Thesis (Ph. D.)--University of California, San Diego, 2002. / Vita. Includes bibliographical references (leaves 268-289).

This research explores geospatial patterns in social vulnerability to flooding and experimentally examines the effect of coverage maximums on flood insurance demand. In the first chapter, I analyze census data for the City of Calgary from 1991-2016 to identify trends in social vulnerability based on flood hazard level. Using a quasi-experimental design, I estimate the short-term changes in social vulnerability attributable to the 2013 Calgary flood. The results show that the Calgary flood was associated with a 2.6% increase in postsecondary education, a 1.4% decrease in the immigrant population, a 1.7% decrease in the visible minority population, a $7,100 increase in median family income, 2.8% decrease in home ownership, 3.7% increase in housing construction and 2.2% increase in recent movers. Together, these findings suggest that the highest flood hazard areas in Calgary are generally comprised of lower vulnerability populations; absolute loss potential from floods is getting higher over time due to higher property wealth in high flood hazard areas; and flooding events are associated with a decline in social vulnerability over the short-term. In the second chapter, I examine flood insurance coverage preferences through the use of a hypothetical choice experiment. The experiment was designed to examine the effect of dwelling value and coverage limit on the probability of flood insurance purchase, while holding the probability of flooding and insurance price constant. Controlling for income, the results indicate that amount of coverage is negatively related to flood insurance demand, however, for people in high-value dwellings the opposite is observed. This may suggest an approach to flood insurance as an investment into high-value properties as a financial asset, but the trade-off in higher yearly premiums may not seem worth the investment for lower-valued dwellings. This research shows an inconsistent demand for flood insurance, dependent on dwelling value and independent of income. / Thesis / Master of Science (MSc) / In this research I analyze the population characteristics of the City of Calgary geographically in order to determine if more vulnerable populations are exposed to the hazard of flooding. I also look at the before-and-after flood population characteristics of the flooded and non-flooded areas to see if flooding makes communities more or less vulnerable following an event. My aim is to provide context for the flooding hazard in Calgary and see if a flood changes the population vulnerability of the affected areas afterwards. I also conduct a choice experiment where I provide participants with a devised flood insurance scenario. I keep some of the variables constant, such as flood probability and insurance price, but change the amount of coverage and dwelling value randomly to see if they influence the likelihood that people buy insurance. The goal of this is to understand how insurance maximums can influence consumer demand.

Doctor of Philosophy / Department of Human Ecology-Personal Financial Planning / Dorothy Durband / D. Elizabeth Kiss / Using constructs derived from expected utility theory and data from the RAND American Life Panel 2012 Well Being 186 and 193 surveys, this study explored the extent to which financial knowledge, financial risk tolerance, and the uncertainty regarding the future need for long-term care were associated with long-term care insurance (LTCI) ownership by baby boomers (N = 1,152). Although extensive studies have been conducted regarding long-term care (LTC) issues facing baby boomers in the United States (U.S.), no studies have been found that investigate whether or not these specific factors were predictive of LTCI ownership by baby boomers. Regression analysis was used to estimate the relationship between the dependent and the independent variables in this study. Consistent with the hypotheses of this study, LTCI knowledge was statistically significantly associated with LTCI ownership by baby boomers. Subjective financial knowledge regarding LTCI had the greatest influence on LTCI ownership. An examination of items used to measure uncertainty regarding the future need of LTC indicated that merely thinking about needing LTC at some point in the future positively influenced LTCI ownership. Baby boomers with higher household income were also more likely to own LTCI. Results of this study may contribute to the existing literature on LTCI ownership among baby boomers. As the need for, and cost of, LTC are expected to increase as the U.S. population ages, study results may also provide information for financial advisors and other stakeholders to better engage baby boomers in ways that promote comprehensive risk management decision making in retirement planning. More specifically, study results may provide stakeholders with information to better understand factors that influence LTCI ownership by baby boomers.

Thesis (Ph. D.)--University of Wisconsin--Madison, 1970. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Bibliography; leaves 347-352.

