Conférence RT Matrisk - Sciencesconf.org

9:30 - 10:15 (45min)

Peter TANKOV

Salle des conférences-IRA

-Title : Asset pricing under transition scenario uncertainty and model ambiguity.

- Abstract:We study asset pricing and optimal investment decisions for an economic agent whose future revenues depend on the realization of a scenario from a given set of possible futures. In the first part of the talk, we assume that future scenario is unknown, but that the possible scenarios have equal probabilities, and the agent deduces scenario information progressively by observing a signal. The problem of valuing an investment is formulated as an American option pricing problem with Bayesian learning. In the second part, we assume that the probabilities of individual prospective scenarios are ambiguous and place ourselves into the smooth model of decision making under ambiguity aversion of Klibanoff et al (2005), framing the optimal investment decision as an optimal stopping problem with learning under

10:15 - 11:00 (45min)

Sara BIAGINI

Salle des conférences-IRA

-Title: Carbon neutrality and net-zero in compliance markets.

- Abstract: When addressing climate risk mitigation, a primary objective is achieving climate neutrality. We analyze first the impact of carbon neutrality policies on a system of polluting companies that are regulated within an ETS carbon market. The companies are mandated to cut emissions and have the option to trade carbon allowances for compliance purposes. They may also be allocated additional allowances as subsidies from the regulatory authority to assist in fulfilling compliance. For each firm, the key variable is the imbalance between their cumulative Business As Usual emissions and the allocation they may receive, which must be covered by the regulated maturity. For a given subsidies scheme, a unique, closed-form equilibrium is reached. The resulting allowances price admits a neat expression as a convex combination of each company’s marginal costs, each calculated based on their predicted emi

11:00 - 11:15 (15min)

Pause café

11:15 - 12:00 (45min)

José GARRIDO

Salle des conférences-IRA

Title: The French Actuarial Climate Index and its Application to Parametric Insurance.

-Abstract:Climate change is often defined as the long–term fluctuations in climate patterns affecting the planet globally. Among its main observed effects are a rise in average temperatures in many parts of the globe, and an increase in the frequency and severity of extreme weather events, such as floods, droughts, or windstorms. These new climate risks are increasingly affecting the frequency and the severity of claims in different insurance branches. In order to help insurance companies predict and manage climate risks in North America, local actuaries have created the Actuaries Climate IndexTM (ACI). Here we consider the extension of the North American ACI methodology to climate data from France, including its largest island, Corsica. We calculate the French Actuarial Climate Index (FACI) with data extracted from the ERA5–Land reanalysis database, see [1]. Unlike the ACI for the United S

12:00 - 12:45 (45min)

Phillipe NAVEAU

Salle des conférences-IRA

Title: Extreme value analysis of records temperatures with physical constraint.

- Abstract: Heatwaves have devastating impacts on societies and ecosystems. Their frequencies and intensities are increasing globally with anthropogenic climate change. Statistical models using Extreme Value Theory (EVT) have been used for quantifying risks of extreme temperatures but recent very intense events have cast doubt on their ability to represent the tail probabilities of temperatures. Using outputs from a large ensemble of a climate model, we show that physics-based estimates of the upper-bound of temperatures in the mid-latitudes are 3--8°C higher than suggested by EVT-based models. We propose a new method to bridge the gap between the physical and statistical estimates by forcing the EVT-based models to have an upper bound coherent with the bound provided by the instability of the air column. We show that our method reduces the underestimation of tail risks while not deteriorating the

12:45 - 14:00 (1h15)

Déjeuner

14:00 - 15:15 (1h15)

Table ronde

Salle des conférences-IRA

15:15 - 15:30 (15min)

Pause café

15:30 - 16:15 (45min)

Antoine MOLL

Salle des conférences-IRA

-Title: Pricing professional athletes: a question of age? A new, more accurate and inclusive pricing method for male professional footballers based on Transfermarkt's collaborative data.

- Abstract: The football industry is generating billions in revenue, largely from matchday sales, commercial activities, and broadcast rights, player wages form a significant portion of club revenues, making their availability for games and training economically vital. Therefore, disability insurance products are essential for football clubs to mitigate the financial risks associated with player unavailability. The traditional underwriting process for professional athletes, which often relies on age and specific injury exclusions, presents coverage gaps, particularly for work stoppages due to injuries and for athletes of more than 35 years old. To address these gaps, the Transfermarkt® database has been utilized to develop a more accurate and inclusive pricing method that considers the actual

16:15 - 17:00 (45min)

Nicolas BARADEL

Salle des conférences-IRA

-Title: Continuous-time modeling and bootstrap for chain ladder reserving.

-Abstract:We revisit the famous Mack's model \cite{mack1993distribution} which gives an estimate for the mean square error of prediction of the chain ladder claims reserves. We introduce a stochastic differential equation driven by a Brownian motion to model accumulated total claims amount for the chain ladder method. Within this continuous-time framework, we propose a bootstrap technique for estimating the distribution of claims reserves. It turns out that our approach leads to inherently capturing asymmetry and non-negativity, eliminating the necessity for additional assumptions. We conclude with a case study and comparative analysis against alternative methodologies based on Mack's model.

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