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

このアイテムのアクセス数:154件（2023-09-28 13:17 集計）

このアイテムへのリンクには次のURLをご利用ください: https://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	NRID 1000060452380 1000060452380 researchmap permalink 7000013503 7000013503 Scopus Author ID 22934213000 22934213000 著者名 Ikefuji, Masako
	著者名 Laeven, Roger J. A.
	著者名 Magnus, Jan R.
	著者名 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.
出版者	The Institute of Social and Economic Research, Osaka University
収録物名	Institute of Social and Economic Research Discussion Papers
巻(号)	825
刊行年月	2011-12
言語	英語
ハンドルURL	https://hdl.handle.net/11094/13841
関連情報 (references)	URI http://www.iser.osaka-u.ac.jp/library/dp/2011/DP0825.pdf
アクセス権	metadata only access
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Institute of Social and Economic Research Discussion Papers

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. 2011, 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
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2011-12
DC.relation' scheme='DCTERMS.URI	http://www.iser.osaka-u.ac.jp/library/dp/2011/DP0825.pdf
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	https://hdl.handle.net/11094/13841
citation_abstract_html_url	http://www.iser.osaka-u.ac.jp/library/dp/2011/DP0825.pdf

論文情報

論文詳細を表示