Please read the abstract in the section 00front of this document / Dissertation (MCom (Actuarial Science))--University of Pretoria, 2005. / Insurance and Actuarial Science / unrestricted

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The seminal paper by Gerber and Shiu (1998) gave a huge boost to the study of risk theory by not only unifying but also generalizing the treatment and the analysis of various risk-related quantities in one single mathematical function - the Gerber-Shiu expected discounted penalty function, or Gerber-Shiu function in short. The Gerber-Shiu function is known to possess many nice properties, at least in the case of the classical compound Poisson risk model. For example, upon the introduction of a dividend barrier strategy, it was shown by Lin et al. (2003) and Gerber et al. (2006) that the Gerber-Shiu function with a barrier can be expressed in terms of the Gerber-Shiu function without a barrier and the expected value of discounted dividend payments. This result is the so-called dividends-penalty identity, and it holds true when the surplus process belongs to a class of Markov processes which are skip-free upwards. However, one stringent assumption of the model considered by the above authors is that all the interclaim times and the claim sizes are independent, which is in general not true in reality. In this thesis, we propose to analyze the Gerber-Shiu functions under various dependent structures. The main focus of the thesis is the risk model where claims follow a Markovian arrival process (MAP) (see, e.g., Latouche and Ramaswami (1999) and Neuts (1979, 1989)) in which the interclaim times and the claim sizes form a chain of dependent variables. The first part of the thesis puts emphasis on certain dividend strategies. In Chapter 2, it is shown that a matrix form of the dividends-penalty identity holds true in a MAP risk model perturbed by diffusion with the use of integro-differential equations and their solutions. Chapter 3 considers the dual MAP risk model which is a reflection of the ordinary MAP model. A threshold dividend strategy is applied to the model and various risk-related quantities are studied. Our methodology is based on an existing connection between the MAP risk model and a fluid queue (see, e.g., Asmussen et al. (2002), Badescu et al. (2005), Ramaswami (2006) and references therein). The use of fluid flow techniques to analyze risk processes opens the door for further research as to what types of risk model with dependency structure can be studied via probabilistic arguments. In Chapter 4, we propose to analyze the Gerber-Shiu function and some discounted joint densities in a risk model where each pair of the interclaim time and the resulting claim size is assumed to follow a bivariate phase-type distribution, with the pairs assumed to be independent and identically distributed (i.i.d.). To this end, a novel fluid flow process is constructed to ease the analysis. In the classical Gerber-Shiu function introduced by Gerber and Shiu (1998), the random variables incorporated into the analysis include the time of ruin, the surplus prior to ruin and the deficit at ruin. The later part of this thesis focuses on generalizing the classical Gerber-Shiu function by incorporating more random variables into the so-called penalty function. These include the surplus level immediately after the second last claim before ruin, the minimum surplus level before ruin and the maximum surplus level before ruin. In Chapter 5, the focus will be on the study of the generalized Gerber-Shiu function involving the first two new random variables in the context of a semi-Markovian risk model (see, e.g., Albrecher and Boxma (2005) and Janssen and Reinhard (1985)). It is shown that the generalized Gerber-Shiu function satisfies a matrix defective renewal equation, and some discounted joint densities involving the new variables are derived. Chapter 6 revisits the MAP risk model in which the generalized Gerber-Shiu function involving the maximum surplus before ruin is examined. In this case, the Gerber-Shiu function no longer satisfies a defective renewal equation. Instead, the generalized Gerber-Shiu function can be expressed in terms of the classical Gerber-Shiu function and the Laplace transform of a first passage time that are both readily obtainable. In a MAP risk model, the interclaim time distribution must be phase-type distributed. This leads us to propose a generalization of the MAP risk model by allowing for the interclaim time to have an arbitrary distribution. This is the subject matter of Chapter 7. Chapter 8 is concerned with the generalized Sparre Andersen risk model with surplus-dependent premium rate, and some ordering properties of certain ruin-related quantities are studied. Chapter 9 ends the thesis by some concluding remarks and directions for future research.

