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.
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.
----
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.
