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2021-01-18
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このアイテムへのリンクには次のURLをご利用ください:http://hdl.handle.net/11094/13841
論文情報
タイトル
Weitzman Meets Nordhaus : Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model
著者
Ikefuji, Masako
Ikefuji, Masako
Laeven, Roger J. A.
Laeven, Roger J. A.
Magnus, Jan R.
Magnus, Jan R.
Muris, Chris
Muris, Chris
キーワード等
Economy-climate models
Catastrophe
Expected utility
Heavy tails
Power utility
抄録
We specify a stochastic economy-climate model, adapting Nord-haus' deterministic economy-climate model by allowing for Weitzman-typestochasticity. We show that, under expected power utility, the model isfragile to heavy-tailed distributional assumptions and we derive necessaryand sufficient conditions on the utility function to avoid fragility. We solveour stochastic economy-climate model for two cases with compatible pairs ofutility functions and heavy-tailed distributional assumptions. We further de-velop and implement a procedure to learn the input parameters of our modeland show that the model thus specied produces robust optimal policies.The numerical results indicate that higher levels of uncertainty lead to lessabatement and consumption, and to more investment.
公開者
The Institute of Social and Economic Research, Osaka University
掲載誌名
Institute of Social and Economic Research Discussion Papers
巻
825
刊行年月
2011-12
URL
http://hdl.handle.net/11094/13841
関連情報 (references)
http://www.iser.osaka-u.ac.jp/library/dp/2011/DP0825.pdf
言語
英語
カテゴリ
ディスカッション/ワーキング・ペーパー DP/WP
論文詳細を表示
著者版フラグ
none
NII資源タイプ
テクニカルレポート
ローカル資源タイプ
ディスカッション/ワーキング・ペーパー
dcmi資源タイプ
text
DCTERMS.bibliographicCitation
Institute of Social and Economic Research Discussion Papers.825
DC.title
Weitzman Meets Nordhaus : Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model
DC.creator
Ikefuji, Masako
Laeven, Roger J. A.
Magnus, Jan R.
Muris, Chris
DC.publisher
The Institute of Social and Economic Research, Osaka University
DC.language" scheme="DCTERMS.RFC1766
英語
DCTERMS.issued" scheme="DCTERMS.W3CDTF
2011-12
DC.identifier" scheme="DCTERMS.URI
http://hdl.handle.net/11094/13841
DC.subject
Economy-climate models
Catastrophe
Expected utility
Heavy tails
Power utility
DCTERMS.abstract
We specify a stochastic economy-climate model, adapting Nord-haus' deterministic economy-climate model by allowing for Weitzman-typestochasticity. We show that, under expected power utility, the model isfragile to heavy-tailed distributional assumptions and we derive necessaryand sufficient conditions on the utility function to avoid fragility. We solveour stochastic economy-climate model for two cases with compatible pairs ofutility functions and heavy-tailed distributional assumptions. We further de-velop and implement a procedure to learn the input parameters of our modeland show that the model thus specied produces robust optimal policies.The numerical results indicate that higher levels of uncertainty lead to lessabatement and consumption, and to more investment.
citation_title
Weitzman Meets Nordhaus : Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model
citation_author
Ikefuji, Masako
Laeven, Roger J. A.
Magnus, Jan R.
Muris, Chris
citation_publisher
The Institute of Social and Economic Research, Osaka University
citation_language
英語
citation_date
2011-12
citation_journal_title
Institute of Social and Economic Research Discussion Papers
citation_volume
825
citation_public_url
http://hdl.handle.net/11094/13841
citation_keywords
Economy-climate models
Catastrophe
Expected utility
Heavy tails
Power utility