Life re-insurers are exposed to mortality catastrophe risk. Mortality CAT bonds are a tool that can mitigate this risk. However, a key disadvantage of this tool is the existence of population basis risk, which occurs whenever there are differences between reference and insured populations. In this thesis, we propose a method to measure population basis risk of mortality CAT bonds. We consider a fictitious mortality CAT bond based on the mortality rates of two regional populations. We first obtain mortality change indexes by calibrating the MBMM model on these two regional populations. Then we use copula-based semi-parametric models to simulate the serial dependence and interdependence structure simultaneously between two regional mortality change indexes. Finally, we analyze the hedge effectiveness of the bond, from which we are able to quantify the population basis risk. We find that population basis risk decreases under certain circumstances.

This dissertation thesis address how aggregate shocks affect insurance firms' risk management and asset investment decisions as well as the impact of these decisions on insurance prices and regulation. The first chapter develops a signaling model to examine how insurance firms choose among retention, reinsurance and securitization especially for catastrophe risks. The second chapter examines the determination of insurance prices in an integrated equilibrium framework where insurers' assets may be subject to both idiosyncratic and aggregate shocks. The third chapter presents an empirical analysis of the hypothesized impacts of internal capital and asset risk on insurance prices as predicted by the results of the second chapter. The last chapter investigates the optimal design of insurance regulation to achieve the Pareto optimal asset and liquidity management by insurers as well as risk sharing between insurers and insurees. Chapter 1 provides a novel explanation for the predominance of retention and reinsurance relative to securitization in catastrophe risk transfer using a signaling model. An insurer's risk transfer choice trades off the lower signaling costs of reinsurance against the additional costs of reinsurance stemming from sources such as their market power, higher cost of capital relative to capital markets, and compensation for their monitoring costs. In equilibrium, the lowest risk insurers choose reinsurance, while intermediate and high risk insurance choose partial and full securitization, respectively. An increase in the loss size increases the average risk of insurers who choose securitization. Consequently, catastrophe risks, which are characterized by low frequency-high severity losses, are only securitized by very high risk insurers. Chapter 2 develops a unified equilibrium model of competitive insurance markets where insurers' assets may be exposed to idiosyncratic and aggregate shocks. We endogenize the relationship between insurance prices and insurers internal capital that potentially reconcile the conflicting predictions of previous theories that investigate the relation using partial equilibrium frameworks. Equilibrium effects lead to a non-monotonic U-shaped relation between insurance price and internal capital. Specifically, the equilibrium insurance price first decreases with a positive shock to the internal capital when it is below certain threshold level, and then increases with a positive shock the internal capital when it is above the threshold level. Further, we also derive another testable implication that an increase in the asset default risk increases the insurance price and decrease the insurance coverage. Chapter 3 studies the property and casualty insurance industry in periods from 1992 to 2012 based on the aggregate level of NAIC data. We show that the insurance price decreases with an increase in the surplus of insurance firms at the end of the previous year when the surplus is lower than 8.5 billion, and then increase when the surplus is higher than 8.5 billion. Our results provide support for the hypothesis of a U-shaped relationship between internal capital and insurance price. Our results also provide evidence for the positive relationship between asset portfolio risk and insurance price. Chapter 4 studies the effects of aggregate risk on the Pareto optimal asset and liquidity management by insurers as well as risk-sharing between insurers and insurers. When aggregate risk is low, both insurers and insurers hold no liquidity reserves, insurees are fully insured, and insurers bear all aggregate risk. When aggregate risk takes intermediate values, both insurees and insurers still hold no liquidity reserves, but insurers partially share aggregate risk with insurers. When aggregate risk is high, however, it is optimal to hold nonzero liquidity reserves, and insurees partially share aggregate risk with insurers. The efficient asset and liquidity management policies as well as the aggregate risk allocation can be implemented through a regulatory intervention policy that combines a minimum liquidity requirement when aggregate risk is high, "ex post" contingent on the aggregate state, comprehensive insurance policies, and reinsurance.

Si l'Ingénieur s'efforce de coordonner sur les territoires les deux facettes de son activité : d'un côté la gestion des fonctions urbaines, de l'autre celle des risques, il hésite à se démarquer de celles-ci comme il le devrait, pour affronter la complexité spatiale. Or notre pratique des espaces urbanisés comme notre engagement dans la prévention des risques montrent que la complexité se manifeste à lui, tant dans la réalisation des projets que dans la survenue des catastrophes. En proposant un outil d'analyse spatiale : le territoire-étagé, en le dotant d'une fonction - le monitorage - nous proposons une voie qui permette à l'ingénierie d'anticiper du plus possible le développement de processus dommageables. En permettant une plus grande compréhension des mécanismes à l'œuvre au sein des espaces métapolitains [Ascher, 1995], l'ingénierie du territoire-étagé offre la possibilité d'agir en retour sur les pratiques de gestion pour espérer réduire, par la résilience, les perturbations ou leurs effets de différentes natures et intensités.

