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Stochastic Finance @ Warwick Seminars

Unless otherwise stated the seminars will take place at 11:00am in B3.03 (Zeeman building). If you have any question, please contact the seminar organiser Martin HerdegenLink opens in a new window.

18th September

MS.05

Alfred Chong (Heriot Watt University)

Title: Pareto-efficient risk sharing in centralized insurance markets with application to flood risk

Abstract: Centralized insurance can be found in both the private and public sectors. This talk provides a microeconomic study of the risk-sharing mechanisms in these markets, where multiple policyholders interact with a centralized monopolistic insurer. With minimal assumptions on the risk preferences of the market participants, we characterize Pareto optimality in terms of the agents' risk positions and their assessment of the likelihoods associated with their loss tail events. We relate Pareto efficiency in this market to a naturally associated cooperative game. Based on our theoretical results, we then consider a model of flood insurance coverage via an illustrative example. The lessons drawn from our theoretical results and this example lead to important policy implications for the existing National Flood Insurance Program in the United States.

2nd October

Internal short presentations from SF@W group members I

Leo Baggiani

Edward Wang

Gechun Liang

9th October

Internal short presentations from SF@W group members II

Jo Kennedy

Nikolaos Constantinou

Vicky Henderson

16th October

Leandro Sánchez-Betancourt (University of Oxford)

Title: TBC

Abstract: TBC

23rd October No seminar
30th October No seminar
6th November TBC
13th November

Façal Drissi (University of Oxford)

Title: TBC

Abstract: TBC

20th November TBC
27th November

Nazem Khan (University of Oxford)

Title: TBC

Abstract: TBC