On 28 January, from 14.30 onwards, ISEG will host Hansjoerg Albrecher, a Professor at the University of Lausanne, for a seminar entitled 'Optimal dividend strategies for an insurer facing NatCat claims'.
The seminar will address some of the challenges that the insurance sector faces in natural disaster situations, such as the recent fires that ravaged a large area of the State of California in the United States.
This event is organised by CEMAPRE – Centre for Applied Mathematics for Forecasting and Economic Decision-making, where Hansjoerg Albrecher is a member. The eventwill take place in ISEG's Lecture Theatre 1 (Quelhas, 4th Floor).
Free admission, subject to the maximum capacity of the room.
Abstract:
We study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifetime of the company. In the situation where the portfolio contains claims due to natural catastrophes, the classical Poisson assumption on insurance claim arrivals is no longer feasible and a shot-noise Cox claim number process is more appropriate, which considerably complicates the analysis. We solve the resulting two-dimensional stochastic control problem, and uniformly approximate the optimal value function through a discretization of the space of the free surplus of the portfolio and the current claim intensity level. It is shown that the nature of band strategies known from classical solutions under a Poisson claim intensity is extended into action regions that depend on the claim intensity level. It turns out that there is an upward potential for shareholders when including catastrophe risks in the portfolio. We also extend the analysis to include the scenario of a systematic increase of the risk after a climate tipping point.
