Management of catastrophic risks considering the existence of early warning systems

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Claudia Flores, Allemagne
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Summary:
It is of crucial importance to incorporate the notion of early warning systems in insurance mathematics. We develop the concept of an arrival process considering an early warning system and we use it to create actuarial models considering the existence of early warnings. As an example of application, we formulate a stochastic optimization problem using our model to find an investment strategy for the management of a fund from a governmental perspective and we solve it using the Föllmer-Schweizer strategy.
 
Date: 30 May - Time: 8:30 to 10:00 - Room: 241
Theme: 3.B. High severity risks and insurability