English Version

 

 

Cours du QEM2 et Master2 MAEF: IRFA

 

 

Semestre 2

 

 

Crédit ECTS: 3 ECTS

 

 

Enseignant: A. Chateauneuf

 

 

E-mail: A. Chateauneuf@univ-paris1.fr

 

 

Evaluation: Examen final

 

 

Présentation:

 

 

The purpose of this course is to present the basics of microeconomic theory of insurance in connection with modern actuarial risk theory. The course content will be the following

 

 

- Basic mechanisms of insurance.

- 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.

- Pareto-optimal reinsurance treaties.

- The concept of comonotonicity in actuarial science and finance : derivation of the more risky law for a given insurance portfolio.

- Adverse selection in insurance markets.

 

 

Bibliographie:

• Georges Dionne, Handbook of Insurance, Kluwer Academic Publishers, 2000. Chapter 5.
• Rob Kaas, Marc Goovaerts, Jan Dhaene and Michel Denuit, Modern Actuarial Risk Theory, Kluwer Academic Publishers, 2001. Chapters 1, 5, 10.

 

 

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