相关论文: Managing Basis Risks in Weather Parametric Insuran…
Parametric insurance contracts translate index measurements to compensation for policyholders' losses using predefined payment schemes. These need to be designed carefully to keep basis risk, i.e. the disparity between payouts and true…
The financial viability of renewable energy projects is challenged by the variability and unpredictability of production due to weather fluctuations. This paper proposes a novel risk management framework combining parametric insurance and…
Parametric insurance has emerged as a practical way to cover risks that may be difficult to assess. By introducing a parameter that triggers compensation and allows the insurer to determine a payment without estimating the actual loss,…
In high-risk environments, traditional indemnity insurance is often unaffordable or ineffective, despite its well-known optimality under expected utility. We compare excess-of-loss indemnity insurance with parametric insurance within a…
Payments in parametric insurance solutions are linked to an index and thus decoupled from policyholders' true losses. While this principle has appealing operational benefits compared to traditional indemnity coverage, i.e. is very efficient…
Insurance industry is one of the most vulnerable sectors to climate change. Assessment of future number of claims and incurred losses is critical for disaster preparedness and risk management. In this project, we study the effect of…
The effects of weather on agriculture in recent years have become a major global concern. Hence, the need for an effective weather risk management tool (i.e., weather derivatives) that can hedge crop yields against weather uncertainties.…
The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
As climate change poses new and more unpredictable challenges to society, insurance is an essential avenue to protect against loss caused by extreme events. Traditional insurance risk models employ statistical analyses that are inaccurate…
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a…
Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. By employing a panel regression analysis on sectoral returns,…
Climate-related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and productivity. It is essential for asset managers to quantify the…
New satellite sensors will soon make it possible to estimate field-level crop yields, showing a great potential for agricultural index insurance. This paper identifies an important threat to better insurance from these new technologies:…
In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurers…
Extreme weather events are becoming more common, with severe storms, floods, and prolonged precipitation affecting communities worldwide. These shifts in climate patterns pose a direct threat to the insurance industry, which faces growing…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…
We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
We present an approach to the dynamic valuation of exposure risks in the multi-period setting, which incorporates a dynamic and multiple diversification of risks in Pareto optimal sense. This approach extends classical indifference premium…