Jeudi, je vais participer, à distance, au 23e congrès de l’Institut des Actuaires, en France, avec Florence Picard et Laurence Barry.
Notre exposé a pour titre “assurabilité : vers de nouveaux partages de risques?”. Je parlerais un peu des catastrophes naturelles… et du risque de sécheresse, ou plutôt du risque “RGA“.
Continue reading Assurabilité, vers de nouveaux partages de risque, Congrès des Actuaires
Our paper, Predicting Drought and Subsidence Risks in France, written with Molly Rose James, and Hani Ali, will appear soon in Natural Hazards and Earth System Sciences.
The economic consequences of drought episodes are increasingly important, although they are often difficult to apprehend in part because of the complexity of the underlying mechanisms. In this article, we will study one of the consequences of drought, namely the risk of subsidence (or more specifically clay shrinkage induced subsidence), for which insurance has been mandatory in France for several decades. Using data obtained from several insurers, representing about a quarter of the household insurance market, over the past twenty years, we propose some statistical models to predict the frequency but also the intensity of these droughts, for insurers, showing that climate change will have probably major economic consequences on this risk. But even if we use more advanced models than standard regression-type models (here random forests to capture non linearity and cross effects), it is still difficult to predict the economic cost of subsidence claims, even if all geophysical and climatic information is available.
Tomorrow morning, at 7 am, I will give a talk at the Actuarial Conference # 62 on climate models and insurance, getting back on two recent paper.
The first paper is Insurance against NaturalCatastrophes: Balancing Actuarial Fairness and Social Solidarity with Laurence Barry (PARI) and Molly James (EURIA)
Based on official risk areas (PPRL and PPRI)
we will investigate the prices of houses and apartments
and discuss connections between risk and wealth.
The second paper is Predicting Drought and SubsidenceRisks in France with Hani Ali (Willis Re) and Molly James (EURIA)
We did try several models to predict subsidence frequency
GLMs and also random forests
Then we got predictions for frequency, in 2017
and 2018
Then, we’ve been able to derive some risk maps
Here are predictions for costs for 2017
for 2019
and for 2020
I still wonder how to take into account climate change in this approach (except that we are more and more likely to be in the upper left corner – hot and dry)
Finally, I will (very briefly) discuss two recent works, the first one with Amirouche Benchallal (UQAM) and Yacine Bouroubi (Sherbrooke) on wildfire in Québec
and the second one, with Nouri Sakr (Columbia) and Mennatalla Mohamed Hassan (AmericanUniversity in Cairo) on government intervention in the context of natural catastrophes.
Le 9 novembre, je participerai au 20e congrès de l’Institut des Actuaires, avec Molly et Ali, pour présenter nos travaux (Predicting Drought and Subsidence Risks in France).
New paper with Molly James and Hani Ali, now available on https://arxiv.org/abs/2107.07668
The economic consequences of drought episodes are increasingly important, although they are often difficult to apprehend in part because of the complexity of the underlying mechanisms. In this article, we will study one of the consequences of drought, namely the risk of subsidence (or more specifically clay shrinkage induced subsidence), for which insurance has been mandatory in France for several decades. Using data obtained from several insurers, representing about a quarter of the household insurance market, over the past twenty years, we propose some statistical models to predict the frequency but also the intensity of these droughts, for insurers, showing that climate change will have probably major economic consequences on this risk. But even if we use more advanced models than standard regression-type models (here random forests to capture non linearity and cross effects), it is still difficult to predict the economic cost of subsidence claims, even if all geophysical and climatic information is available.