This thesis focuses on the analysis of Catastrophe bond mutual funds [CBMFs] and is organized into four chapters. The first chapter, "An identification-robust analysis of Catastrophe bond mutual funds: zero-beta neutrality under tradability", offers identification-robust evidence on whether CBMFs are zero-beta based on the analysis with only tradable risk factors. Statistical significance of factor risk premiums and cross-sectional loadings is examined in a multivariate, identification-robust setting to inform on the zero-beta performance of CBMFs. The latter is assessed against the Capital Asset Pricing Model [CAPM] without the risk-less asset proposed by Black (1972) [BCAPM], Quadratic CAPM, Cummins-Weiss, Fama-French-Carhart benchmarks and models with Fontaine and Garcia (2012) and Pástor and Stambaugh (2003) liquidity factors. Multiple markets are considered individually and jointly. Beta pricing inference proceeds using the method of Beaulieu, Dufour and Khalaf (2013) robust to weak identification. Instead of non-tradable factors, their mimicking portfolio returns are used in the analysis to facilitate tradable-only factor setting. Results indicate that coskewness, funding liquidity and fixed-income factors are often priced or incur significant factor betas. There is also evidence of risk premiums and joint beta significance for stock, corporate bond and commercial mortgage-backed securities benchmarks. Empirical findings overall suggests that CBMFs underperformed as zero-beta assets. The second chapter, "Zero-beta inference on Catastrophe bond mutual funds: identification- robust evidence with non-tradable factors", examines formally the zero-beta neutrality of CBMFs allowing for some risk factors to be non-tradable. Zero-beta analysis focuses on cross-sectional betas with their joint significance tested for each factor. This is augmented with inference on risk prices and the zero-beta rate to assess whether factor risks are priced. CBMFs are modeled in the QCAPM setting with either stock, corporate bond, government bond or commercial mortgage-backed security [CMBS] market return and its square as respectively tradable and non-tradable factors. The zero-beta performance of CBMFs is also assessed against an extended BCAPM benchmark with either Fontaine and Garcia (2012) or Pástor and Stambaugh (2003) non-tradable liquidity factor considered in addition to the tradable market return. Inference on risk prices and the zero-beta rate builds on the method of Beaulieu, Dufour and Khalaf (2018) which remains exact and simultaneous for any sample size even if the parameter recovery is impaired. Empirically, although identification strength diminishes in the setting with non-tradable factors, relaxing tradability improves model fit across all benchmarks. In particular, QCAPM (reix gardless of the market) is no longer rejected for any period and so is the model with the funding liquidity factor. Goodness-of-fit also improves for the model with the marketwide liquidity factor. In periods for which models were rejected under factor tradability, allowing for some factors to be non-tradable also yields set estimates for the zero-beta rate and risk prices that are informative for beta pricing. In particular, this reveals evidence of priced coskewness risk across all markets over the long-run and for stock, corporate bond and CMBS benchmarks after the 2007-09 US recession. In the same periods, funding liquidity risk is also priced and so is the marketwide liquidity risk over the full sample. Given significant betas on the market return, the latter prevails as a relevant factor even in a setting with other factors being non-tradable. Overall, there is evidence suggesting that CBMFs deviated from performing as zero-beta investments with coskewness and liquidity as contributing factors. These results reinforce findings in the Chapter 1. The third chapter, "An alpha and risk analysis of Catastrophe bond mutual funds: exact, simultaneous inference", examines CBMFs in terms of their ability to produce a positive alpha and the extent of their sensitivity to the developments in financial markets. Inference on alphas and the riskiness of CBMFs relies on exact, simultaneous confidence sets assembled respectively for cross-sectional intercepts and factor loadings in the multivariate linear regression [MLR] model. Set construction proceeds using the analytical inversion procedure of Beaulieu, Dufour and Khalaf (2018) in a Least-Squares case and its extension to a Student-t setting. Proposed in this chapter, the extension involves replacing the Fisher-based cut-off point in the analytical solution of Beaulieu, Dufour and Khalaf (2018) with its simulation-based counterpart obtained under Student-t errors. The empirical analysis of CBMFs reveals evidence of a positive alpha following the 2011 Tohoku earthquake in Japan and indicate that CBMFs are likely to have at most moderate sensitivity to fluctuations in financial markets. These results are robust against CAPM, QCAPM and Fama-French benchmarks and observed in both Gaussian and Student-t settings. The fourth chapter, "Endogeneity in a zero-beta analysis: joint, finite sample inference on Catastrophe bond mutual funds", revisits the zero-beta assessment of CBMFs taking into account factor endogeneity. In particular, this chapter extends the univariate Durbin-Wu-Hausman [DWH] test (Durbin, 1954; Wu, 1973; Hausman, 1978) of exogeneity to a multivariate setting. Unlike the univariate DWH test, the proposed multivariate extension allows to assess factor exogeneity jointly across equations. This chapter also proposes an extended version of the multivariate Wilks-based instrumental variables [IV] test of Dufour, Khalaf and Kichian (2013) to a setting with regressors, and consequently their instruments, that remain the same across equations. Both extended tests allow for possibly non-Gaussian errors and maintain size correctness for a sample with any number of observations even in the setting with weak instruments. Applying the extended methods to the analysis CBMFs provides evidence against joint factor exogeneity in some cases across CAPM and QCAPM in both Gaussian and Student-t settings. In some periods when the joint factor exogeneity is rejected, results for the zero-beta analysis differ depending on whether the IV-based or non-IV test was applied. Unlike in the case without instrumenting, extended Wilks-based IV test of joint beta significance is significant at the 5% level before the 2007-09 US recession for both CAPM and QCAPM regardless of the distributional setting (Gaussian or Student-t). The same result also obtains for QCAPM during the economic downturn. Over the long-run, there is evidence of jointly significant factor loadings obtained with and without instrumenting. Overall, empirical results suggest that performance of CBMFs differs from that of zero-beta assets.

