Uncertain Product Quality, Optimal Pricing and Product Development

A firm is developing a new product. However, the firm is uncertain as to how consumers will perceive the product's desirability or quality. Using a general model of product quality, conditions for an increase in uncertainty to increase the optimal price are derived. General conditions are derived under which the firm prefers the less risky project, the one with lower quality variability. However, if at the optimal price the firm only has positive demand for high quality realizations, then the firm prefers a more risky project. As the uncertainty exists in the consumers' preferences, welfare effects can be determined, unlike in previous work examining uncertainty.     

市场风险值VaR的算法与应用

进行金融风险管理时可以将风险划分为四类，即信用风险、经营风险、流动性风险和市场风险。其中市场风险是指金融市场价格（包括股票价格、利率、汇率和大宗可交易商品的价格）波动而引起的未来收益的不确定性。市场风险值VaR(Value at Risk）就是用来评价给定资产所面临的市场风险大小。本文介绍了VaR的定义、相关的计算方法和在证券投资决策中的应用实例。     

Modeling attitudes towards uncertainty and risk through the use of choquet integral

The aim of this paper is to present in a unified framework a survey of some results related to Choquet Expected Utility (CEU) models, a promising class of models introduced separately by Quiggin [35], Yaari [48] and Schmeidler [40, 41] which allow to separate attitudes towards uncertainty (or risk) from attitudes towards wealth, while respecting the first order stochastic dominance axiom.     

贝叶斯方法在工程建设项目风险分析中的应用

本文探讨了贝叶斯定理及其推广在工程建设项目中的应用。在工程建设项目中,各种风险会随时出现,不了解风险的存在形式,很难进行风险管理。贝叶斯方法提供了一种有效的风险预测手段,能够将主观估计与客观估计结合起来,并能随着资料的不断增加而不断进行预测,使得预测更加精确,有利于工程建设项目的动态风险管理。     

信息熵度量风险的探究

本文分析了风险的本质后指出,风险是某一特定行为主体对某一金融投资中损失的不确定性和收益的不确定性的认识。在众多风险度量的方法中,熵函数法有着其独特的度量风险的优势,因此,在本文中重点讨论了熵函数作为风险度量的合理性。同时提出一个新的风险度量模型,剖析其主要的数学特性,阐明该模型可以针对不同行为主体能有效地度量金融风险,并且计算量小,易于操作。     

Robust optimization of consumption with random endowment

We consider the problem of optimal consumption for an investor who is risk and uncertainty averse. We model these preferences of the investor with the help of a convex risk-measure. Apart from consumption the agent has the possibility to invest initial capital and random endowment in a market where stock-prices are semimartingales. We formulate this as a maximin problem that will be solved by duality methods.     

The risk transfer of non-tradable risks under model uncertainty

In the context of model uncertainty, we study the optimal design and the pricing of financial instruments aiming to hedge some of non-tradable risks. For the existence of model uncertainty, the preference can be represented by the robust expected utility (also called maxmin expected utility) which can be put in the framework of sublinear expectation. The problem of maximizing the issuer’s robust expected utility under the constraint imposed by the buyer can be transformed to the problem of minimizing the issuer’s convex measure under the corresponding constraint. And here the convex measure measures not only the risks but also the model uncertainties.     

A TUTORIAL ON EVALUATING EXPECTED RETURNS FROM RESEARCH FOR FISHERY MANAGEMENT USING BAYES' THEOREM

Traditional methods for evaluating potential or actual returns from research and development include scoring methods, cost-benefit analysis and production-function approaches. The research reported in the present paper complements these traditional methods with the use of statistical decision analysis and Bayesian methods to account explicitly for risk and uncertainty and to capture some of the effects of information evolution. Measurement of the expected returns from research for fishery management is detailed. Both ex post and ex ante evaluation of expected returns are illustrated by deliberately simplified example.     

The beta stochastic utility (β-SU)

In this article, a new model for decision making under uncertainty is presented. Here, we model human attitude toward risks to show that an individual estimate of the expected utility of a lottery follows a generalized Beta distribution with a random error that follows a similar distribution. An individual is said to maximize his stochastic utility when requested to present his preference between risky lotteries. Hypothetically, risky lotteries are those exhibiting wider ranges of rewards where human estimate will not be below the utility of the lowest reward nor above the highest of the lottery. The Beta distribution is bounded and complies to such intuitive preconditions with a variance depending on such bounds. The proposed model will overestimate/underestimate the expected utility of a lottery according to the lottery probability mass and individuals' risk attitudes. By such estimation, our model conforms to the fourfold choice pattern. The model also explains the violations present as inconsistencies in the expected utility theory, such as Allais paradox, common consequence effect, common ratio effect, and the violation of betweenness that can be found in the fourfold choice pattern. For the validation purposes, 13 datasets from literature were collected and tested. The β-SU model fits the data at least as good as other approaches such as the CPT/StEUT and presents higher prediction log-likelihoods and less sum of squared errors in most of the cases, a matter that supports the proposition that human estimates of the expected utility may be drawn out of a generalized Beta distribution.     

