Modélisation stochastique du risque de pandémie : stratégies de couverture et d'assurance PDF Download

Author: Jacques Janssen
Publisher: Lavoisier
ISBN: 2746238063
Category : Actuarial science
Languages : fr
Pages : 259

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Book Description
Virus du SIDA, grippe aviaire (H5N1), grippe A (H1N1) la menace d'une pandémie appartient désormais à notre quotidien. Drame humain majeur, ce risque sanitaire entraînerait de lourdes conséquences financières pour les assureurs. À l'exception de la grippe espagnole de 1918, nous ne disposons que de peu de repères pour modéliser, appréhender et calculer l'impact d'une pandémie. Les nouvelles normes européennes Solvabilité II qui entrent en vigueur en 2013 donnent obligation aux assureurs de cartographier l'ensemble des risques. Dès lors, comment modéliser une pandémie ? Comment évaluer son coût ? Comment transférer tout ou partie de ce risque à un tiers (réassureur, marchés financiers via la titrisation) ? Quelle stratégie de couverture choisir ? Cet ouvrage modélise, pour la première fois, le risque de pandémie et apporte ainsi des réponses claires à l'ensemble de ces questions. Il constitue un guide essentiel pour les compagnies d'assurance.

Author: Marine Corlosquet-Habart
Publisher:
ISBN:
Category :
Languages : fr
Pages : 252

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Book Description
La grippe aviaire H5N1 et la récente grippe A (H1N1) ont rappelé aux assureurs qu'ils pouvaient craindre l'occurence d'un risque de pandémie. L'objectif de cette thèse est de déterminer comment modéliser la propagation du virus de la grippe, quantifier ce risque dans le cadre de Solvabilité 2, et s'en couvrir. Une première partie se concentre sur le calcul du coût humain et financier d'une pandémie de grippe, et s'appuie sur la construction d'un modèle épidémiologique intégrant les spécificités de l'activité d'assurance. Une attention particulière est portée à la mise en \oe{}uvre pratique de ce modèle en utilisant les données empiriques qui proviennent de la pandémie de grippe A(H1N1). Une seconde partie porte sur l'intégration du risque de pandémie dans un Modèle Interne Partiel, en respectant les exigences de Solvabilité 2. Nous proposons une modélisation du risque de mortalité tenant compte du type de données disponibles. Ce modèle permet alors de déterminer l'impact d'une pandémie en terme de valeur et de capital. Une troisième partie analyse les différentes stratégies de couverture possibles pour un assureur pour faire face au risque de pandémie. Plusieurs axes de réflexion sont proposés, et des critères de choix sont établis pour aider le décideur à déterminer la stratégie optimale pour son activité.

Author: Hendrik Adolf Lauwerier
Publisher:
ISBN:
Category : Biomathematics
Languages : en
Pages : 146

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Author: Arthur Charpentier
Publisher: CRC Press
ISBN: 1498759823
Category : Business & Economics
Languages : en
Pages : 652

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Book Description
A Hands-On Approach to Understanding and Using Actuarial ModelsComputational Actuarial Science with R provides an introduction to the computational aspects of actuarial science. Using simple R code, the book helps you understand the algorithms involved in actuarial computations. It also covers more advanced topics, such as parallel computing and C/

Author: Asian Development Bank
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 124

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Book Description
Aiming to support the development of a framework for the analysis of risk in project design and economic analysis, this handbook outlines technical approaches to modeling risk. Also summarized is the nature and practice of sensitivity analysis in dealing with uncertain outcomes as well as the principles to consider in typical risk analysis situations sector by sector. Case studies are included to demonstrate the application of quantitative risk analysis using actual Asian Development Bank projects to help improve project design and quality. Handbook users will learn to identify factors that are the key determinants of project outcomes, determine the likelihood of an individual project's returns being unacceptable, and design measures to mitigate the risks arising from the identified key factors.

Author: Hans U. Gerber
Publisher: Springer Science & Business Media
ISBN: 3662026554
Category : Mathematics
Languages : en
Pages : 137

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Book Description
HaIley's Comet has been prominently displayed in many newspapers during the last few months. For the first time in 76 years it appeared this winter, clearly visible against the nocturnal sky. This is an appropriate occasion to point out the fact that Sir Edmund Halley also constructed the world's first life table in 1693, thus creating the scientific foundation of life insurance. Halley's life table and its successors were viewed as deterministic laws, i. e. the number of deaths in any given group and year was considered to be a weIl defined number that could be calculated by means of a life table. However, in reality this number is random. Thus any mathematical treatment of life insurance will have to rely more and more on prob ability theory. By sponsoring this monograph the Swiss Association of Actuaries wishes to support the "modern" probabilistic view oflife contingencies. We are fortu nate that Professor Gerber, an internationally renowned expert, has assumed the task of writing the monograph. We thank the Springer-Verlag and hope that this monograph will be the first in a successful series of actuarial texts. Hans Bühlmann Zürich, March 1986 President Swiss Association of Actuaries Preface Two major developments have influenced the environment of actuarial math ematics. One is the arrival of powerful and affordable computers; the once important problem of numerical calculation has become almost trivial in many instances.

Author: Harry Joe
Publisher: World Scientific
ISBN: 981429988X
Category : Business & Economics
Languages : en
Pages : 370

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Book Description
1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka

Author: Michel Denuit
Publisher: John Wiley & Sons
ISBN: 0470016442
Category : Business & Economics
Languages : en
Pages : 458

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Book Description
The increasing complexity of insurance and reinsurance products has seen a growing interest amongst actuaries in the modelling of dependent risks. For efficient risk management, actuaries need to be able to answer fundamental questions such as: Is the correlation structure dangerous? And, if yes, to what extent? Therefore tools to quantify, compare, and model the strength of dependence between different risks are vital. Combining coverage of stochastic order and risk measure theories with the basics of risk management and stochastic dependence, this book provides an essential guide to managing modern financial risk. * Describes how to model risks in incomplete markets, emphasising insurance risks. * Explains how to measure and compare the danger of risks, model their interactions, and measure the strength of their association. * Examines the type of dependence induced by GLM-based credibility models, the bounds on functions of dependent risks, and probabilistic distances between actuarial models. * Detailed presentation of risk measures, stochastic orderings, copula models, dependence concepts and dependence orderings. * Includes numerous exercises allowing a cementing of the concepts by all levels of readers. * Solutions to tasks as well as further examples and exercises can be found on a supporting website. An invaluable reference for both academics and practitioners alike, Actuarial Theory for Dependent Risks will appeal to all those eager to master the up-to-date modelling tools for dependent risks. The inclusion of exercises and practical examples makes the book suitable for advanced courses on risk management in incomplete markets. Traders looking for practical advice on insurance markets will also find much of interest.

Author: Health Metrics Network
Publisher: World Health Organization
ISBN: 9241547510
Category : Health services administration
Languages : en
Pages : 80

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Book Description
"The Health Metrics Network (HMN) was launched in 2005 to help countries ... improve global health by strengthening the systems that generate health-related information for evidence-based decision-making."--Introd.

Author: Barbara Dufour
Publisher: Fao
ISBN: 9789251057544
Category : Business & Economics
Languages : en
Pages : 390

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Book Description
This book is the result of collaboration among epidemiological surveillance specialists at all the operational echelons of an epidemiological surveillance network: organisation, training, data management and evaluation. The coordinators of various networks contributed their valuable experience to this practical guide. This practical guide is aimed at all those responsible for epidemiological surveillance network design, organisation and operation in both the northern and southern hemispheres