Catastrophe risk management for sustainable development of regions under risks of natural disasters (original) (raw)

References

  1. A. Amendola, Yu. Ermoliev, and T. Ermolieva, “Earthquake risk management: A case study for an Italian region,” in: Proc. 2nd EuroConference on Global Change and Catastrophe Risk Management: Earthquake Risks in Europe, Int. Inst. for Applied Systems Analysis (IIASA), 6–9 July, Laxenburg, Austria (2000).
  2. A. Amendola, Yu. Ermoliev, T. Ermolieva, et al., “A systems approach to modeling catastrophic risk and insurability,” Natural Hazards J., 21(2/3) (2000).
  3. K. Arrow, “The theory of risk-bearing: small and great risks,” J. Risk and Uncertainty., 12, 103–111 (1996).
    Article Google Scholar
  4. P. Artzner, F. Delbaen, J.-M. Eber, and D. Heath, “Coherent measures of risk,” Math. Finance, 9/3, 203–228 (1999).
    Article MATH MathSciNet Google Scholar
  5. S. Baranov, B. Digas, T. Ermolieva, and V. Rozenberg, “Earthquake risk management: scenario generator,” Int. Inst. for Applied Systems Analysis, Interim Report IR-02-025, Laxenburg, Austria (2002).
  6. K. Borch, “Equilibrium in a reinsurance market,” Econometrica, 30/3, 424–444 (1962).
    Article MATH Google Scholar
  7. “Climate change and increase in loss trend persistence,” in: Munich Re, Munich Re Press Release, Munich (1999).
  8. J. Cummins and N. Doherty, “Can insurer pay for the «Big One»? Measuring capacity of an insurance market to respond to catastrophic losses,” Working Paper, Wharton Risk Management and Decision Processes Center, Univ. of Pennsylvania, Philadelphia (1996).
    Google Scholar
  9. P. Embrechts, C. Klueppelberg, and T. Mikosch, Modeling Extremal Events for Insurance and Finance. Applications of Mathematics, Stochastic Modeling and Applied Probability, Springer-Verlag, Heidelberg (2000).
    Google Scholar
  10. Y. Ermoliev, Methods of Stochastic Programming [in Russian], Nauka, Moscow (1976).
    Google Scholar
  11. T. Ermolieva, “The design of optimal insurance decisions in the presence of catastrophic risks,” in: Int. Inst. for Appl. Syst. Analysis, Interim Report IR-97-068, Laxenburg, Austria (1997).
  12. T. Ermolieva and Y. Ermoliev, “Catastrophic risk management: Flood and seismic risks case studies,” in: S. W. Wallace and W. T. Ziemba (eds.), Applications of Stochastic Programming, MPS-SIAM Series on Optimization, Philadelphia, PA (2005).
    Google Scholar
  13. T. Ermolieva, Y. Ermoliev, G. Fischer, and I. Galambos, “The role of financial instruments in integrated catastrophic flood management,” Multinat. Finance J, 7(3/4), 207–230 (2003).
    Google Scholar
  14. T. Ermolieva, Y. Ermoliev, and V. Norkin, “Spatial stochastic model for optimization capacity of insurance networks under dependent catastrophic risks: Numerical experiments,” in: Int. Inst. for Applied Systems Analysis, Interim Report IR-97-028, Laxenburg, Austria (1997).
  15. Y. Ermoliev, T. Ermolieva, G. MacDonald, and V. Norkin, “Insurability of catastrophic risks: the stochastic optimization model,” Optim. J., 47, 251–265 (2000).
    Article MATH MathSciNet Google Scholar
  16. Y. Ermoliev, T. Ermolieva, G. MacDonald, and V. Norkin, “Stochastic optimization of insurance portfolios for managing exposure to catastrophic risks,” Ann. Oper. Res., 99, 207–225 (2000).
    Article MATH MathSciNet Google Scholar
  17. Y. Ermoliev, T. Ermolieva, G. MacDonald, and V. Norkin, “Problems on insurance of catastrophic risks,” Cybern. Syst. Analysis, 37, No. 2, 220–234 (2001).
    Article Google Scholar
  18. Y. Ermoliev, T. Ermolieva, G. Fischer, and M. Makowski, “Induced discounting and risk management,” IIASA Interim Report IR-07-040, Laxenbourg (2007).
  19. Y. Ermoliev and V. Norkin, “Stochastic generalized gradient method for nonconvex nonsmooth stochastic optimization,” Cybern. Syst. Analysis, 34, No. 2, 196–215 (1998).
    Article MathSciNet Google Scholar
  20. Y. Ermoliev and R. Wets (eds.), Numerical Techniques of Stochastic Optimization. Computational Mathematics, Springer-Verlag, Berlin (1988).
    Google Scholar
  21. G. Fischer, T. Ermolieva, Y. Ermoliev, and H. van Velthuizen, “Sequential downscaling methods for estimation from aggregate data,” in: K. Marti, Y. Ermoliev, G. Pflug, and M. Makowski (eds.), Coping With Uncertainty: Modeling and Policy Issue, Springer-Verlag, Berlin, New York (2006).
    Google Scholar
  22. G. Fischer, T. Ermolieva, Y. Ermoliev, and H. van Velthuizen, “Livestock production planning under environmental risks and uncertainties: China case study,” J. Systems Sci. and Systems Eng., 15(4), 385–389 (2006).
