1 / 32

Modelling, Measuring and Managing of Extreme Risks

Modelling, Measuring and Managing of Extreme Risks. Vortragender: Dr. Mag. Stefan Hochrainer-Stigler IIASA-International Institute for Applied Systems Analysis Laxenburg, Austria

brandonreynolds
Download Presentation

Modelling, Measuring and Managing of Extreme Risks

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Modelling, Measuring and Managing of Extreme Risks Vortragender: Dr. Mag. Stefan Hochrainer-Stigler IIASA-International Institute for Applied Systems Analysis Laxenburg, Austria Website for ppt: http://user.iiasa.ac.at/~hochrain/KIT2013/ • Allgemeines: • Vorlesung -> mündliche oder schriftliche Prüfung (80 Prozent) • Seminar -> ohne Prüfung, aber Vortrag (30 Prozent) und • Ausarbeitung (50 Prozent) • Bachelor-Studierende einen Vortrag und arbeiten ihn schriftlich aus, • Master- und Diplom-Studierende, erweiterte Seminararbeit. • Anwesenheitspflicht • Mitarbeit (alle) (20 Prozent): Selbständiger Versuch der Berechnung der Beispiele.

  2. Überblick Zeiteinteilung: Dienstag: 20.05: Teil I: 10:30-13:30: 3h -> 4 EH Teil I: 14.30-16:45: 2h.15 ->3 EH Teil II: 17.00-18.00: 1h->2 EH Mittwoch: 21.05: Teil III: 8:00-9:30: 1h.30 ->2 EH 09:30-12:30: 3 -> 4 EH Teil VI: 13:30-15:00: 1.30 -> 2 EH Teil IV: 15:00-18:00: 3h -> 4 EH Donnerstag: 22.05: Teil IV: Präsentationen: 8:30-14:45: 6h.15 -> 7 EH Insgesamt: 28 EH

  3. Überblick • Teil I: • 4 Stunden: Einführung, Motivation, Risiko, Nutzenfunktion, Risikoaversion, • Prämien (Beispiele rechnen) • 1.5 Stunde : Arrow Lind Theorem, Ausnahmen, Diskussion, Katastrophen, Naturkatastrophen • Teil II: Risikoinstrumente, Naturkatastrophen, Extreme, Maßzahlen • 2.5 Stunde: Risiko öffentlicher Sektor etc. Einführung • 2.5 Stunde: Risikomanagement Methoden (Beispiel rechnen) • 1 Stunde: Versicherungslösungen für Katastrophen • Teil III: • 2.5 Stunde: Extremwertstatistik I + II • 2 Stunde: Katastrophenmodelle, Simulationsmethoden • 1 Stunde: Fiskalische Risikomatrix • Teil IV: • Spezialthemen • Anwendungsbeispiele • AktuelleAnwendungs- und Forschungsgebiete • AbschliessendeDiskussion

  4. MotivationExample Natural Disasters • Only a few global databases of past natural disaster events exist, most important ones are. - EmDat: The International Disaster Database CRED, Catholic University of Louvain, Brussels (Belgium) , http://www.emdat.be, publish reports annually • Munich Re: Special issue: Topics (published annually) • Swiss Re: Special issue: Sigma (published annually)

  5. Munich Re: Topics, Swiss Re: Sigma www.munichre.com www.swissre.com

  6. Motivation • Different definitions of disasters: Munich Re SwissRe Em-Dat

  7. Adjustment for inflation • Swiss Re example based on Floods in UK: 29 October-10 November 2000

  8. EMDAT starts from 1900 * EM-DAT 2005

  9. Munich Re Figures: 1980-2010 Munich Re 2011

  10. Munich Re Figures Munich Re 2011

  11. Munich Re Figures Munich Re 2011

  12. Munich Re Figures Munich Re 2011

  13. Munich Re Figures Munich Re 2005

  14. Swiss Re: Insured Losses Swiss Re 2011

  15. Average losses per income group * ** * NatCatService 2005 ** NatCatService 2005

  16. Average losses per income group * NatCatService 2005 ** NatCatService 2005

  17. Methodology for comparison Hochrainer, 2006

  18. Honduras • Actual GDP growth in Honduras with events vs. projected growth without events Source: Zapata, 2008

  19. Honduras Indirect development loss Observed GDP in Honduras with events vs. projected growth without events. Source: Zapata, 2008; World Bank, 2007; own calculations Direct effect due to wealth loss • GDP trajectories Source: WDI, 2007; own calculations

  20. Currently Paradigm shift Government assistance (taxes) Kinship arrangements Donor assistance Insurance and reinsurance, microinsurance Catastrophe bond, weather derivatives Contingent credit, reserve fund Reactive Proactive Turkey: Insurance Pool (2000) India: Weather derivatives (04) Mexico: Cat bond (06) India, Colombia, Mexico etc: Funds Colombia: Contingent credit (05) Caribbean: Regional insurance pool (2006) Pacific: Regional insurance pool (in the making) Global: GFDRR, GIRIF (2008) Traditional approach to risk financing All with donor support

  21. Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development Source: Bettencourt et al., 2006

  22. Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development Source: Bettencourt et al., 2006

  23. Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development Source: Bettencourt et al., 2006

  24. Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development Source: Bettencourt et al., 2006

  25. Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development Source: Bettencourt et al., 2006

  26. Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development Source: Bettencourt et al., 2006

  27. Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development Source: Bettencourt et al., 2006

  28. Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development Source: Bettencourt et al., 2006

  29. Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development Source: Bettencourt et al., 2006

  30. Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development Source: Bettencourt et al., 2006

  31. Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006

  32. Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006

More Related