Fourth Brazilian Conference on Statistical Modelling in Insurance and
    Finance
         

Fourth Brazilian Conference on Statistical
Modelling in Insurance and Finance

Maresias, April 4 - 8, 2009, Brazil

http://www.ime.usp.br/bcsmif     email: maresias@ime.usp.br



Measuring and Covering Catastrophic Risks

Arthur Charpentier

There has been recently a large interest in catastrophic risks, especially following Hurricane years in 2004 and 2005. But measuring those risks and providing an appropriate cover might be difficult. In this course, we will first describe those risks, especially climate risks (or climate related), man based risks (large fires or business interuption), and mortality risks. For those risks, we will also discuss possible covers, from classical (re)insurance to securitization (cat or mortality bonds) or insurance-linked securities (cat options). As we will see, the pricing of those products can simply be related to the choice of a risk measure. We will then discuss risk measures for large risks, and conclude with the aggregation issue.