Ülo Ennuste majandusartiklid

Sotsiaal-Küber kiri 24.VII 17

Määramatuste ja riskide laienedes mittestandardsete Türanniseerivate Katastroofiliste Riskide sotsiaal-küber rakendusteooriate käsitlemine muutub eetilistes sotsiaal-teadustes eeskätt rahvuslike jätkusuutlikkuste kestlikkuse tõenäosuste kindlustamisel parajasti üha olulisemaks nt:


Chichilnisky, Graciela (2010) “The foundations of statistics with black swans” – Mathematical Social Sciences Volume 59 Issue 2: 184-192:

https://doi.org/10.1016/j.mathsocsci.2009.09.007Get rights and content


We extend the foundation of statistics to integrate rare events that are potentially catastrophic, called black swans.These include natural hazards, regime change in complex systems, market crashes, catastrophic climate change and major episodes of species extinction. Classic statistics and physics treat such events as ‘outliers’ and often disregard them. We propose a new axiomatization of subjective probability requiring equal treatment for rare and frequent events, and characterize the likelihoods or subjective probabilities that the axioms imply. These coincide with countably additive measures and yield normal distributions when the sample has no black swans. When the sample includes black swans, the new likelihoods are represented by a combination of countable and finitely additive measures with both parts present. The axioms were introduced in Chichilnisky (2000, 2002); they extend the axiomatic foundations of Savage (1954)Villegas (1964) and Arrow (1971) and they are valid for bounded and unbounded samples (Chichilnisky, 1996b). The finitely additive measures assign more weight to rare events than do standard distributions and in that sense explain the persistent observation of power laws and ‘heavy tails’ that eludes classic theory.

Grechuk, Bogdan; Michael Zabarankin (2014) „Risk averse decision making under catastrophic risk“ – European Journal of Operational Research 239: 166–176.

A b s t r a c t

A nonstandard probabilistic setting for modeling of the risk of catastrophic events is presented. It allows random variables to take on infinitely large negative values with non-zero probability, which correspond to catastrophic consequences unmeasurable in monetary terms, e.g. loss of human lives. Thanks to this extension, the safety-first principle is proved to be consistent with traditional axioms on a preference relation, such as monotonicity, continuity, and risk aversion. Also, a robust preference relation is

introduced, and an example of a monotone robust preference relation, sensitive to catastrophic events in the sense of Chichilnisky (2002), is provided. The suggested setting is demonstrated in evaluating nuclear power plant projects when the probability of a catastrophe is itself a random variable. _ 2014 Elsevier B.V. All rights reserved.

Buchholz, Wolfgang; Michael Sch,ymura (2012) „Expected utility theory and the tyranny of catastrophic risks“ – Ecological Economics 77: 234–239.


Expected Utility theory is not only applied to individual choices but also to social decisions, e.g. in cost–benefit analysis of climate change policymeasures that affect future generations and hence incorporate an ethical dimension. In this context the crucial question arises whether EU theory is able to deal with “catastrophic risks”, i.e. risks of high, but very unlikely losses, in an ethically appealing way. In this paper we show that this is not the case. Rather, if in the framework of EU theory a plausible level of risk aversion is assumed, a “tyranny of catastrophic risk” (TCR) emerges, i.e. project evaluation is dominated by the catastrophic event. Or, contrary to that, with

low degrees of risk aversion, the catastrophic risk eventually has no impact at all (“negligence of catastrophic risk” (NCR)) which is ethically not acceptable as well.

© 2012 Elsevier B.V. All rights reserved.

Shao, Jia; Apostolos D. Papaioannou, Athanasios A. Pantelous (2017) „Pricing and simulating catastrophe risk bonds in a Markov-dependent environment“ –

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At present, insurance companies are seeking more adequate liquidity funds to cover the insured property losses related to natural and manmade disasters. Past experience shows that the losses caused by catastrophic events, such as earthquakes, tsunamis, floods, or hurricanes, are extremely high. An alternative method for covering these extreme losses is to transfer part of the risk to the financial markets by issuing catastrophe-linked bonds. In this paper, we propose a contingent claim model for pricing catastrophe risk bonds (CAT bonds). First, using a two-dimensional semi-Markov process, we derive analytical bond pricing formulae in a stochastic interest rate environment with aggregate claims that follow compound forms, where the claim inter-arrival times are dependent on the claim sizes. Furthermore, we obtain explicit CAT bond prices formulae in terms of four different payofffunctions. Next, we estimate and calibrate the parameters of the pricing models us- ing catastrophe loss data provided by Property Claim Services from 1985 to 2013. Finally, we use Monte Carlo simulations to analyse the numerical results obtained with the CAT bond pricing formulae. ©2017 Elsevier Inc. All rights reserved.

Roberts, Patrick (2008) “Catastrophe: Risk and Response, by Richard A. Posner.” – Homeland Security Affairs 4, Article 5: https://www.hsaj.org/articles/595


Catastrophe: Risk and Response, Richard Posner makes the case that the risk of global catastrophe is higher than most people think, and he analyzes the reasons why the U.S. under-prepares for natural, technological, and terrorist catastrophe. Attempts to mitigate the risk of catastrophe will incur heavy costs, whether economic (as in proposals to reduce the effects of climate change) or civic (as in policing reforms that infringe on civil liberties). How might the U.S. and the world weigh the extraordinary costs and uncertain future benefits of avoiding catastrophe? Posner advocates economic tools, especially cost-benefit analysis, as a guide in determining which catastrophes are worth protecting against and which are so unlikely to happen or so trivial that they are not worth the cost of defense


juuli 24, 2017 - Posted by | Uncategorized

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