Le mot du nouveau directeur
J. François Outreville

ACADEMIC ARTICLES

Modélisation statistique du coût d’une assurance parentale pour les étudiants
by Jean-Philippe Boucher                                                         

Dynamic Linkages between MVA and Internal Performance Measures:
by Gilles Bernier and Chaouki Mouelhi                                      

Professional Liability Insurance Contracts: Claims Made Versus Occurrence Policies
by Martin Boyer and Karine Gobert                                             

L’impact de la sinistralité passée sur la sinistralité future (2) :
by Olga A. Vasechko et Michel Grun-Rehomme                         

GUESS ARTICLE

La marge de crédit aux consommateurs : aperçu de la littérature financière
by Philippe d’Astous

PROFESSIONAL ARTICLES

Obligation de défendre : conflit d’intérêts de l’assureur
by Guy Pepin                                                                             

Gestion de risque : le projet de financement de la centrale électrique Shajiao B
by Tolga Cenesizoglu et Nicolas Papageorgiou

Current Events
under the responsibility of Rémi Moreau

1. Les régimes de retraite québécois dans la tourmente 2. L’obligation de défendre offerte par la police d’assurance responsabilité est élargie par la Cour suprême dans les causes de malfaçon 3. Le risque nucléaire est-il assurable?-    4. L’inflation des coûts reliés aux changements climatiques au Canada 5. La réforme de l’assurance santé américaine devant la Cour suprême des États-Unis 6. L’assurance de responsabilité des administrateurs et des dirigeants : une tarification adaptée et une couverture élargie 7. La Commission européenne a adopté une proposition de taxe sur les transactions financières 8. Le géant bancaire suisse UBS, victime d’une fraude gigantesque 9. Les faibles rendements boursiers font chuter les bénéfices des assureurs vie canadiens 10. Le marché de la réassurance reste stable malgré les catastrophes naturelles de 2011 11. Le coût des catastrophes naturelles pour le premier semestre de 2011 selon Swiss Re 12. L’assurance en ligne a-t-elle un impact sur les taux ? 13. Multiples rebondissements après l’adoption d’un plan de sauvetage pour la Grèce 14. Un défaut de paiement activerait les swaps de défaillance (CDS) 15. Peu de progrès au G20 de novembre 16. La crise de la dette européenne fait une première victime, acculant le courtier américain MF Global à la faillite  17. Les inondations en Thaïlande pourraient coûter 13 milliards de dollars aux assureurs 18. La Nouvelle-Zélande connaît la pire catastrophe écologique maritime de son histoire
 

Modélisation statistique du coût d’une assurance parentale pour les étudiants 
de cycles supérieurs au Québec
by Jean-Philippe Boucher

The Quebec Parental Insurance Plan (QPIP) exists since 2006. This system covers almost all workers in Quebec, but does not include the student population. Knowing they are in the childbearing age, it might be interesting to evaluate about the possibility of extending the current system of parental insurance for graduate students. Using data from a survey of the graduate students population, this paper proposes a probabilistic and a statistical approaches to predict the number of births from parents that are in completing graduate studies. Using the modeling of the birth rate, we will evaluate the cost of the introduction of parental insurance for graduate students in Quebec. Under certain assumptions, we are able to calculate a cost of insurance of about 6.57$ million for this plan. Knowing that many group insurance plans increase the QPIP benefits for their employees, we believe that the proposed model could also be used to predict the costs of such insurance coverage.

Keywords: Births, parental insurance, count data, non-homogeneous Poisson, waiting times, compound sum.

Dynamic Linkages between MVA 
and Internal Performance Measures: 
A Panel Cointegration Analysis of the U.S. Insurance Industry
by Gilles Bernier and Chaouki Mouelhi

This article relies on recent developments in econometrics of non-stationary dynamic panel data in order to examine the linkages between a firm’s market value added (MVA) per share, a measure of its external performance, and well-established internal performance measures. Indeed, several panel unit root tests and two panel cointegration tests [namely Kao (1999) and Pedroni (2004)] are applied on a sample of 24 firms from the U.S. insurance industry over the period 1991-2004 to test for the existence of a long-term equilibrium relationship between MVA and the following five internal performance measures: earnings per share (EPS), free cash flow per share (FCF), economic value added per share (EVA), return on assets (ROA) and return on equity (ROE). Our main results show that cointegration between MVA and EVA as well as between MVA and ROA are the two more statistically powerful relationships. Several explanations are provided for the above findings supported by robustness analyses using panel error-correction models (PECM) and a comparative analysis of cointegration versus correlation results.

