Managing risks from climate impacted hazards -- the value of investment flexibility under uncertainty

DOI10.1016/J.EJOR.2017.07.012MaRDI QIDQ1744490zbMATH OpenOpenAlexFDO

Authors Chi Truong, Stefan Trück, Supriya Mathew

Publication date 23 April 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2017.07.012

zbMATH Keywords

cost benefit analysiscatastrophic riskclimate change adaptationreal optioninvestment under uncertainty

Mathematics Subject Classification ID

Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Optimal adaptation to uncertain climate change
• It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events
• Preparing for catastrophic climate change
• Adaptation, mitigation and risk: an analytic approach
• Optimal risk adoption: a real options approach

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A stochastic calculus model of continuous trading: Complete markets
• A theory of the term structure of interest rates
• Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
• Climate change and optimal energy technology R\&D policy
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• Decision-making under scientific uncertainty: The economics of the precautionary principle
• Irreversible investment in alternative projects
• It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events
• Martingales and arbitrage in multiperiod securities markets
• Optimal timing problems in environmental economics.
• The valuation of contingent capital with catastrophe risks

Cited in

(9)

• Modeling time varying risk of natural resource assets: Implications of climate change
• Preparing for catastrophic climate change
• Optimal adaptation to uncertain climate change
• Rescaling-contraction with a lower cost technology when revenue declines
• Assessing model risk in financial and energy markets using dynamic conditional vars
• Pricing catastrophe risk during transitions of physical and economic environments
• It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events
• Optimal timing of green technology adoption for climate risk mitigation
• Adaptation Time to Climate-Induced Extreme Events—Impact of Trend, Seasonality, and Interest Rate Stochasticity

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