基于先验信息的社会碳成本贝叶斯不确定性分析

针对气候变化及经济影响存在的巨大不确定性,研究了气候变化不确定性以及先验信息对社会碳成本的影响.在贝叶斯理论框架下,采用指数分布刻画气候变化的分布特征,假设尾部变化率是一个随机变量,给出其伽玛先验分布,推导了气候变化分布的贝叶斯先验预测分布.并分别基于指数分布以及帕累托先验预测分布计算了社会碳排放成本.模拟分析发现,在...     

The emergence of risk aversion

Economic decision making under uncertainty is universally characterized by aversion to risk. One of the most basic concepts in economic theory, risk aversion is usually explained by the concavity of the utility function, which, in turn, is based on a person's satiability for wealth. I use genetic algorithms to show that risk aversion, and some related consequences, emerge naturally as a result of evolutionary pressures. In analogy to the well-known hillclimbing metaphor, it is helpful in this context to characterize optimizing under uncertainty as “surfing in a fitness seascape.” © 1997 John Wiley & Sons, Inc.     

不确定性视角下灾难防控的社会支付意愿评估研究

灾难政策设计需要权衡政策实施的成本与收益。社会支付意愿常用来评估灾难防控政策收益,其依赖于灾难损失的大小。灾难概率和规模是刻画灾难损失的两个重要变量。因此,本文基于灾难概率与规模提出了一种评估灾难防控的社会支付意愿理论框架。首先分析了灾难概率与期望规模对社会支付意愿的影响。结果发现,随着灾难概率的增大,社会支付意愿增大,但是减少单位灾难概率的社会支付意愿是下降的。随着灾难规模的增大,社会支付意愿也增大,且减少单位灾难规模的社会支付意愿是上升的。这意味着,社会支付意愿对灾难规模更敏感,特别当灾难规模较大时,为减少灾难规模社会愿意支付更多成本。进一步,考虑到灾难规模的厚尾不确定性,研究了灾难规模不确定性对社会支付意愿的影响。结果发现,随着灾难规模不确定性的增大,社会支付意愿也是增大的,但是减少单位灾难规模不确定性的社会支付意愿是下降的。这为灾难政策设计时如何权衡灾难概率与灾难规模提供了重要参考。     

Risk measurement and management of defined benefit pension schemes: a stochastic approach

The traditional actuarial valuation for defined benefit pensionschemes operates on the basis of a set of deterministic calculationscombined with actuarial judgment. It has played an importantrole in guiding decision-making as far as the level of fundingis concerned. The paper argues that stochastic methods can addvalue in certain crucial areas, in particular the financialrisk management of such schemes. The traditional approach torisk is to incorporate margins in the valuation assumptions;however, a stochastic approach allows the user to evaluate specificand quantifiable risk and performance measures in respect ofalternative funding and investment strategies. The paper introducesa framework that measures the risks inherent in asset allocationand contribution rate decisions, allowing decisions to be madeon a more informed basis. In doing this, we suggest and applysome potential risk and performance measures. This frameworkprovides the means to explore the trade-offs involved in possiblecontribution and asset allocation decisions and leads to decisionstrategies that are expected to give improved outcomes for thesame level of risk. A realistic case study is used to illustratethe properties of the methodology and how it might be used.     

THE INSURANCE VALUE OF BIODIVERSITY IN THE PROVISION OF ECOSYSTEM SERVICES

ABSTRACT. Biodiversity provides insurance against the uncertain provision of ecosystem services which are being used by risk‐averse economic agents. I present a conceptual ecological‐economic model that combines (i) current results from ecology about the relationships between biodiversity, ecosystem functioning, and the provision of ecosystem services with (ii) economic methods to study decision‐making under uncertainty. In this framework I (1) determine the insurance value of biodiversity, (2) study the optimal allocation of funds in the trade‐off between investing into biodiversity protection and the purchase of financial insurance, and (3) analyze the effect of different institutional regimes in the market for financial insurance on biodiversity protection. I conclude that biodiversity acts as a form of natural insurance for risk‐averse ecosystem managers against the over‐ or under‐provision with ecosystem services. Therefore, biodiversity has an insurance value, which is a value component in addition to the usual value arguments, such as direct or indirect use or non‐use values. In this respect, biodiversity and financial insurance are substitutes. Hence, the availability, and exact institutional design, of financial insurance influence the level of biodiversity protection.