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Modelling, Measuring and Managing of Extreme Risks Allgemeines: Vorlesung -> mündliche oder schriftliche Prüfung (80 Prozent) Seminar -> ohne Prüfung,

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Präsentation zum Thema: "Modelling, Measuring and Managing of Extreme Risks Allgemeines: Vorlesung -> mündliche oder schriftliche Prüfung (80 Prozent) Seminar -> ohne Prüfung,"—  Präsentation transkript:

1 Modelling, Measuring and Managing of Extreme Risks Allgemeines: Vorlesung -> mündliche oder schriftliche Prüfung (80 Prozent) Seminar -> ohne Prüfung, aber Vortrag (30 Prozent) und Ausarbeitung (50 Prozent) Bachelor-Studierende einen Vortrag und arbeiten ihn schriftlich aus, Master- und Diplom-Studierende, erweiterte Seminararbeit. Anwesenheitspflicht Mitarbeit (alle) (20 Prozent): Selbständiger Versuch der Berechnung der Beispiele. Vortragender: Dr. Mag. Stefan Hochrainer-Stigler IIASA-International Institute for Applied Systems Analysis Laxenburg, Austria Website for ppt:

2 Zeiteinteilung: Dienstag: 20.05: Teil I: 10:30-13:30: 3h -> 4 EH Teil I: :45: 2h.15 ->3 EH Teil II: : 1h->2 EH Mittwoch: 21.05: Teil III: 8:00-9:30: 1h.30 ->2 EH 09:30-12:30: 3 -> 4 EH Teil VI: 13:30-15:00: > 2 EH Teil IV: 15:00-18:00: 3h -> 4 EH Donnerstag: 22.05: Teil IV: Präsentationen: 8:30-14:45: 6h.15 -> 7 EH Insgesamt: 28 EH Überblick

3 Teil I: 4 Stunden: Einführung, Motivation, Risiko, Nutzenfunktion, Risikoaversion, Prämien (Beispiele rechnen) 1.5 Stunde : Arrow Lind Theorem, Ausnahmen, Diskussion, Katastrophen, Naturkatastrophen Teil II: Risikoinstrumente, Naturkatastrophen, Extreme, Maßzahlen 2.5 Stunde: Risiko öffentlicher Sektor etc. Einführung 2.5 Stunde: Risikomanagement Methoden (Beispiel rechnen) 1 Stunde: Versicherungslösungen für Katastrophen Teil III: 2.5 Stunde: Extremwertstatistik I + II 2 Stunde: Katastrophenmodelle, Simulationsmethoden 1 Stunde: Fiskalische Risikomatrix Teil IV: Spezialthemen Anwendungsbeispiele Aktuelle Anwendungs- und Forschungsgebiete Abschliessende Diskussion Überblick

4 Motivation Example Natural Disasters Only a few global databases of past natural disaster events exist, most important ones are. - EmDat: The International Disaster Database CRED, Catholic University of Louvain, Brussels (Belgium), publish reports annually -Munich Re: Special issue: Topics (published annually) -Swiss Re: Special issue: Sigma (published annually)

5 Munich Re: Topics, Swiss Re: Sigma

6 Different definitions of disasters: Motivation Munich Re Em-Dat SwissRe

7 Adjustment for inflation Swiss Re example based on Floods in UK: 29 October-10 November 2000

8 EMDAT starts from 1900 * EM-DAT 2005

9 Munich Re Figures: Munich Re 2011

10 Munich Re Figures Munich Re 2011

11 Munich Re Figures Munich Re 2011

12 Munich Re Figures Munich Re 2011

13 Munich Re Figures Munich Re 2005

14 Swiss Re: Insured Losses Swiss Re 2011

15 Average losses per income group * ** * NatCatService 2005 ** NatCatService 2005

16 * NatCatService 2005 ** NatCatService 2005 Average losses per income group

17 Methodology for comparison Hochrainer, 2006

18 Honduras 1.Actual GDP growth in Honduras with events vs. projected growth without events Source: Zapata, 2008

19 Honduras 1.GDP trajectories Source: WDI, 2007; own calculations Direct effect due to wealth loss Indirect development loss Observed GDP in Honduras with events vs. projected growth without events. Source: Zapata, 2008; World Bank, 2007; own calculations

20 Currently Paradigm shift Government assistance (taxes) Kinship arrangements Donor assistance Insurance and reinsurance, microinsurance Catastrophe bond, weather derivatives Contingent credit, reserve fund Turkey: Insurance Pool (2000) India: Weather derivatives (04) Mexico: Cat bond (06) India, Colombia, Mexico etc: Funds Colombia: Contingent credit (05) Caribbean: Regional insurance pool (2006) Pacific: Regional insurance pool (in the making) Global: GFDRR, GIRIF (2008) Traditional approach to risk financing ProactiveReactive All with donor support

21 Source: Bettencourt et al., 2006 Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development

22 Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development

23 Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development

24 Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development

25 Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development

26 Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development

27 Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development

28 Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development

29 Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development

30 Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development

31 Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006

32 Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006


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