ACADEMIC ARTICLES

La performance et le conservatisme des modèles VAR mensuelle
by Stéphane Chrétien, Frank Coggins and Paul Gallant                 

PROFESSIONAL ARTICLES

La garantie de remplacement automobile au Québec: identification de la nature juridique du produit
by E. Frédy Bekono and Gilles Bernier                                     

Un mai 2008 «horribilis» en Asie: d’une tragédie à l’autre
by Rémi Moreau                                                                       

Le lien entre les systèmes d’information et la structure de l’organisation: choix et risques
by Benoit Aubert                                                                  

L’assurance des pertes d’exploitation, cette méconnue
by Remi Moreau                                                                   

Current Events
under the responsibility of Rémi Moreau

1. Que nous réserve l’année cyclonique 2008 dans l’Atlantique – 2. Marsh et Aon, les deux éternels rivaux à l’échelle mondiale du courtage d’assurance – 3. Nouveau guide en assurance maritime – 4. Generali, le premier assureur italien, innove dans l’assurance verte – 5. Le Lloyd’s change ses règles de gouvernance – 6. Les grands tremblements de terre depuis un siècle – 7. Le sida reste l’épidémie du 21^e siècle – 8. La Sun Life et les perspectives de croissance – 9. Une forte sinistralité attendue en assurance responsabilité des administrateurs – 10. Une nouvelle police D&O avec un seul volet de garantie – 11. Pollution électromagnétique – 12. Vols de voiture : quelques statistiques – 13. Cybercriminalité – 14. Les trésors de la librairie du Vatican assurés par Generali – 15. Le rapport sinistres/primes des assureurs de dommages canadiens en 2007 – 16. L’état des catastrophes naturelles (janvier-juin 2008) – 17. La plus forte consommation informatique en France est issue de la finance

The Internet Surfer Page
Aviva Canada Inc.

La performance et le conservatisme des modèles VAR mensuelle
by Stéphane Chrétien, Frank Coggins and Paul Gallant

This study compares fourteen models of monthly Value-at-risk (there­after VAR) for the Canadian and American stock markets in the context of an institutional portfolio manager. Our analysis focuses on the importance of four characteristics of VAR models with filtered historical simulation, one of the most promising approaches. Our results show that monthly VAR models with daily GARCH-type filter are the only ones not rejected with regard to all the performance tests conducted. Among these models, the asymmetric GARCH specification, which proves the most conservative, indicates that the S&P/TSX Composite and S&P500 indexes have a 5% probability of a respective loss averaging at least 7.4% and 6.7% of their value over one month.

Keywords: VAR models with filtered simulations, GARCH models, conditional and unconditional tests, conservatism tests.

La garantie de remplacement automobile au Québec : identification de la nature juridique du produit
by E. Frédy Bekono et Gilles Bernier

This paper aims at analyzing whether a replacement guarantee for a motor vehicle written off as a total loss is an insurance product or not. For this purpose, we rely on a framework based on both insurance theory and regulatory practices. This allows us to identify common characteristics (or features) which are required of all insurance contracts. We then test whether these features apply to the specific case of a replacement guarantee. Our results clearly show that such a contract is not a simple consumer product as it is currently considered in Quebec. Instead, it is, in our view, an insurance product that is complementary to a basic automobile insurance coverage.

Keywords: Replacement guarantee, insurance.

Le lien entre les systèmes d’information et la structure de l’organisation: choix et risques
by Benoit Aubert

In order to succeed, organizations must configure their various components adequately; strategy, structure and technologies information. Research suggests that there no configuration that is systematically better than the others. The appropriate fit between the components is more important that the absolute form of any of them. These choices of configuration entail risks. First, each choice it itself may or may not be fit for the environment. Also, the process of changing from one configuration to another is fraught with risks. This paper presents several elements linked to the structure of the information system function (outsourcing and risk management). Next, the transformations of the structures of the organization made possible by information technologies are presented. These changes are closely associated with the risk management of the information systems projects. It is important to understand how to deploy these technologies in order to draw advantage from the new forms of organization.

Keywords: Strategy, structure, outsourcing and information technologies, risks, risk management.

L’assurance des pertes d’exploitation, cette méconnue
by Rémi Moreau

Commercial property forms do not provide coverage for the indirect loss resulting from the direct damage to the insured property. Such protection must be obtained, subject to a distinct premium, under a business income insurance. In the first part, the author describes the purpose of business income insurance which is to indemnify the insured business firm for loss of income during the period required to restore property damaged by an insured peril or to during the period required to recover its original business profits if no loss had occurred. He identifies the forms that are available, how those forms apply and what are optional coverage provisions. In the second part, he examines contingent business income insurance, which provides protection to a firm against business interruption and extra expense losses resulting from damage caused by an insured peril to property not owned or operated by the insured firm (for example, important supplier or client).

Keywords: Business income insurance, contingent business income insurance.