English
Polski
REPORT A PROBLEM
LINKS
Resource link (short)
http://www.zasobynauki.pl/zasoby/76547Resource link (repository)
https://id.e-science.pl/records/76547Resource metadata
| Title |
Analiza i optymalizacja decyzji inwestycyjnych, kapitałowych i innych * Valuation of catastrophe bonds (RB-1999-77-03) |
|---|---|
| Persons |
Authors:
Roman Włodzimierz Kulikowski, Andrzej Jakubowski
Partner: Systems Research Institute Polish Academy of Sciences, Warsaw |
| Description |
In the paper, the problem of pricing the catastrophe bonds is thoroughly analysed. The answer to one main question is given. It is how much of the default risk premium should be paid to an investor in order to compensate for risk, attached to the consequences of a catastrophe which can occur with some estimated probability. For the purpose of the valuation procedure, the new notions of the security safety level, the safety index, as well as a two rules decision model are successively introduced. The subjective scale as a measure of the degree of individuals’ risk aversion is proposed. The idea of objective and subjective risk components is investigated. The new methodology proposed is illustrated by a series of computational examples. The results obtained, in the assumed conditions closed to a real life practice, are widely interpreted and discussed. (English) |
| Keywords | "poziom bezpieczeństwa"@pl, "valuation procedure"@en, "sekurytyzacja ryzyka"@pl, "catastrophe bonds"@en, "zwrot z najgorszego przypadku"@pl, "procedura wyceny"@pl, "expected return"@en, "risk securitization"@en, "risk aversion"@en, "worst case return"@en, "subjective scale"@en, "safety level"@en, "podejście dwuzasadowe"@pl, "skala subiektywna"@pl, "two-factor utility"@en, "two-rules approach"@en, "oczekiwany zwrot"@pl, "dwuczynnikowa funkcja użyteczności"@pl, "awersja do ryzyka"@pl, "obligacje katastroficzne"@pl |
| Classification |
Resource type:
article, chapter Scientific discipline: Dziedzina nauk społecznych / ekonomia i finanse (2018) Destination group: pupils, students, scientists Harmful content: No |
| Characteristics |
Title of source document: RB-1999-77-03
Place of publication: Warszawa Publisher: IBSPAN Time of publication: 1999 From page: 1 To page: 34 Resource language: English |
| License | CC BY-SA 4.0 |
| Technical information |
Submitter: Anna Wasilewska Availability date: 09-09-2022 |
| Collections | Kolekcja Instytutu Badań Systemowych PAN w Warszawie |
Citation
Roman Włodzimierz Kulikowski, Andrzej Jakubowski. Analiza i optymalizacja decyzji inwestycyjnych, kapitałowych i innych * Valuation of catastrophe bonds (RB-1999-77-03). [article, chapter] Available in Atlas of Open Science Resources, . License: CC BY-SA 4.0, https://creativecommons.org/licenses/by-sa/4.0/legalcode.pl. Date of access: DD.MM.RRRR.
Similar resources
Valuation of catastrophe bonds (RB-2000-76-01)
Roman Kulikowski, Andrzej Jakubowski, article, chapter, Systems Research Institute Polish Academy of Sciences, Warsaw, Dziedzina nauk społecznych / ekonomia i finanse (2018)
Decyzyjny model sieci transportowej. Część 1 (RB-1998-51)
Mirosław Bereziński, Roman Kulikowski, Dariusz Wagner, article, chapter, Systems Research Institute Polish Academy of Sciences, Warsaw, dziedzina nauk technicznych / transport (2011)
Valuation of catastrophe bonds (RB-2000-76-01)
Roman Kulikowski, Andrzej Jakubowski, article, chapter, Systems Research Institute Polish Academy of Sciences, Warsaw, Dziedzina nauk społecznych / ekonomia i finanse (2018)
Optymalizacja zwrotów oraz bezpieczeństwa w planowaniu rozwoju (RB-1998-56-02)
Roman Kulikowski, article, chapter, Systems Research Institute Polish Academy of Sciences, Warsaw, Dziedzina nauk społecznych / ekonomia i finanse (2018)
Przegląd instrumentów finansowych na rynkach światowych oraz w polsce (RB-1994-14)
Andrzej Jakubowski, article, chapter, Systems Research Institute Polish Academy of Sciences, Warsaw, Dziedzina nauk społecznych / ekonomia i finanse (2018)
Joint investments in a risky venture (RB-1997-08-02)
Roman Kulikowski, article, chapter, Systems Research Institute Polish Academy of Sciences, Warsaw, Dziedzina nauk społecznych / ekonomia i finanse (2018)