International audienceIn this paper we suggest several nonparametric quantile estimators based on Beta kernel. They are applied to transformed data by the generalized Champernowne distribution initially fitted to the data. A Monte Carlo based study has shown that those estimators improve the efficiency of the traditional ones, not only for light tailed distributions, but also for heavy tailed, when the probability level is close to 1. We also compare these estimators with the Extreme Value Theory Quantile applied to Danish data on large fire insurance losses
International audienceValue-at-Risk, despite being adopted as the standard risk measure in finance, suffers severe objections from a practical point of view, due to a lack of convexity, and since it does not reward diversification (which is an essential feature in portfolio optimization). Furthermore, it is also known as having poor behavior in risk estimation (which has been justified to impose the use of parametric models, but which induces then model errors). The aim of this paper is to chose in favor or against the use of VaR but to add some more information to this discussion, especially from the estimation point of view. Here we propose a simple method not only to estimate the optimal allocation based on a Value-at-Risk minimization constraint, but also to derive—empirical—confidence intervals based on the fact that the underlying distribution is unknown, and can be estimated based on past observations
<p>The frequency and impact of disasters rise at the global scale, calling for effective disaster risk management and innovative risk financing solutions. Disaster Risk Financing (DRF) can increase the ability of national and local governments, homeowners, businesses, agricultural producers, and low-income populations to respond more quickly and resiliently to disasters by strengthening public financial management and promoting market-based disaster risk financing. For landslide events, the usage of DRF products is not yet extensive, mainly due to challenges in capturing the appropriate destabilization factors and triggers, as well as forecasting the physical properties of a landslide event (such as its type, location, size, number of people affected, and/or exposed infrastructure). The availability and quality of satellite EO derived data on rainfall that triggers landslides (Global Precipitation Measurement mission / GPM) and observations of the landslides themselves (Copernicus Sentinel radar and multispectral sensors, very high resolution -VHR- optical sensors) greatly improved in recent years. In the same time, effective models are refined and support near-real time landslide hazard assessment (e.g. Landslide Hazard Assessment for Situational Awareness / LHASA; Flow path assessment of gravitational hazards at a Regional scale / FLOW-R).</p><p>The objective of this work is to present the prototype platform LANDSLIDE HAZARD INFORMATION SYSTEM (LHIS) which aims to support landslide DRF priorities using Earth Observation data and models. The functions of the platform are to be able to anticipate, forecast and respond to incipient landslide events (in Near-Real Time, NRT) by providing estimates of parameters suitable for parametric insurance calculations, including landslide inventories, susceptibility and hazard maps, potential damages and costs analyses. The LHIS prototype is accessible on the GEP / Geohazards Exploitation Platform allowing easy access, processing and visualization of EO-derived products. The prototype consists of three modular components with respectively: 1) a Landslide Detection component to create Landslide Inventories, 2) a Landslide Hazard Assessment component using global and national geospatial datasets leading to Landslide Susceptibility Maps, Scenario-based Hazard Maps and NRT Rainfall-based Hazard Maps, and 3) Landslide Impact Assessment component combining landslide hazard maps with population and infrastructure datasets to derive Landslide Exposure Maps and Landslide Impact Index. The landslide detection module is based on the analysis of time series of optical and SAR data; the landslide hazard and impact assessment modules are based on the LHASA, FLOW-R and PDI models.</p><p>The information system is being developed and tested in Morocco in collaboration with the solidarity fund against catastrophic events (FSEC) and the World Bank for two contrasting use cases in the Rif area (North Morocco) and the Safi area (Central Morocco) exposed to various landslide situations occurring in different environmental and climatic contexts.</p>
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