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Living in a Stochastic World and Managing Complex Risks

Author

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  • Dacorogna, Michel M
  • Kratz, Marie

Abstract

In this paper, we review the concept of risk, its evolution in history and the big changes we experienced in the last 50 years. We conclude that peak risks are growing and the need for risk management is becoming a societal demand. Two phenomena are identified to render risks more complex, increasing interconnectedness of the world and faster time scale whereby actors have little time to adapt. We conclude in showing the complementary between qualitative and quantitative risk management.

Suggested Citation

  • Dacorogna, Michel M & Kratz, Marie, 2015. "Living in a Stochastic World and Managing Complex Risks," MPRA Paper 67402, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:67402
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    References listed on IDEAS

    as
    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. Borscheid, Peter & Gugerli, David & Straumann, Tobias, 2013. "The Value of Risk: Swiss Re and the History of Reinsurance," OUP Catalogue, Oxford University Press, number 9780199689804 edited by James, Harold.
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    Cited by:

    1. Nehla Debbabi & Marie Kratz & Mamadou Mboup, 2016. "A self-calibrating method for heavy tailed data modeling : Application in neuroscience and finance," Working Papers hal-01424298, HAL.
    2. Apicella, Giovanna & Dacorogna, Michel M, 2016. "A General framework for modelling mortality to better estimate its relationship with interest rate risks," MPRA Paper 75788, University Library of Munich, Germany.
    3. Nehla, Debbabi & Marie, Kratz & Mamadou , Mboup, 2016. "A self-calibrating method for heavy tailed data modeling : Application in neuroscience and finance," ESSEC Working Papers WP1619, ESSEC Research Center, ESSEC Business School.

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    More about this item

    Keywords

    complexity; crisis; extreme risk; fertility; life expectancy; resilience; risk management; (industrial; financial) risk; scientific approach; societal demand; uncertainty; urbanization;
    All these keywords.

    JEL classification:

    • A10 - General Economics and Teaching - - General Economics - - - General
    • Y2 - Miscellaneous Categories - - Introductions and Prefaces

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