Skip to Main content Skip to Navigation
Theses

Elements of risk theory in finance and insurance

Abstract : This thesis deals with the risk theory in Finance and Insurance. Application of the Comonotonicity concept, the strongest risk dependence, is described for identifying the Pareto optima and Individually Rational Pareto optima allocations, option pricing and quantification of risk. Furthermore it is shown that the left monotone risk aversion, a meaningful refinement of strong risk aversion, characterizes Yaari’s decision makers for whom deductible insurance is optimal. The concept of Comonotonicity is introduced and discussed in Chapter 1. In case of multiple risks, the idea that a natural way for insurance companies to optimally share risks is risk by risk Pareto-optimality is adopted. Moreover, the Pareto optimal and individually Pareto optimal allocations are characterized. The Chapter 2 investigates the application of the Comonotonicity concept in option pricing and quantification of risk. A novel control variate Monte Carlo method is introduced and its application is explained for basket options, Asian options and TVaR. Finally in Chapter 3 the strong risk aversion is refined by introducing the left-monotone risk aversion which characterizes the optimality of deductible insurance within the Yaari’s model. More importantly, it is shown that the computation of the deductible is tractable.
Document type :
Theses
Complete list of metadatas

Cited literature [52 references]  Display  Hide  Download

https://tel.archives-ouvertes.fr/tel-01848801
Contributor : Abes Star :  Contact
Submitted on : Wednesday, July 25, 2018 - 11:00:17 AM
Last modification on : Sunday, January 19, 2020 - 6:38:28 PM
Long-term archiving on: : Friday, October 26, 2018 - 1:56:33 PM

File

MOSTOUFI.pdf
Version validated by the jury (STAR)

Identifiers

  • HAL Id : tel-01848801, version 1

Collections

Citation

Mina Mostoufi. Elements of risk theory in finance and insurance. Sociology. Université Panthéon-Sorbonne - Paris I, 2015. English. ⟨NNT : 2015PA010044⟩. ⟨tel-01848801⟩

Share

Metrics

Record views

164

Files downloads

128