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:
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
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
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)
Munich Re: Topics, Swiss Re: Sigma
Different definitions of disasters: Motivation Munich Re Em-Dat SwissRe
Adjustment for inflation Swiss Re example based on Floods in UK: 29 October-10 November 2000
EMDAT starts from 1900 * EM-DAT 2005
Munich Re Figures: Munich Re 2011
Munich Re Figures Munich Re 2011
Munich Re Figures Munich Re 2011
Munich Re Figures Munich Re 2011
Munich Re Figures Munich Re 2005
Swiss Re: Insured Losses Swiss Re 2011
Average losses per income group * ** * NatCatService 2005 ** NatCatService 2005
* NatCatService 2005 ** NatCatService 2005 Average losses per income group
Methodology for comparison Hochrainer, 2006
Honduras 1.Actual GDP growth in Honduras with events vs. projected growth without events Source: Zapata, 2008
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
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
Source: Bettencourt et al., 2006 Planning and mainstreaming disaster risks into developmental planning Planning disaster risk into development
Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development
Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development
Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development
Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development
Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development
Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development
Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development
Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development
Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006 Planning disaster risk into development
Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006
Planning and mainstreaming disaster risks into developmental planning Source: Bettencourt et al., 2006