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

DOI10.1016/J.EJOR.2017.07.012zbMATH Open1431.91282OpenAlexW2726491368MaRDI QIDQ1744490FDOQ1744490

Stefan Trück, Supriya Mathew, Chi Truong

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

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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)

Cites Work

• A theory of the term structure of interest rates
• Martingales and arbitrage in multiperiod securities markets
• Irreversible investment in alternative projects
• Title not available (Why is that?)
• Decision-making under scientific uncertainty: The economics of the precautionary principle
• A stochastic calculus model of continuous trading: Complete markets
• Climate change and optimal energy technology R\&D policy
• Optimal timing problems in environmental economics.
• It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events
• The valuation of contingent capital with catastrophe risks
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform

Cited In (4)

• Modeling time varying risk of natural resource assets: Implications of 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

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