CORAL Seminar: Hani Zbib, University of Quebec in Montreal
Title: A Mutual Catastrophe Insurance Framework for Horizontal Collaboration in Prepositioning Strategic Reserves
Speaker: Hani Zbib, Assistant Professor, University of Quebec in Montreal, Department of analytics, operations, and information technologies
Title: A Mutual Catastrophe Insurance Framework for Horizontal Collaboration in Prepositioning Strategic Reserves
Abstract:
We present a mutual catastrophe insurance framework for the prepositioning of strategic reserves to foster horizontal collaboration in preparedness against low-probability high-impact natural disasters. The framework consists of a risk-neutral insurer pooling the risks of a portfolio of risk-averse policyholders. It encompasses the operational functions of planning the prepositioning network in preparedness for incoming insurance claims in the form of units of strategic reserves, setting coverage deductibles and limits of policyholders, and providing insurance coverage to the claims in the emergency response phase. The framework encompasses as well the financial functions of managing the capital of the insurer, and the allocation of premiums among policyholders. We model the framework as a very large-scale non-linear multi-stage stochastic program, and solve it through a Benders decomposition algorithm. We study the case of Caribbean countries establishing a horizontal collaboration for hurricane preparedness and present managerial insights from the study.
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Organisers: Sanne Wøhlk and Marcel Turkensteen