROGRES • Insurance and Finance• General Information Newsletter • World Fire Statistics Bulletin
and two leading academic journals:
• The Geneva Papers on Risk and Insurance-Issues and Practice (published by Palgrave Macmillan)
• The Geneva Risk and Insurance Review (published by Kluwer)
The Geneva Association
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Notes:
Platinum Sponsors
Gold Sponsors
Silver Sponsors
www.wriec.org