Extreme Risk Analysis

Announcement from the EAA organiser:

The economic model of insurance is based on mutualization. Roughly speaking, this consists in considering that the good results of the majority of the insureds compensate for the losses linked to the claims of a minority. Mathematically, it is based on the law of large numbers and the central limit theorem. But new risks, on a large scale, such as cyber, climatic or epidemiological risks, can challenge this model. On the one hand, the scale of the associated disasters, which takes us away from the hypotheses of the central limit theorem, and on the other hand, the statistical ignorance of the phenomena considered, which makes their anticipation and coverage complicated. The question of the (mathematical) insurability of these risks is clearly raised.

The web session is open to all interested persons with basic knowledge on property and casualty insurance.

Real-life examples will be presented on R. Attendees are encouraged to install R on their laptop, as the exercises will be done in this programming language (*). One can install R from https://www.r-project.org. As the editor we’ll be using ‘RStudio’, which can be installed from https://www.rstudio.com.

Technical Requirements: Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training). Please also make sure that you are joining the web session with a stable internet connection. The case study will be provided as Microsoft Excel file, hence Microsoft Excel or a compatible software is recommended.

The objective of this course is to understand and master the mathematical and statistical tools necessary for the analysis of extreme risks. We will present the main mathematical issues related to the study of these extreme risks and show how mathematical modeling and the relevant use of the (often scarce) data available can be used to build management solutions for this type of risk.

Click here to make a reservation: Your early-bird registration fee is € 300.00 plus 19% VAT for bookings by 2 February 2023. After this date, the fee will be € 400.00 plus 19% VAT.