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  • Articles  (57)
  • risk  (57)
  • Economics  (53)
  • Sociology  (6)
  • Architecture, Civil Engineering, Surveying  (4)
  • 1
    Electronic Resource
    Electronic Resource
    Springer
    The Geneva risk and insurance review 23 (1998), S. 89-117 
    ISSN: 1554-9658
    Keywords: inequality ; risk ; utility
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Recalling the class of risk measures introduced by Stone [1973], the authors survey measures from different academic disciplines—including psychology, operations research, management science, economics, and finance—that have been introduced since 1973. We introduce a general class of risk measures that extends Stone's class to include these new measures. Finally, we give four axioms that describe necessary attributes of a good financial risk measure and show which of the measures surveyed satisfy these. We demonstrate that all measures that satisfy our axioms, as well as those that do not but are commonly used in finance, belong to our new generalized class.
    Type of Medium: Electronic Resource
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  • 2
    Electronic Resource
    Electronic Resource
    Springer
    The Geneva risk and insurance review 23 (1998), S. 151-165 
    ISSN: 1554-9658
    Keywords: environmental management ; uncertainty ; public goods ; voluntary contributions ; precaution ; risk
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article presents a model in which production causes pollution that diminishes the welfare of its agents. Each agent is concerned with the quality of its environment and may voluntary contribute to improve it by financing depollution technology. The effectiveness of this technology on the quality of the environment is uncertain. We show that if an agent is sufficiently risk averse, voluntary contribution is a decreasing function of the average efficiency of depollution technology. If, on the contrary, the pollution effect is weaker than the substitution effect, the opposite holds. We show that precaution about environmental quality has two possible consequences that depend on agents' risk aversion. Therefore, the implications of a precautionary attitude lead us to consider the agents' risk-aversion characterization, which implies knowledge about prudent attitude.
    Type of Medium: Electronic Resource
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  • 3
    ISSN: 1572-8099
    Keywords: risk ; flammable liquid ; hazard ; probability ; sprinkler
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying
    Notes: Abstract A fire risk analysis modeling framework was developed to analyze options for fire-safe handling and storing of flammable and combustible liquids in containers. The model illustrates the application of general risk analysis modeling principles to a current, highly visible problem and introduces some new modeling elements. Risk is driven by relative success in providing a complete, operational sprinkler system adequate for controlling fires that start in ordinary combustibles, well away from the liquid products.
    Type of Medium: Electronic Resource
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  • 4
    Electronic Resource
    Electronic Resource
    Springer
    Transportation 16 (1989), S. 329-341 
    ISSN: 1572-9435
    Keywords: banking ; finance ; investment ; private sector ; risk ; tollroads
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying
    Notes: Abstract Governments of all persuasions are increasingly seeking the participation of the private sector in the supply of transport facilities and services. Private sector participation in the financing, construction, operation and maintenance of infrastructure is considered a serious option in a number of countries in the search for ways of providing much needed investment which would otherwise be deferred. This paper considers some economic and financial problems in the private sector provision of major road infrastructure within urban areas. The main issues are attaching prices (i.e. tolls) to the provision of the service, the value of government rights which are being given up either permanently or temporarily, and the identification required by the promoters of the cost of capital which is essential information in establishing the risk. Broader environmental and equity issues are not addressed. If the approach to establishing a private presence in a previously public supply context is handled properly from the outset, the benefits can be significant. Contrarily however, the prospects could be quite undesirable if badly managed, despite the presence of an extended public purse.
    Type of Medium: Electronic Resource
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  • 5
    Electronic Resource
    Electronic Resource
    Springer
    Annals of operations research 59 (1995), S. 195-226 
    ISSN: 1572-9338
    Keywords: Investment ; robustness ; commercial scope ; feasibility ; reliability ; risk ; two-stage ; recourse ; induced constraints
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The annual production planning of a natural gas trading and transporting company is modelled as a linear system of (in)equalities. The model is used to quantify the increase of robustness with respect to commercial uncertainty, resulting from investments in production capacities. A novel concept is thecommercial scope, describing the set of future commercial scenarios that can be handled effectively. It is shown how relevant parts of the boundary of this set can be constructed using induced constraints. A numerical example is presented.
