Do. 06.11.2014, Mathematisches Kolloquium

Thema: Risk Equity and Catastrophe Aversion under Dependent Risks, Referent: Prof. Dr. Carole Bernard, University of Waterloo Zeit: 17:15 Uhr, Raum: ENC D-115.

Mathematisches Kolloquium 

 

      Risk Equity and Catastrophe Aversion under Dependent Risks   

 

Donnerstag, den 6.11.2014, 17:15 Uhr,  Raum  ENC D-115

Referent:   Prof. Dr. Carole Bernard   (University of Waterloo) 

 

Abstrakt: In this paper, we examine dependent social risks. We first show that more correlation between the death risks faced by two individuals always induces a more catastrophic distribution of fatalities (distribution of the total number of deaths in the population). We then derive the necessary and sufficient condition for the two-agent society analyzed by Keeney (1980, Oper. Res.), so that any equity-increasing risk transfer implies a more catastrophic distribution. This condition pins down the effects of more risk equity on both the marginal distributions of the two risks and their correlation. We demonstrate that the condition holds when a change in risk equity does not increase the correlation between the two risks, or when one individual's death (or survival) is certain. We generalize some of the results obtained for the two-agent case by imposing that risk transfers between any two agents do not affect the dependence structure among the remaining N-2 agents.