This thesis examines the indirect impact of natural hazards on infrastructure networks. It addresses several key themes and issues for hazard assessment, network modelling and risk assessment using the case study of landslides impacting the national road network in Scotland, United Kingdom. The research follows four distinct stages. First, a landslide susceptibility model is developed using a database of landslide occurrences, spatial data sets and logistic regression. The model outputs indicate the terrain characteristics that are associated with increased landslide potential, including critical slope angles and south westerly aspects associated with increased rates of solar irradiance and precipitation. The results identify the hillslopes and road segments that are most prone to disruption by landslides and these indicate that 40 % (1,700 / 4,300 km) of Scotland s motorways and arterial roads (i.e. strategic road network) are susceptible to landslides and this is above previous assessments. Second, a novel user-equilibrium traffic model is developed using UK Census origin-destination tables. The traffic model calculates the additional travel time and cost (i.e. indirect impacts) caused by network disruptions due to landslide events. The model is applied to calculate the impact of historic scenarios and for sets of plausible landslide events generated using the landslide susceptibility model. Impact assessments for historic scenarios are 29 to 83 % greater than previous, including £1.2 million of indirect impacts over 15 days of disruption at the A83 Rest and Be Thankful landslide October 2007. The model results indicate that the average impact of landslides is £64 k per day of disruption, and up to £130 k per day on the most critical road segments in Scotland. In addition to identifying critical road segments with both high impact and high susceptibility to landslides, the study indicates that the impact of landslides is concentrated away from urban centres to the central and north-west regions of Scotland that are heavily reliant on road and haulage-based industries such as seasonal tourism, agriculture and craft distilling. The third research element is the development of landslide initiation thresholds using weather radar data. The thresholds classify the rainfall conditions that are most commonly associated with landslide occurrence in Scotland, improving knowledge of the physical initiation processes and their likelihood. The thresholds are developed using a novel optimal-point threshold selection technique, high resolution radar and new rain variables that provide spatio-temporally normalised thresholds. The thresholds highlight the role of the 12-day antecedent hydrological condition of soils as a precursory factor in controlling the rain conditions that trigger landslides. The new results also support the observation that landslides occur more frequently in the UK during the early autumn and winter seasons when sequences or clustering of multiple cyclonic-storm systems is common in periods lasting 5 to 15 days. Fourth, the three previous elements are combined to evaluate the landslide hazard of the strategic road segments and a prototype risk assessment model is produced - a catastrophe model. The catastrophe model calculates the annual average loss and aggregated exceedance probability of losses due to the indirect impact of landslides in Scotland. Beyond application to cost-benefit analyses for landslide mitigation efforts, the catastrophe model framework is applicable to the study of other natural hazards (e.g. flooding), combinations of hazards, and other infrastructure networks.

