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Papers by Robert Kast

Calcul économique et incertitude socio-politique : une procédure d’évaluation des projets publics

Économie & prévision, 2002

... On distribue ensuite à chaque participant un nombre égal de deux actifs financiers, un actif ... more ... On distribue ensuite à chaque participant un nombre égal de deux actifs financiers, un actif payant x si le projet est accepté à l'issue ... Deux types de coupons sont ensuite distribués aux répondants : un coupon paye, par exemple, 10 euros si le résultat du vote est favorable est 0 ...

System and method for transfering data from a source machine to a target machine

Parmi les nombreux problèmes que posent la prise en compte de l’Environnement en économie et plus... more Parmi les nombreux problèmes que posent la prise en compte de l’Environnement en économie et plus précisément dans l’étude des risques, le rôle, la nature et les représentations de l’incertitude sont fondamentaux. Que ce soit les dangers que provoquent leur environnement aux activités humaines, ou le souci de celles-ci pour l’Environnement1, il s’agit pour les humains de prendre des décisions risquées dans les deux cas. Risques naturels, notamment si la nature est ressentie comme ennemie, risques industriels au contraire que subirait une nature amie, ces risques sont caractérisés par des impacts incertains, controversés parmi les populations et pafois parmi les scientifiques, de plus ils sont souvent à échéances lointaines. [...].

Theory and Decision, 1991

A rational statistical decision maker whose preferences satisfy Savage's axioms will minimize a B... more A rational statistical decision maker whose preferences satisfy Savage's axioms will minimize a Bayesian risk function: the expectation with respect to a revealed (or subjective) probability distribution of a loss (or negative utility) function over the consequences of the statistical decision problem. However, the nice expected utility form of the Bayesian risk criterion is nothing but a representation of special preferences. The subjective probability is defined together with the utility (or loss) function and it is not possible, in general, to use a given loss function-say a quadratic loss-and to elicit independently a subjective distribution.

Calcul d'un cout economiquement acceptable pour la mise en pratique du principe de precaution

Revue économique, 2003

ABSTRACT The precautionary principle addresses collective choice about risks for which scientific... more ABSTRACT The precautionary principle addresses collective choice about risks for which scientific uncertainty prevails although actions should be taken without delay. Efficient criteria are referred to scrutinise : Risk measures, collective valuation of damages and benefits, irreversibilities and flexibility in dynamical procedures. Social choice, risk, and market prices theories yield some proposals in order to figure out investment costs and expected benefits which may be socially compared and accepted.Classification JEL : C 13, C 14, D 81, G 12, G 13

Choquet capacities have been used to represent decision makers' beliefs in order to generalise th... more Choquet capacities have been used to represent decision makers' beliefs in order to generalise the expected utility approach. Conditional capacities have to be defined for dynamic choice situations where information may modify the decision maker future beliefs. Several updating rules have been proposed in the literature. We derive them from a general approach based on conditional Choquet expectations. Conversely, depending on the updating rule adopted, the conditional Choquet integral can take different values. Conditional Choquet Expected Utility are derived from axioms on preferences. However, it is now well-known in decision theory that if preferences satisfy simultaneously dynamic consistency and consequentialism axioms their representation is restricted to classical Expected Utility. We show that the rule proposed by Chateauneuf, is the only one to satisfy dynamic consistency with a nonnecessarily additive capacity.

Real options models characterized by the presence of ambiguity have been recently proposed. But b... more Real options models characterized by the presence of ambiguity have been recently proposed. But based on recursive multiple-priors approaches to solve ambiguity, these seminal models reduce individual preferences to extreme pessimism by considering only the worst case scenario. In contrast, by relying on dynamically consistent Choquet-Brownian motions to model the dynamics of ambiguous expected cash flows, we show that a

The adaptive governance of natural disasters: Insights from the 2010 Mount Merapi Eruption in Indonesia

Choquet expected utility has been convinced of being inconsistent within a dynamic framework by s... more Choquet expected utility has been convinced of being inconsistent within a dynamic framework by several authors. We explore different possible definitions for conditional Choquet integrals and their implications for updating capacities. We confront the definitions with dynamic consistency when information arrives along with time through a Choquet version of the Net Present Value. We get the intuition that only one definition is dynamically consistent and prove it in a decision model where time is discounted according to the agent's preferences. Our result is illustrated by a simplified real investment problem. Possible extensions to dynamically consistent valuation of uncertain cash flows is questioned in the conclusion.

