| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1007/s10479-009-0606-4 |
| Extreme events, discounting and stochastic optimization. | |
| Ermoliev Y; Ermolieva T; Fischer G; Makowski M | |
| 发表日期 | 2010 |
| 出处 | Annals of Operations Research 177 (1): 9-19 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | The paper analyzes the implications of extreme events on the proper choice of discounting. Any discouting with constant or declining rates can be linked to random "stopping time" events, which define the internal discount-related horizons of evaluations. Conversely, any stopping time induces a discounting, in particular, with the standard discount rates.The expected duration of the stopping time horizon for discount rates obtained from capital markets does not exceed a few decades and, as such, these rates may significantly underestimate the net benefits of long-term decisions. The alternative undiscounted stopping time criterion allows to induce social discounting focusing on arrival times of potential extreme events rather than horizons of market interests. Induced discount rates are conditional on the degree of social commitment to mitigate risk. In general, extreme events affect these rates, which alter the optimal mitigation efforts that, in turn, change events. The use of undiscounted stopping time criteria requires stochastic optimisation methods. |
| 主题 | Integrated Modeling Environment (IME) ; Modeling Land-Use and Land-Cover Changes (LUC) |
| 关键词 | Extreme events Stopping time Catastrophic risks Discounting Investments Stochastic optimization |
| URL | http://pure.iiasa.ac.at/id/eprint/9244/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/129131 |
| 推荐引用方式 GB/T 7714 | Ermoliev Y,Ermolieva T,Fischer G,et al. Extreme events, discounting and stochastic optimization.. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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