Spatial dependence and diversification of climate extremes for global (re)insurance

全球（再）保险的极端气候的空间依赖性和多样化

• 批准号: RGPIN-2021-03362
• 负责人: Boudreault, Mathieu
• 金额: $ 1.97万
• 依托单位: Université du Québec à Montréal
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2022
• 资助国家: 加拿大
• 起止时间: 2022-01-01 至 2023-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=759311
• 关键词: Spatial; dependence; diversification; climate; extremes

Insurance is a typical risk transfer mechanism where one pays a predetermined premium in exchange for risk protection. "The contribution of the many to the misfortune of the few" was Lloyd's of London's motto upon its foundation in 1668. This old saying illustrates that insurance works on diversification, either among policyholders or lines of business, which in turn guarantees financial stability and long-term viability. Climate extremes such as floods and hurricanes, however put a significant strain on the financial stability of insurers. This is because of the systemic nature (or wide spatial extent) of these disasters that generate rare but tremendous losses. Losses from climate extremes are typically shared with governments and homeowners or in large part transferred to the international reinsurance industry. Reinsurance is also a risk transfer mechanism but insurers (and other organizations) pay premiums for protection instead. Global by nature, reinsurance counts on international portfolios to stabilize large claims from risks such as climate extremes. But at such level, international (re)insurance portfolios may be affected by global climate phenomena such as El Niño / Southern Oscillation (ENSO) or other regional climate influences. For example, it is well-known in climate science that ENSO affects flood and hurricane occurrences simultaneously around the world, even if such locations are thousands of kilometers apart. The aim of the research proposal is to provide mathematical representations of how climate extremes may occur at various locations globally (spatial dependence) and their effects on a large (inter)national (re)insurance portfolio (spatial diversification). The study of global diversification of climate extremes, which is at the boundary of actuarial and climate sciences, is challenging because it requires an understanding of local and global dynamics of these events. Being high-dimensional by nature, I thus seek to exploit our physical understanding of these natural phenomena, to create more realistic models and financial risk management approaches that in turn advance both actuarial and climate sciences. Insurance, either private and/or public, is a key component of the disaster recovery process. Access to affordable insurance is essential to reduce protection gaps and mitigate climate inequalities generally affecting vulnerable populations more severely. International reinsurance provides an easy mean to benefit from global diversification which in turn assures the long-term viability of the Canadian insurance industry while also reducing the needs for taxpayers to constantly compensate for losses from disaster financial assistance programs. This research proposal thus provides the mathematical tools for actuaries, economists and financial analysts to design public and/or private (re)insurance programs for climate extremes that are sustainable in the future in the face of climate change.

保险是一种典型的风险转移机制，在其中支付预定的保费以换取风险保护。伦敦的座右铭是1668年的洛伊德（Lloyd's of Motto）的劳埃德（Lloyd's）在1668年为少数人的不幸所做的贡献。但是，诸如地板和飓风等极端气候对保险的财务稳定性产生了重大压力。这是因为这些灾难的系统性（或广泛的空间范围）产生了罕见但巨大的损失。极端气候的损失通常与政府和房主共享，或者很大程度上转移到国际再保险行业。再保险也是一种风险转移机制，但保证（和其他组织）为保护保费。从本质上讲，重新保险是对国际投资组合的重新保险，以稳定诸如极端气候的风险中的大量主张。但是在这样的层面上，国际保险投资组合可能会受到全球气候现象的影响，例如厄尔尼诺 /南部振荡（ENSO）或其他地区气候影响。例如，在气候科学中众所周知，ENSO仅仅影响了世界各地的洪水和飓风事件，即使这些地点相距数千公里。研究建议的目的是提供数学表示，以表明全球各个位置（空间依赖）如何发生极端气候及其对大型（Inter）国家（RE）保险组合（空间多元化）的影响。在实际和气候科学的边界处对全球气候极端多样化的研究是具有挑战性的，因为它需要了解这些事件的本地和全球动态。因此，我本质上是高维的，因此我寻求探索我们对这些自然现象的物理理解，以创建更现实的模型和财务风险管理方法，从而促进实际和气候科学。保险是私人和/或公共，是灾难恢复过程的关键组成部分。获得负担得起的保险对于减少保护差距和减轻气候不平等至关重要，通常会影响脆弱人群更加严重。国际再保险提供了一种轻松的手段，可以从全球多元化中受益，这反过来又假定了加拿大保险业的长期生存能力，同时还减少了纳税人不断补偿灾难财务援助计划损失的需求。因此，该研究建议为活动，经济和财务分析师提供了数学工具，以设计公共和/或私人（RE）保险计划，以实现面对气候变化的极端气候极端。