Weitzman Meets Nordhaus : Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model

Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; Muris, Chris

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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

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

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