    Article Google Scholar
  23. K. Froot, The Limited Financing of Catastrophe Risk: An Overview, Harvard Business School and National Bureau of Economic Research (1997).
  24. O. Giarini and H. Louberg, The Diminishing Returns of Technology, Pergamon Press, Oxford (1978).
    Google Scholar
  25. J. Grandell, Aspects of Risk Theory Springer Series in Statistics: Probability and its Applications, Springer-Verlag, New York, Berlin, Heidelberg (1991).
    Google Scholar
  26. M. R. Homer and S. A. Zenios, “The productivity of financial intermediation and technology of financial product management,” Oper. Res., 43/6, 970–982 (1995).
    Article Google Scholar
  27. N. Jobst and S. Zenios, “The tail that wags the dog: integrating credit risk in asset portfolios,” J. Risk Finance, 31–43 (2001).
  28. H. Kunreuther and J. Linnerooth-Bayer, “The financial management of catastrophic flood risks in emerging economy countries,” in: Proc. 2nd EuroConference on Global Change and Catastrophe Risk Management: Earthquake Risks in Europe, Int. Inst. for Applied Systems Analysis (IIASA), 6–9 July, Laxenburg, Austria (2000).
  29. J. Linnerooth-Bayer and A. Amendola, “Global change, catastrophic risk and loss spreading,” Geneva Papers on Risk and Insurance, 25/2, 203–219 (2000).
    Article Google Scholar
  30. D. Mayers and C. Smith, “The interdependencies of individual portfolio decisions and the demand for insurance,” J. Polit. Economy, 91/2, 304–311 (1983).
    Article Google Scholar
  31. V. S. Mikhalevich, P. S. Knopov, and A. N. Golodnikov, “Mathematical models and methods of risk assessment in ecologically hazardous industries,” Cybern. Syst. Analysis, 30, No. 2, 259–273 (1994).
    Article MATH Google Scholar
  32. V. S. Mikhalevich, V. L. Volkovich, and N. N. Bychenok, “Problems of modeling and control of region protection in extreme situations,” Upr. Sist. Mash, No. 8, 3–12 (1991).
  33. A. N. Nakonechnyi, “Monte Carlo estimate of the probability of ruin in a compound Poisson model of risk theory,” Cybern. Syst. Analysis, 31, No. 6, 921–923 (1995).
    Article MATH MathSciNet Google Scholar
  34. “National Research Council. National disaster losses: A framework for assessment,” in: Committee on Assessing the Costs of Natural Disasters, Washington D.C., Nat. Acad. Press (1999).
  35. J. Pollner, “Catastrophe risk management: Using alternative risk financing and insurance pooling mechanisms,” in: Finance, Private Sector and Infrastructure Sector Unit, Caribbean Country Department, Latin America and the Caribbean Region, World Bank (2000).
  36. A. Prekopa, Stochastic Programming, Kluwer Acad. Publ., Dordrecht, Netherlands (1995).
    Google Scholar
  37. Project Proposal, “Flood risk management policy in the Upper Tisza Basin: A system analytical approach,” Int. Inst. For Applied Systems Analysis (IIASA), Laxenburg, Austria (2000).
  38. E. L. Pugh, “A gradient technique of adaptive Monte Carlo,” SIAM Rev., 8/3, 346–355 (1966).
    Article MATH MathSciNet Google Scholar
  39. T. Rockafellar and S. Uryasev, “Optimization of conditional Value-at-Risk,” J. Risk, No. 2, 21–41 (2000).
    Google Scholar
  40. J. R. Rundle, J. B. Turcotte, and D. L. Klein (eds.), Reduction and Protection of Natural Disasters, Addison-Wesley, New York (1996).
    Google Scholar
  41. J. Stone, “A theory of capacity and the insurance of catastrophe risks, parts 1, 2,” J. Risk and Insurance, 40, 231–244 and 339–355 (1973).
    Article Google Scholar
  42. I. V. Sergienko, V. M. Yanenko, and K. L. Atoev, “Conceptual framework for managing the risk of ecological, technogenic, and sociogenic disasters,” Cybern. Syst. Analysis, 33, No. 2, 203–219 (1997).
    Article MathSciNet Google Scholar
  43. V. D. Shpak, “Estimation of probability of cutoff of a renewal process during a fixed time by statistical simulation,” Cybernetics, 19, No. 1, 97–103 (1983).
    Article MATH MathSciNet Google Scholar
  44. F. Thomas, “Principles of floodplain management,” in: Proc. NATO Advanced Study Institute on Defense from Floods and Floodplain Management, Kluwer Acad. Publ., Dordrecht, Netherlands (1994).
    Google Scholar
  45. G. Walker, “Current developments in catastrophe modeling,” in: N. R. Britton and J. Oliver (eds.), Financial Risks Management for Natural Catastrophes, Griffith Univ., Australia, Brisbane (1997), pp. 17–35.
    Google Scholar
  46. H. Yang, “An integrated risk management method: VaR approach,” Multinat. Finance J., 201–219 (2000).

Download references