The seminal paper by Gerber and Shiu (1998) gave a huge boost to the study of risk theory by not only unifying but also generalizing the treatment and the analysis of various risk-related quantities in one single mathematical function - the Gerber-Shiu expected discounted penalty function, or Gerber-Shiu function in short. The Gerber-Shiu function is known to possess many nice properties, at least in the case of the classical compound Poisson risk model. For example, upon the introduction of a dividend barrier strategy, it was shown by Lin et al. (2003) and Gerber et al. (2006) that the Gerber-Shiu function with a barrier can be expressed in terms of the Gerber-Shiu function without a barrier and the expected value of discounted dividend payments. This result is the so-called dividends-penalty identity, and it holds true when the surplus process belongs to a class of Markov processes which are skip-free upwards. However, one stringent assumption of the model considered by the above authors is that all the interclaim times and the claim sizes are independent, which is in general not true in reality. In this thesis, we propose to analyze the Gerber-Shiu functions under various dependent structures. The main focus of the thesis is the risk model where claims follow a Markovian arrival process (MAP) (see, e.g., Latouche and Ramaswami (1999) and Neuts (1979, 1989)) in which the interclaim times and the claim sizes form a chain of dependent variables. The first part of the thesis puts emphasis on certain dividend strategies. In Chapter 2, it is shown that a matrix form of the dividends-penalty identity holds true in a MAP risk model perturbed by diffusion with the use of integro-differential equations and their solutions. Chapter 3 considers the dual MAP risk model which is a reflection of the ordinary MAP model. A threshold dividend strategy is applied to the model and various risk-related quantities are studied. Our methodology is based on an existing connection between the MAP risk model and a fluid queue (see, e.g., Asmussen et al. (2002), Badescu et al. (2005), Ramaswami (2006) and references therein). The use of fluid flow techniques to analyze risk processes opens the door for further research as to what types of risk model with dependency structure can be studied via probabilistic arguments. In Chapter 4, we propose to analyze the Gerber-Shiu function and some discounted joint densities in a risk model where each pair of the interclaim time and the resulting claim size is assumed to follow a bivariate phase-type distribution, with the pairs assumed to be independent and identically distributed (i.i.d.). To this end, a novel fluid flow process is constructed to ease the analysis. In the classical Gerber-Shiu function introduced by Gerber and Shiu (1998), the random variables incorporated into the analysis include the time of ruin, the surplus prior to ruin and the deficit at ruin. The later part of this thesis focuses on generalizing the classical Gerber-Shiu function by incorporating more random variables into the so-called penalty function. These include the surplus level immediately after the second last claim before ruin, the minimum surplus level before ruin and the maximum surplus level before ruin. In Chapter 5, the focus will be on the study of the generalized Gerber-Shiu function involving the first two new random variables in the context of a semi-Markovian risk model (see, e.g., Albrecher and Boxma (2005) and Janssen and Reinhard (1985)). It is shown that the generalized Gerber-Shiu function satisfies a matrix defective renewal equation, and some discounted joint densities involving the new variables are derived. Chapter 6 revisits the MAP risk model in which the generalized Gerber-Shiu function involving the maximum surplus before ruin is examined. In this case, the Gerber-Shiu function no longer satisfies a defective renewal equation. Instead, the generalized Gerber-Shiu function can be expressed in terms of the classical Gerber-Shiu function and the Laplace transform of a first passage time that are both readily obtainable. In a MAP risk model, the interclaim time distribution must be phase-type distributed. This leads us to propose a generalization of the MAP risk model by allowing for the interclaim time to have an arbitrary distribution. This is the subject matter of Chapter 7. Chapter 8 is concerned with the generalized Sparre Andersen risk model with surplus-dependent premium rate, and some ordering properties of certain ruin-related quantities are studied. Chapter 9 ends the thesis by some concluding remarks and directions for future research.

Thesis (Master of Economics)--Mahāwitthayālai Thammasāt, 1998. / Includes bibliographical references (leaves 96-98).

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