    Type of Medium: Electronic Resource
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  • 6
    Electronic Resource
    Electronic Resource
    Springer
    Annals of operations research 99 (2000), S. 207-225 
    ISSN: 1572-9338
    Keywords: catastrophe modeling ; insurance ; risk ; stochastic optimization ; adaptive Monte Carlo ; nonsmooth optimization ; ruin probability
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract A catastrophe may affect different locations and produce losses that are rare and highly correlated in space and time. It may ruin many insurers if their risk exposures are not properly diversified among locations. The multidimentional distribution of claims from different locations depends on decision variables such as the insurer's coverage at different locations, on spatial and temporal characteristics of possible catastrophes and the vulnerability of insured values. As this distribution is analytically intractable, the most promising approach for managing the exposure of insurance portfolios to catastrophic risks requires geographically explicit simulations of catastrophes. The straightforward use of so-called catastrophe modeling runs quickly into an extremely large number of “what-if” evaluations. The aim of this paper is to develop an approach that integrates catastrophe modeling with stochastic optimization techniques to support decision making on coverages of losses, profits, stability, and survival of insurers. We establish connections between ruin probability and the maximization of concave risk functions and we outline numerical experiments.
    Type of Medium: Electronic Resource
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  • 7
    Electronic Resource
    Electronic Resource
    Springer
    Journal of risk and uncertainty 13 (1996), S. 53-71 
    ISSN: 1573-0476
    Keywords: risk ; uncertainty ; ambiguity ; self-protection ; self-insurance ; framing ; D81
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We build two experimental markets to examine individual valuations of risk reductions with two risk-management tools: self-insurance and self-protection. We find no positive evidence that the risk-reducing mechanisms constitute a “frame.” Ambiguity in the probability on average affects valuation only weakly, and changes in the representation of ambiguity do not alter valuation. Finally, unlike the results obtained by Hogarth and Kunreuther for the case of market insurance, our findings do not provide a strong support for the “Anchoring and Adjustment” ambiguity model.
    Type of Medium: Electronic Resource
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  • 8
    Electronic Resource
    Electronic Resource
    Springer
    Journal of risk and uncertainty 11 (1995), S. 233-262 
    ISSN: 1573-0476
    Keywords: risk ; expected utility ; generalized expected utility ; C91 ; D81
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Experimental studies have discovered behavior that is inconsistent with the expected utility model (EU) of risky choice (von Neumann and Morgenstern, 1953). The two approaches to address these paradoxes are tested: generalized expected utility models (GEU) and models incorporating decision-making limits or costs through question similarity. Tests are carried out over risky pairs related to well-known examples from Kahneman and Tversky's (1979) influential work. Statistical analysis reveals that GEU models of choice are significantly violated for choice patterns consistent with the similarity hypothesis. Additional tests point to shortcomings in the similarity approach that are consistent with fanning out behavior.
    Type of Medium: Electronic Resource
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  • 9
    Electronic Resource
    Electronic Resource
    Springer
    Journal of risk and uncertainty 13 (1996), S. 5-17 
    ISSN: 1573-0476
    Keywords: risk ; uncertainty ; decision weights ; subadditivity
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Professional options traders priced risky prospects as well as uncertain prospects whose outcomes depended on future values of various stocks. The prices of the risky prospects coincided with their expected value, but the prices of the uncertain prospects violated expected utility theory. An event had greater impact on prices when it turned an impossibility into a possibility or a possibility into a certainty than when it merely made a possibility more or less likely, as predicted by prospect theory. This phenomenon is attributed to the subadditivity of judged probabilities.
    Type of Medium: Electronic Resource
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  • 10
    Electronic Resource
    Electronic Resource
    Springer
    Journal of risk and uncertainty 14 (1997), S. 103-127 
    ISSN: 1573-0476
    Keywords: risk ; comparative risk ; increasing risk ; mean preserving spread ; noise ; stochastic dominance
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article extends the classic RothschildNStiglitz characterization of comparative risk ("increasing risk") in two directions. By adopting a more general definition of "mean preserving spread" (MPS), it provides a direct construction of a sequence of MPS's linking any pair of distributions that are ranked in terms of comparative risk. It also provides a direct, explicit construction of a zero-conditional-mean "noise" variable for any such pair of distributions. Both results are extended to the case of second order stochastic dominance.
    Type of Medium: Electronic Resource
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