Techniques for producing a consistent copy of source data at a target location

Checkpoint and Consistency Markers

Working Papers, 2009

Diversification is the traditional way farmers use to hedge against crop yield variations. Howeve... more Diversification is the traditional way farmers use to hedge against crop yield variations. However, most insurance policies and financial contracts do not take into account this strategy in their design. In this context, we develop a of portfolio insurance model based on area-yield crop indices. This Multi-Linear Additive Model (Multi-LAM) extends previous linear approaches while it preserves their theoretical properties. We determine the conditions of use of our model and prove that it can be used despite crop yields correlations. An application to a large sample of French farms reveals the potential extent of the Multi-LAM, which significantly reduces the area-yield basis risk associated to the use of indices. We then discuss implications for crop insurance.

Risk Perception in the

There is an ongoing controversy in financial economics regarding the role of time horizon in port... more There is an ongoing controversy in financial economics regarding the role of time horizon in portfolio selection. This problem is relevant in a broader context, wherever consumers or managers make decisions that involve both time and risk. The purpose of this paper is to review recent findings from the decision making literature so as to shed new light on how the short run vs. long run contingency may determine risk taking and perception.

Economics and Finance of Risk and of the Future

ABSTRACT Risk in a public project: the millau viaduct -- Individual valuations and economic ratio... more ABSTRACT Risk in a public project: the millau viaduct -- Individual valuations and economic rationality -- Aggregation of individual choices -- Individual and collective risk management instruments -- Insurable and uninsurable risks -- Risk economics -- Marketed risks -- Management instruments for risk and for uncertainty -- Risk businesses -- Valuation without flexibilities -- Valuation with options -- Static and dynamic risk instruments

Comonotonic book making and attitudes to uncertainty

Mathematical Social Sciences, 2003

ABSTRACT Following De Finetti and a recent paper in this journal by Diecidue and Wakker, this art... more ABSTRACT Following De Finetti and a recent paper in this journal by Diecidue and Wakker, this article characterizes attitudes to uncertainty by means of no Dutch books conditions. While De Finetti excluded all Dutch books, Diecidue and Wakker excluded them on comonotonic sets only, which is equivalent to having a Choquet integral (Rank Dependent Expected Utility in their context) for the certainty equivalent. We exclude Dutch books on more reduced sets, which is equivalent to having concave or convex Choquet integrals. This gives a characterization of attitudes to uncertainty.

Most of the concepts that are used in modern theory of financial markets are contained in a paper... more Most of the concepts that are used in modern theory of financial markets are contained in a paper published by Arrow in 1953. Arrow's model generalizes to non finite set of states describing uncertainty so as to encompass general financial assets pricing.

This paper proposes a combination of participating and financial contracts in order to hedge cata... more This paper proposes a combination of participating and financial contracts in order to hedge catastrophic risk. Assuming unfair policies and the existence of a basis risk, we prove the optimal coverage is realized using: first, a participating contract, which covers the idiosyncratic part of the risk under a variable premium; second, a financial contract, which hedges the systemic part of the risk under a fixed premium. The necessary intermediation of insurance companies in the conception of such contracts is emphasized as well as the impact of unfair premia. From then, potential implications for crop risk management are examined.

This paper studies learning under multiple priors by characterizing the decision maker's atti... more This paper studies learning under multiple priors by characterizing the decision maker's attitude toward information. She is incredulous if she integrates new information with respect to only those measures that minimizes the likelihood of the new information and credulous if she uses the maximum likelihood procedure to update her priors. Both updating rules expose her to dynamic inconsistency. We explore different ways to resolve this problem. One way consists to assume that the decision maker's attitude toward information is not relevant to characterize conditional preferences. In this case, we show that a necessary and sufficient condition, introduced by [Epstein L. and Schneider M., 2003. Recursive multiple priors. Journal of Economic Theory 113, 1-31], is the rectangularity of the set of priors. Another way is to extend optimism or pessimism to a dynamic set-up. A pessimistic (max-min expected utility) decision maker will be credulous when learning bad news but incredul...

In the real investments literature, the investigated cash flow is assumed to follow some known st... more In the real investments literature, the investigated cash flow is assumed to follow some known stochastic process (e.g. Brownian motion) and the criterion to decide between investments is the discounted utility of their cash flows. However, for most new investments the investor may be ambiguous about the representation of uncertainty. In order to take such ambiguity into account, we refer to a discounted Choquet expected utility in our model. In such a setting some problems are to dealt with: dynamical consistency, here it is obtained in a recursive model by a weakened version of the axiom. Mimicking the Brownian motion as the limit of a random walk for the investment payoff process, we describe the latter as a binomial tree with capacities instead of exact probabilities on its branches and show what are its properties at the limit. We show that most results in the real investments literature are tractable in this enlarged setting but leave more room to ambiguity as both the mean an...