ITALY. Istituto Italiano degli Attuari (IIA) ANNUAL REPORT

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1 Istituto Italiano degli Attuari (IIA) The Istituto Italiano degli Attuari was founded in ANNUAL REPORT 1. MEMBERS OF THE BOARD The Board of Directors elects from its members the President, the Vice Presidents, the General Secretary and a Treasurer. President: Vice Presidents: General Secretary: Treasurer: Auditors: Carla Angela Mormino Mario Alberto Coppini Antonio Longo Nino Savelli Giuseppe Di Tria Roberto Laganà Angelo Torri 2. ADDRESS Istituto Italiano degli Attuari Via del Corea, Roma Tel fax [email protected] 3. MEMBERSHIP In September 2000 the IIA had the following classes of Members: a) 159 Effective Members; b) 69 Aspirant for Effective Members; c) 37 Affiliate Members; d) 1 Honorary Member, e) 44 Corporate Members; f) 10 Correspondent Members. The number of IAA members amounts to 174, of which 21 are members of ASTIN, 14 members of AFIR and 37 members of ASTIN and AFIR. 4. MEETINGS During the first six months of 2000, the IIA held the following Ordinary General Meetings: February: Opzioni finanziarie e metodi di calcolo. Confronti fra procedimenti applicabili anche con la valutazione di integrali a più dimensioni by dott.ssa G. Bruno;* March: Incontro-Scontro su principi contabili in fondi sanitari by dott.ssa G. Ferrara and dott. C. Pinna;* March: Riflessioni sull assicurazione infortuni by dott. G. de Zuccato;*

2 May: Valutazioni in assicurazioni vita: nuovi orizzonti per la matematica e la tecnica attuariale by prof. E. Pitacco;* May: A stochastic asset model for actuaries in Italy by prof. D. Wilkie;* June: In ricordo del prof. Luciano Daboni by proff. C. Angela, R. Ottaviani and E. Pitacco;* June: Il principio di non arbitraggio nella finanza moderna by prof. A. Longo. * Copies of these lectures may be obtained by contacting the IIA Secretariat. 5. XXXI International ASTIN Colloquium, September 2000, Porto Cervo, Italy The XXXIst International ASTIN Colloquium, organised by the Istituto Italiano degli Attuari, took place in Porto Cervo, Costa Smeralda, from 17 th to 20 th September 2000 at the Congress Centre of Cervo Hotel. The four topics discussed during the Colloquium are: 1 - Alternative Models to the Probability of Ruin in Risk Theory; 2 - Modelling Catastrophic Risks; 3 - Technical Management of Health Insurance; 4 - Other Topics. In addition, the Colloquium had been enriched by: - two invited lectures on the themes Control Theory a useful actuarial tool? and Multiple state models, simulation and insurer solvency ; - two round tables on the themes Estimating Loss Reserves Using Various Methods and Models: a Comparative Analysis and The Future Developments in Genetics and Healthcare ; - a Panel on International Accounting Standards Committee Insurance Issues Paper ; - a Speakers Corner; - the Gunnar Benktander Prize. COLLOQUIUM ORGANISATION CHAIRMAN: Carla Angela ORGANISING COMMITTEE Riccardo Ottaviani (President), Carla Angela, Giuseppe Di Tria, Giovanna Ferrara, Gennaro Olivieri, Ermanno Pitacco, Nino Savelli. SCIENTIFIC COMMITTEE Lorenzo Peccati (President), Carla Angela, Giovanna Ferrara, Giovanni Galatioto, Fabio Grasso, Antonio Longo, Gennaro Olivieri, Riccardo Ottaviani, Ermanno Pitacco, Luciano Sigalotti.

