Avviso di seminario - Universita' di Pavia

["Leonardo Bottolo" <lbottolo@eco.unipv.it>]

UNIVERSITA' DEGLI STUDI DI PAVIA
DIPARTIMENTO DI ECONOMIA POLITICA E METODI QUANTITATIVI
DIPARTIMENTO DI MATEMATICA "F.CASORATI"
DOTTORATO DI RICERCA IN STATISTICA MATEMATICA
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                         AVVISO DI SEMINARIO


Giovedi' 18 aprile, alle ore 15.30, nell'aula del Consiglio di Facolta',
Dipartimento di Economia Politica e Metodi Quantitativi (via San Felice 5,
Pavia)


                          STEFANO CORRADIN
             (RAS - Pianificazione Redditivita' di Gruppo)


terra' un seminario dal titolo:


                 ECONOMIC RISK CAPITAL AND REINSURANCE:
                    AN APPLICATION TO FIRE CLAIMS OF
                          AN INSURANCE COMPANY


Abstract:

The viability of an insurance company depends critically on the size and
frequency of large claims. An accurate modelling of the distribution of
large claims contributes to correct pricing's and reserving's decisions
while maintaining, at an acceptable level, the unexpected fluctuations
in the results through reinsurance. We provide a model for large losses
and we extrapolate through a simulation a scenario based on separate
estimation of loss frequency and loss severity according to extreme
value theory, with particular reference to generalized Pareto
approximations. We present an application to the fire claims of an
insurance company. One conclusion is that the distribution of fire
claims is long-tailed and an accurate exploratory data analysis is
done to detect heavy tailed behavior and stability of parameters and
statistics across different thresholds. We simulate the impact of a
quota share and an excess of loss reinsurance structure on the
distribution of total loss and on economic risk capital. We provide
also a tool to price and investigate how different reinsurance programs
can affect economic risk capital and explain the rationale of the choice
of the optimal reinsurance programmes to smooth economic results. This
is a joint work with Benoit Verbrigghe (RAS - Pianificazione e
Redditivitą di Gruppo).



Durante il seminario sarą offerto ai partecipanti un piccolo rinfresco.


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Per ulteriori informazioni riguardo ai Seminari di Probabilita' e
Statistica e' possibile scrivere a:

lbottolo@eco.unipv.it