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Extreme Events, Cat Bonds, ROA in the Context of Fat Tail Distributions, and the Weitzman Effect

  • Benoit Morel
Chapter
Part of the Springer Climate book series (SPCL)

Abstract

In this chapter the mathematical framework developed in Chap.  2 is used to apply ROA in an area for which extensions of Black-Scholes or NPV cannot be used: fat tail distributions, i.e., areas in distributions where extreme events reside. This chapter paves the way to the policy discussion of the response to climate change, where such distributions are pervasive.

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  • Benoit Morel
    • 1
  1. 1.Carnegie Mellon UniversityPittsburghUSA

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