3 Colloquium Secretariat c/o Iniziative S.r.l. Via Domenico Chelini, Rome (Italy) Tel Telefax: / mailto:iniziative@mclink SCIENTIFIC PROGRAMME OF THE COLLOQUIUM Venue: Hotel Cervo, Congress Centre Porto Cervo Opening Ceremony: Edward J. Levay, Carla Angela, Riccardo Ottaviani, Lorenzo Peccati Invited Lecture: Jukka Rantala Control theory a useful actuarial tool? Chairman: Hans Bühlmann Secretary: Nino Savelli Invited Lecture: Steven Haberman Multiple state models, simulation and insurer insolvency Chairman: Chris D. Daykin Secretary: Antonio Iannizzotto Topic 1 Alternative Models to the Probability of Ruin in Risk Theory Rapporteur: Harry Panjer Chairman: William S. Jewell Co-Chairman: Freddy Corlier Secretary: Simonetta Rabino Topic 2 Modelling Catastrophic Risks Rapporteur: Paul Embrechts Chairman: W. James MacGinnitie Co-Chairman: Jean H. Lemaire Secretary: Annamaria Olivieri Topic 3 Technical Management of Health Insurance Rapporteur: Ermanno Pitacco Chairman: Edward J. Levay Co-Chairman: Thomas Mack Secretary: Liviana Picech Topic 4 Other Topics Rapporteur: Giovanna Ferrara Chairman: Charles Levi Co-Chairman: Greg Taylor Secretary: Maria Giuseppina Bruno

4 Gunnar Benktander Prize Chairman: Paul Embrechts Co-Chairman: Giovanna Ferrara Secretary: Marco Micocci Speakers Corner Chairman: Marc Goovaerts Co-Chairman: Jean Casanova Secretary: Fabio Grasso Round Table Estimating Loss Reserves Using Various Methods and Models: a Comparative Analysis Chairman: Gennaro Olivieri Co-Chairman: Steven Lehmann Secretary: Patrizia Gigante Participants: Terry G. Clarke, Colin J. W. Czapiewski, Thomas Mack Round Table The Future Developments in Genetics and Healthcare Chairman: Edward J. Levay Secretary: Giovanna Ferrara Participants: Howard J. Bolnick, Chris D. Daykin, Steven Haberman, Jean H. Lemaire, Philippe C. Maeder, Ermanno Pitacco Panel on International Accounting Standards Committee Insurance Issues Paper Chairman: Robert Buchanan Secretary: Alessandra Carleo Participants: Peter Clark, Giovanni Fiori, Closing Ceremony: Edward J. Levay, Carla Angela, Riccardo Ottaviani, Lorenzo Peccati Invited lectures, reports, summaries of round tables, speakers corner and panel will be published in a special issue of the G.I.I.A. (Giornale dell'istituto Italiano degli Attuari) and sent to all Participants. 6. PUBLICATIONS The Giornale dell Istituto Italiano degli Attuari (GIIA) is published once a year, each issue consisting of about pages. Chief Editor: Riccardo Ottaviani Editorial Committee: C. Angela, M. Angrisani, A. Bellieri, M.A. Coppini, F. Grasso, A. Longo, G. Orrù, R. Ottaviani, M. Pagliacci, L. Peccati, E. Pitacco, V. Urciuoli Secretary: Fabio Grasso The editor of the GIIA can be reached via the following address: Giornale dell Istituto Italiano degli Attuari Via del Corea, ROMA

5 Table of contents Vol. LXII, 1999, n. 1-2, of the GIIA. L uso delle riserve in base alle anzianità maturate nei fondi pensione: due indici per valutarne gli effetti sullo stato patrimoniale e sul conto economico by M.A. Coppini pag. 1 The APS reinsurance with skewed claims ratio distributions by F. Grasso and A. Iannizzotto pag. 11 La valutazione di un contratto di protezione dal rischio finanziario per un Fondo Pensione by M. Micocci pag. 29 Valore di una polizza assicurativa e ritenzione Pareto-ottimale in ipotesi di sinistrosità caratterizzata da eventi rari by R. Ghisellini pag. 43 Un modello di valutazione del costo di garanzie di rendimenti minimi esigibili nel continuo e condizionate alla sopravvivenza by E. Vannucci pag. 65 Decomposable financial processes associated to non-homogeneus laws by S. Cruz Rambaud and A. G. S. Ventre pag. 79 Some remarks on solvency of insurers by J. Rantala pag. 89 Copies of this volume may be obtained by contacting the IIA Secretariat. Other publications: Transaction of National Congress of Actuaries, Milano, The contributor (Prof. Fabio Grasso)