Assurance | EPFL Graph Search

Une assurance est un service qui fournit une prestation lors de la survenance d'un événement incertain et aléatoire souvent appelé « risque ». La prestation, généralement financière, peut être destinée à un individu, une association ou une entreprise, en échange de la perception d'une cotisation ou prime. Par extension, l'assurance est le secteur économique qui regroupe les activités de conception, de production et de commercialisation de ce type de service. Définition du service La définition la plus courante de l'opération d'assurance est celle de Joseph Hémard (1876-1932), juriste français et professeur en faculté de droit : Les risques couverts Les conditions permettant l'assurabilité d'une chose sont l'aléa, l'imprévisibilité d'un événement dommageable en tant que tel ou d'une de ses caractéristiques ( date du décès), l'indépendance de la volonté de l'assuré ( divorce), le caractère licite de l'évènement ( impossibilité d'assurer les conséquences d'une co

Impact of Insurance on Earthquake Risk Territories in Japan

Rémy Zgraggen

The subject of the present PhD thesis is the qualitative, interdisciplinary analysis of the impact of earthquake insurance on earthquake risk territories in Japan. On the one hand, the Japanese Earthquake Insurance System (JEI) will be analyzed; on the other hand, the liability insurance system for nuclear risks in Japan will be examined. The first research question (R1) focuses on the impact of insurance on earthquake risk territories, whereas the second research question (R2) concerns the adequacy and efficiency of earthquake insurance and the nuclear liability insurance system in Japan. These two research questions will be analyzed in the following two case studies: the Great Hanshin Earthquake in 1995 in the Kobe-Osaka area, and the Tohoku Earthquake, including the following nuclear disaster at Fukushima, in 2011 in the northern part of Japan. In the first case study, the functioning and influence of the JEI will be examined, whereas in the second case study, the liability insurance system for nuclear risks in Japan will be analyzed.

EPFL2015

Robust Portfolio Optimization

Zheng Wei Yap

Since the 2008 Global Financial Crisis, the financial market has become more unpredictable than ever before, and it seems set to remain so in the forseeable future. This means an investor faces unprecedented risks, hence the increasing need for robust portfolio optimization to protect them against uncertainty, which is potentially devastating if unattended yet ignored in the classical Markowitz model, whose another deficiency is the absence of higher moments in its assumption of the distribution of asset returns. We establish an equivalence between the Markowitz model and the portfolio return value-at-risk optimization problem under multivariate normality of asset returns, so that we can add these excluded features into the former implicitly by incorporating them into the latter. We also provide a probabilistic smoothing spline approximation method and a deterministic model within the location-scale framework under elliptical distribution of the asset returns to solve the robust portfolio return value-at-risk optimization problem. In particular for the deterministic model, we introduce a novel eigendecomposition uncertainty set which lives in the positive definite space for the scale matrix without compromising on the computational complexity and conservativeness of the optimization problem, invent a method to determine the size of the involved uncertainty sets, test it out on real data, and explore its diversification properties. Although the value-at-risk has been the standard risk measure adopted by the banking and insurance industry since the early nineties, it has since attracted many criticisms, in particular from McNeil et al. (2005) and the Basel Committee on Banking Supervision in 2012, also known as Basel 3.5. Basel 4 even suggests a move away from the what" value-at-risk to the what-if" conditional value-at-risk' measure. We shall see that the former may be replaced with the latter or even other risk measures in our formulations easily.

EPFL2017

Financial Stability and the Macroeconomy

Corinne Dubois

The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into a deep recession. Following the financial crisis, policy makers have issued rules and regulations aimed at strengthening the banks. My dissertation considers some of those measures, namely bank liquidity regulation and deposit insurance, and tries to assess their effectiveness in stabilizing the financial sector and the economy in general. The first chapter (joint with Prof. Luisa Lambertini) develops a model with regulated banks and a hedge fund to analyze the behavior of wholesale funding and the macroeconomic consequences of liquidity regulation. Banks raise deposits and subordinated wholesale funding from the hedge fund. Wholesale funding amplifies shocks: it is curtailed in economic downturns to avoid leveraging up and risk-taking by banks, further depressing credit and economic activity. By making banks safer, liquidity regulation increases wholesale funding and bank loans at the steady state. However, flat liquidity regulation requiring banks to hold a constant fraction of liquid assets can have unintended consequences and increase macroeconomic volatility. Our model further shows that cyclically adjusted regulation stabilizes the response of the economy to shocks. We also provide empirical evidence suggesting that liquidity helps contain the contraction in wholesale funding and loans during times of funding stress. The second chapter explores the macroeconomic and welfare implications of harmonizing or joining deposit insurance in the Eurozone. I develop a two-country model to represent the core and periphery countries in the Eurozone. The model features fragile banks that can be subject to endogenous and costly runs. The two countries are financially integrated through an international interbank market. I introduce deposit insurance and compare different insurance regimes in steady state and along the business cycle. The model emphasizes that financial integration implies co-movement in asset prices and the transmission of shocks across the border. I find that when deposit insurance has lower coverage in the periphery than in the core, financial stability is undermined in both regions due to higher asset price volatility and a higher probability of deposit runs. Hence, either harmonizing or joining deposit insurance leads to substantial welfare benefits for both countries. In the third chapter, I develop a macroeconomic model with multiple equilibria and bank runs to analyze deposit insurance. A bank run is a sunspot equilibrium, and it is caused by a self-fulfilling panic of all depositors. The model features a unique no-run equilibrium when macroeconomic conditions are good, but an unexpected negative shock may open up the possibility of a run equilibrium. A bank run is a rare but costly event that drives the economy in a long and severe recession. I analyze the introduction and build-up of a deposit insurance fund and show that it reduces the cost and probability of bank runs. The dynamic simulation of the model reveals that deposit insurance diminishes macroeconomic and financial instability following a technological shock.

EPFL2018