La région de l’IGAD est particulièrement concernée par les catastrophes naturelles qui sont à l’origine d’importants dégâts humains et économiques. Parallèlement, les pays de l’IGAD figurent parmi les plus pauvres de la planète même si l’on observe de fortes disparités. Le lien entre niveau de richesse, processus de développement et catastrophes naturelles a été peu étudié dans ce contexte. La thèse vise d’abord à développer des méthodes et outils d’analyse pour évaluer les causes et les remédiations possibles des catastrophes naturelles. La recherche se fonde d’abord sur une base de données recensant les impacts des catastrophes naturelles dans cette région. Cette base de données, dénommée BDCanaca, a permis de constater l’existence des disparités spatiotemporelles des dommages des catastrophes naturelles à l’échelle régionale et nationale. La forte vulnérabilité de la région face aux catastrophes naturelles s’explique par l’ampleur des contraintes socio-économiques et politiques notamment les conflits intra ou interétatiques qui ont secoué cette région au cours des dernières décennies. Ensuite, à une échelle locale, la réalisation d’un diagnostic visuel du bâti complété par des enquêtes de terrain a permis d’estimer le niveau de vulnérabilité des ménages installés à proximité des oueds. L’occupation croissante des zones exposées par des populations vulnérables est le principal facteur de production du risque. Afin de limiter les conséquences des catastrophes naturelles, un panel des mesures et des politiques de gestion des risques a été adopté par les États de la région qui figurent parmi les premiers du continent à se doter des structures chargées de la gestion des effets des catastrophes naturelles. Mais ces structures n’ont pas toujours les moyens de mettre en œuvre des politiques efficaces qui gagneraient à intégrer et accompagner les stratégies d’adaptation développées par les populations des régions affectées. / The IGAD region is particularly affected by natural disasters which have caused significant human and economic damages. Despites disparities, IGAD countries are among the poorest in the world. The link between wealth level, development process and natural disasters has been little studied in this context. The main aim of this thesis is to develop methods and tools of analysis to assess the causes and possible remedies of natural disasters. This research is mainly based on a database called BDCanaca which lists natural disasters’ impacts in this region. The data from this database revealed the existence of spatiotemporal disparities in natural disaster damage at regional and national scales as well. The high vulnerability of the region to natural disasters is due to the extent of socio-economic and demographic constraints. It has also shown the heterogeneity of existing sources and the inaccuracy of natural disaster balances. The intrastate or interstate conflicts that have rocked this region over the last decades are factors that explain the enormity of the impacts of natural disasters and therefore its level of vulnerability. The increasing occupation of vulnerable areas by poor populations is the main risk factor. In order to curb the natural disasters’ consequences, a panel of risk management measures and policies has been implemented by the region's states, which are among the first in the continent to procure themselves with managing body to follow up with natural disasters’ effects. But these structures do not always have the means to implement effective policies that would benefit from integrating and supporting the adaptation strategies developed by the populations from affected regions.

Made available in DSpace on 2014-06-11T19:24:55Z (GMT). No. of bitstreams: 0 Previous issue date: 2010-09-03Bitstream added on 2014-06-13T19:52:48Z : No. of bitstreams: 1 oliveira_arc_me_rcla.pdf: 769124 bytes, checksum: 51f07e82a0a21b5c9270a52d5d3e2500 (MD5) / Universidade Estadual Paulista (UNESP) / Este trabalho trata da classificação geométrica das formas binárias quádricas e cúbicas. Além disto, aplicamos esta classificação ao estudo de máquinas de catástrofes / This work make reference of the geometry classification of the two variables quadratic, cubic and quartic forma. Before that, the aplication that classification in study of the catastrophe machines

Si l'Ingénieur s'efforce de coordonner sur les territoires les deux facettes de son activité : d'un côté la gestion des fonctions urbaines, de l'autre celle des risques, il hésite à se démarquer de celles-ci comme il le devrait, pour affronter la complexité spatiale. Or notre pratique des espaces urbanisés comme notre engagement dans la prévention des risques montrent que la complexité se manifeste à lui, tant dans la réalisation des projets que dans la survenue des catastrophes. En proposant un outil d'analyse spatiale : le territoire-étagé, en le dotant d'une fonction - le monitorage - nous proposons une voie qui permette à l'ingénierie d'anticiper du plus possible le développement de processus dommageables. En permettant une plus grande compréhension des mécanismes à l'œuvre au sein des espaces métapolitains [Ascher, 1995], l'ingénierie du territoire-étagé offre la possibilité d'agir en retour sur les pratiques de gestion pour espérer réduire, par la résilience, les perturbations ou leurs effets de différentes natures et intensités. / If the Engineer tries to coordonnate the two facets of its activities : on one hand the management of urban functions, on the other hand the management of the risk, he hesitates to escape of these to tackle with complexity as he should do. Meanwhile, our experiment of urban areas as well as our action in the management of prevention show complexity appear in the carrying out of projects and in disasters. By proposing a tool to analyse urban areas : the « territoire-étagé », by using it as monitoring tool, we open a way to allow engineers to anticipate as soon as possible the development of damaging processes. By allowing a better understanding mechanisms into metapolitan areas [Ascher, 1995], the engineering of « territoire-étagé » gives the possibility feed-back on management practices to expect reduce, by resilience, the perturbations or the effects of various nature and intensity.

