ESRC, MMF and WFRI Finance Workshop Series
One Day Workshop
Friday 11th January 2008
Climate Change and Financial Markets:
catastrophe instruments, reinsurance, securitisation and risk transfer
9.30 Registration and Coffee
10.00 Climate change and monetary policy
Andrew Sentance (Warwick University and Member of the Monetary Policy
Committee, Bank of England)
10.45 Why have exchange traded catastrophe instruments failed to displace
reinsurance?
Michel Habib (University of Zurich, Swiss Banking Institute)
11.45 Pricing of catastrophe reinsurance and derivatives with a Cox process
with shot noise intensity
Angelos Dassios (London School of Economics)
12.45 LUNCH
1.30 Climate Change and the Insurance Industry
Trevor Maynard (Manager Emerging Risks, Lloyds Insurance)
2.15 The Robustness of Arbitrage-Free and Actuarial Models in the Pricing
and Hedging Catastrophe Derivatives
Stephen Weston (Global Credit Trading, Risk Management, Deutsche Bank ,
London)
3.15 Self-Protection and Insurance with Interdependencies
Alexander Mürmann (Institute of Risk Management and Insurance, Vienna
University)
4.15 TEA
4.45 Optimal design of risk sharing between insurer, reinsurer and capital
markets
Pierre Devolder (Institut des Sciences Actuarielles, UCL)
5.45 END
The workshop will take place in lecture theatre B0.01 in Warwick Business
School. In order to ensure a place you must contact Rhona Macdonald on
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