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CONTENTS OF THE JANUARY 2005 ISSUE
Vol.72(4)
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EVALUATED ARTICLES
Nonparametric
Estimation of Conditional Expected Shortfall
GENERAL ARTICLES
La Mutuelle des
municipalités du Québec – une réponse au déséquilibre
COLUMNS
Faits d’actualité 1. Le marché mondial de l’assurance et de la réassurance
en 2003 Aon Technical Studies 1. What risk managers need to know about ethics? Marsh Technical Studies Assurances et gestion des risques Gestion des risques majeurs Gestion des risques financiers L’analyse de risque dans les décisions financières
(partie 1)
The Internet Surfer Page
Où en est l’expérience américaine du Managed Care? The article depicts the evolution of Managed Care. A first part describes and evaluates the Managed Care experience in the U.S. After a review of the major events that led to Managed Care in the U.S., the paper expands on cost-control mechanisms, changes in the medical practice and their impact on patient’s health. In the second part, the article proposes a theoretical interpretation of the development of HMOs based on the cost transaction theory, and uses the W.H.O evaluation grid to outline the orientations of the U.S. health care system. Keywords: HMO, Managed Care, Cost-Control mechanism, cost transaction theory.
Nonparametric Estimation of Conditional Expected
Shortfall We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptotic properties of kernel estimators of conditional expected shortfalls in the context of a stationary process satisfying strong mixing conditions. An empirical illustration is given for several stock index returns, namely CAC40, DAX30, S&P500, DJI, and Nikkei225. Keywords: Nonparametric, Kernel, Time Series, Conditional VaR, Conditional Expected Shortfall, Risk Management, Loss Severity Distribution.
La Mutuelle des municipalités du Québec –
une réponse au déséquilibre In the fall of 2002, discontent reigned supreme among the municipalities. In recent years, the municipalities had been victims of sudden unpredictable increases in premiums prompting them to take matters in hand and develop a long term plan for municipal risk management. The municipal clientele, who felt trapped by the quasi-monopoly existing in the property and casualty insurance field in Quebec, began to favor the emergence of a new business model. With the sponsorship of the Fédération Québécoise des Municipalités, Groupe Ultima inc., a substantial network of insurance brokers, undertook all the work necessary to the creation and management of a mutual insurance company exclusive to municipalities. La Mutuelle des municipalities du Québec, which is being presented to you in this article, was established in November 2003. Spanning a period of more than 18 months, this project involved many different steps, including the analysis of financial viability, drafting a detailed business plan and financial projections for a 5 year period, presentation of the project to various groups including the ministère des Affaires municipales, du Sport et du Loisir, the Autorité des marchés financiers, as well as the municipalities, negotiation and establishment of a financial structure in addition to the recruitment of member-municipalities due to the voluntary nature of their enrollment. Keywords: Municipalities, municipal insurance, mutual, Mutuelle des municipalités du Québec.
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Last updated: January 2005
Insurance and Risk Management Journal, revue.assurances@hec.ca © HEC Montréal, 2005 All rights reserved. |
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