A presente pesquisa procura reunir as reflexões pictóricas de Anselm Kiefer no âmbito da tradição intelectual da literatura, do mito, da história e da religião, e que se condensam na categoria da catástrofe de O Drama Barroco Alemão e do Trabalho das Passagens de Walter Benjamin. Procuraremos mostrar o estatuto da metrópole como o lugar do Mal, inscrevendo as produções artísticas de Anselm Kiefer no campo do pensamento trágico da vida, no sentido de viver sem o Bem e sob o amparo do Mal. Kiefer apresenta-se como o pintor cujas produções oscilam entre a Hybris do progresso e o terror da máxima destruição, do silêncio e do automatismo voltados para uma permanente catástrofe. Ao fim, delineia-se uma utopia negativa de uma barbárie positiva em meio ao Mal, que se tornou radical na nossa contemporaneidade. / The present Dissertation attempts to bring together Anselm Kiefers pictorial reflections toward the intellectual tradition sphere that encompasses Literature, Myth, History and Religion, all condensed by the Catastrophe label detached from The Origin of the German Tragic Drama and The Arcades Project both written by Walter Benjamin. The depiction of the Modern Metropolis as an embodiment of Evil is part of Anselm Kiefer artistic poetics. Kiefer depicts himself as the painter whose pictorial masterpieces oscillate between the Progress Hybris and the Terror of the supreme destruction, silence abysses in an ineluctable catastrophe. Towards the end, a negative utopia is outline from a positive barbarism, among the Evil that became radical in our contemporary societies.

À l’été 2010, la Russie, gouvernée par le tandem formé par Dmitri Medvedev, son Président, et Vladimir Poutine, son Premier ministre, se trouve frappée par des feux de forêt massifs. Alors que ces incendies touchent les régions les plus occidentales du pays, y compris Moscou, sa capitale, ses gouvernants se retrouvent face à l’injonction de communiquer, c’est-à-dire de partager avec les gouvernés une certaine lecture de l’état des choses. Venant rompre le fonctionnement ordinaire d’une société, la catastrophe ouvre, en effet, un terrain de communication, c’est-à-dire un espace d’échanges entre producteurs de sens, et engendre en cela un exercice du pouvoir d’ordre symbolique. Reposant la question initialement formulée par Claude Gilbert, à savoir : « Quel est le pouvoir du pouvoir lors des crises post-accidentelles ? » (Gilbert, 1992, p.18), cette thèse se propose de débuter l’analyse là où Gilbert la concluait, c’est-à-dire par une prise en compte du symbolique dans l’exercice du pouvoir politique en temps de catastrophe. Appréhendant la catastrophe comme un moment de communication, saturé par les discours et les images produits par les organisations gouvernementales, mais aussi comme un moment de lutte entre représentations concurrentes de l’événement, l’enjeu est de se pencher sur la dimension représentative du pouvoir politique ou, plus précisément, sur la représentation-figuration comme vecteur d’exercice de la domination en temps de catastrophe naturelle dans le contexte de la Russie des années 2000. / While governed in tandem by President Dmitry Medvedev and Prime Minister Vladimir Putin, Russia suffered from widespread forest fires in summer 2010. As the fires particularly plagued Russia’s western regions, including the capital city of Moscow, Russia’s national leaders faced the task of communicating to all of the governed a certain reading of the disaster. By disturbing ordinary societal functioning, disasters create a communication field—that is, a space for exchange among meaning producers—that invites exercises of symbolic power. To readdress a question first formulated by Claude Gilbert—namely, “What is the power of power in post-accident crises?”(Gilbert, 1992, p. 18)—this doctoral dissertation proposes to extend Gilbert’s analysis by considering the importance of symbolic power and representation in exercises of political power during disasters. By understanding disaster as a moment of communication, saturated with speeches and images produced by governmental organizations, yet also as a time of struggle among competing representations of the event, this project aims to examine the representative dimension of political power—or more precisely, representation as a means of exercising power—during natural disasters in early 21st-century Russia.