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

DOI10.1016/J.EJOR.2017.07.012zbMath1431.91282OpenAlexW2726491368MaRDI QIDQ1744490

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

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)

Related Items (2)

Optimal adaptation to uncertain climate change ⋮ Rescaling-contraction with a lower cost technology when revenue declines

Cites Work

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

This page was built for publication: Managing risks from climate impacted hazards -- the value of investment flexibility under uncertainty