Keywords: Value creation, performance, cointegration, correlation.

Professional Liability Insurance Contracts: Claims Made Versus Occurrence Policies
by Martin Boyer and Karine Gobert

We present in this paper a theoretical approach that argues when one should opt for claims-made or for occurrence-based policies in liability insurance. Occurrence-based contracts cover the policyholder for losses incurred in a given year, no matter when the claims is actually reported in the future. In claims-made contracts, losses are covered in the year in which they are reported no matter when they occurred in the past provided a claims-made insurance policy was valid then. The major difference between the two types of contract is thus that occurrence contracts are forward looking whereas claims-made contracts are retrospective. The goal of this paper is to analyze in what circumstances policyholders would prefer one contract of the other.

Keywords: Liability insurance, claims made and reported, adverse selection.

JEL classification: G

L’impact de la sinistralité passée 
sur la sinistralité future (2) : 
une modélisation des classes de risques
by Olga A. Vasechko et Michel Grun-Rehomme

Facing a competitive insurance market, the insurers have to adopt the best marketing strategy to attract the lowest risky agents, (i.e. the good drivers with the lowest probability of accidents), and to retain them within their portfolios of policyholders. Still insurers need to estimate the low risks in the context of asymmetric information.

In this paper, we construct an indicator of past claims, which combines the Bonus-Malus coefficient (BM) and the seniority of the driver. This indicator is a better estimate of the past claims than the BM coefficient alone. Since longitudinal data are not available, this indicator is also used to study the issue of information asymmetry.

Using a bivariate logit model to avoid bias and provide robust results, we find that the marginal effect (+9% on average) of this indicator of past claims, on the actual claims, is more significant than other exogenous variables. The policyholders with a third-party insurance contract have, on average, a larger probability to incur claims.

Keywords: Automobile insurance, insurance claims, bivariate logistic regression.

La marge de crédit aux consommateurs : aperçu de la littérature financière
by Philippe d’Astous

Research concerning consumer finance is scarce; most authors usually focus on corporate or market finance. Yet, there is an important difference between the way consumers and firms take decisions, which implies that consumer finance cannot be analyzed the same way as corporate finance. This article proposes an overview of the financial literature on consumer credit lines and their place in the financial markets.

Obligation de défendre : 
conflit d’intérêts de l’assureur
by Guy Pepin

This article deals with the obligation to defend in liability insurance and the conflict of interest of the insurer and comes from a speech given by Me Guy Pepin in February 2010 through a conference organized by Institut d’assurance de dommages du Québec.

The author, well known and experimented law practitioner, is reviewing and commenting court cases on these questions in a free-flow and intimist style without diminishing the rigour of his analysis.

More specifically:

1. 
About duty to defend: Nichols vs American Home; Scalera vs Non Marine Underwriters and Monenco vs Commonwealth Insurance Company

2. 
About conflict of interest: Martin vs Succession Macdonald and Gray; Cinar affair, Ville de Fermont vs Kevin Pelletier and Lombard Canada Inc. and Entreprises M. Bourget inc. vs Compagnie d’assurance Missisquoi.

Gestion de risque : le projet de financement de la centrale électrique Shajiao B
par Tolga Cenesizoglu et Nicolas Papageorgiou

China’s successful story is closely linked to the legendary China Boom. In 2010 China became the world’s 2nd largest economy and one of the most important emerging powers in the BRIC group of countries (Brazil, Russia, India, and China). Sufficient energy supply is one of the backbones for this great achievement. However, in the middle of the 1980s, China faced serious problems of power shortage. The Shajiao B power plant was built under these circumstances to supply electricity to the Shenzhen Special Economic Zone. It represents a departure from historic practice in several aspects. The plant was going to be coal-fired, while most existing plants in Guangdong were fuel oil-fired or hydroelectric. In addition, the necessary capital for the project was going to be raised by project financing for the first time in China. This case study analyzes the process and the results of the project financing of the Shajiao B power plant.