44 citations · 122 across the 13 of their papers we have counts for
3 papers · 1 filter
Scenario-based actuarial climate risk assessment via calibration of the DICE model to the shared socioeconomic pathways
Daisuke Murakami, Pavel V. Shevchenko, Tomoko Matsui +2
Accounting for climate-related risks is an emerging problem for life insurers around the world. In this paper, we demonstrate how scenario trajectories for global temperature can b…
Solving stochastic climate-economy models: A deep least-squares Monte Carlo approach
Aleksandar Arandjelović, Pavel V. Shevchenko, Tomoko Matsui +2
Stochastic versions of recursive integrated climate-economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number…
Optimal Investment, Consumption, and Insurance with Durable Goods under Stochastic Depreciation Risk
Aleksandar Arandjelović, Ryle S. Perera, Pavel V. Shevchenko +2
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-fr…