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Microeconomics of insurance
Teacher:  Emily Tanimura  

E-mail:  [email protected]
ECTS: 2.5
Evaluation:   written Exam
Previsional Place and time:  MSE, see timetable for details. 

Prerequisites:  mainly: 
-Elementary Probability (mainly cdf, classical  discrete and continuous law),
-basic Linear algebra, 
-real Analysis (real valued functions, convex functions, table of variations) 
- Optimization (KKT conditions)
Aim of the course: Introduction to insurance and reinsurance
 Syllabus:  Basic mechanisms of insurance (the different kinds of contract, proportional insurance, stop-loss insurance contract, utility fonctions ...)
- Models of insurance demand in a one-period setting.
- Impact of changes in wealth, prices and attitudes towards risk, on levels of coinsurance or deductible.
 -Optimality of deductible, stop-loss reinsurance, proportional reinsurance.
- The concept of comonotonicity in actuarial science and finance : derivation of the more risky law for a given insurance portfolio.
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Risk sharing

 
References: 
R. Kaas, M. Goovaerts, J. Dhaene, and M. Denuit. Modern Actuarial Risk Theory, Chapters 1, 5, 10. Kluwer Academic Publishers, 2001.

D. Henriet et J._C. Rochet, Microeconomie de l'assurance, 1999, Economica

This information is indicative and can be subject to change. 





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  • Home
  • Courses
  • Timetable
  • Opportunities
  • Applying
  • Contact
  • Internship
  • Optimal transport
  • Algorithmic game theory
  • Neural network