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Évaluation de risques controversés par la théorie des options réelles

Author

Listed:
  • Robert Kast
  • André Lapied
  • Sophie Pardo
  • Camelia Protopopescu

Abstract

Public decision-making and risk assessment in such fields as environmental risk, industrial risk, disaster insurance, and health and unemployment insurance require dynamics to be taken into account and generally give rise to controversy. In order to use real options theory for these fields, we propose methods for constructing a virtual underlying security on the basis of a portfolio of traded assets. Real options theory will take care of dynamic aspects of the decision-making process while construction of the virtual underlying security takes account of various levels of controversy.

Suggested Citation

  • Robert Kast & André Lapied & Sophie Pardo & Camelia Protopopescu, 2001. "Évaluation de risques controversés par la théorie des options réelles," Economie & Prévision, La Documentation Française, vol. 149(3), pages 51-63.
    • Handle: RePEc:cai:ecoldc:ecop_149_0051
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    References listed on IDEAS

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    Cited by:

    1. Robert Kast, 2011. "Managing financial risks due to natural catastrophes," Working Papers hal-00610241, HAL.

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    More about this item

    Keywords

    Real options; risks; collective choice; functional correlation coefficient; Kendall's tau coefficent;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • L32 - Industrial Organization - - Nonprofit Organizations and Public Enterprise - - - Public Enterprises; Public-Private Enterprises
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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