Reputation risk mitigation in investment strategies

Detalhes bibliográficos
Autor(a) principal: Moura, Alexandra
Data de Publicação: 2024
Outros Autores: Oliveira, Carlos
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/30060
Resumo: We consider an investment model in which a firm decides to invest in the market, taking into account its future revenue and the possible occurrence of adverse events that may impact its reputation. The firm can buy an insurance contract at the investment time to mitigate reputation risk. The firm decides when to enter the market and the insurance strategy that maximizes its value. We consider three types of insurance contracts and different premium principles. We provide analytical conditions for the optimum and study several numerical examples. Results show that the firm’s optimal strategy depends on the risk size, the firm’s risk aversion, and the insurance premium.
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spelling Reputation risk mitigation in investment strategiesReputaion RiskInsuranceRisk MitigationInvestment StrategiesReal OptionsWe consider an investment model in which a firm decides to invest in the market, taking into account its future revenue and the possible occurrence of adverse events that may impact its reputation. The firm can buy an insurance contract at the investment time to mitigate reputation risk. The firm decides when to enter the market and the insurance strategy that maximizes its value. We consider three types of insurance contracts and different premium principles. We provide analytical conditions for the optimum and study several numerical examples. Results show that the firm’s optimal strategy depends on the risk size, the firm’s risk aversion, and the insurance premium.ISEG – REM (Research in Economics and Mathematics)Repositório da Universidade de LisboaMoura, AlexandraOliveira, Carlos2024-02-06T15:48:57Z2024-022024-02-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/30060engMoura, Alexandra e Carlos Oliveira (2024). "Reputation risk mitigation in investment strategies". REM Working paper series, nº 0309/20242184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-02-11T01:31:34Zoai:www.repository.utl.pt:10400.5/30060Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T02:37:37.628797Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Reputation risk mitigation in investment strategies
title Reputation risk mitigation in investment strategies
spellingShingle Reputation risk mitigation in investment strategies
Moura, Alexandra
Reputaion Risk
Insurance
Risk Mitigation
Investment Strategies
Real Options
title_short Reputation risk mitigation in investment strategies
title_full Reputation risk mitigation in investment strategies
title_fullStr Reputation risk mitigation in investment strategies
title_full_unstemmed Reputation risk mitigation in investment strategies
title_sort Reputation risk mitigation in investment strategies
author Moura, Alexandra
author_facet Moura, Alexandra
Oliveira, Carlos
author_role author
author2 Oliveira, Carlos
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Moura, Alexandra
Oliveira, Carlos
dc.subject.por.fl_str_mv Reputaion Risk
Insurance
Risk Mitigation
Investment Strategies
Real Options
topic Reputaion Risk
Insurance
Risk Mitigation
Investment Strategies
Real Options
description We consider an investment model in which a firm decides to invest in the market, taking into account its future revenue and the possible occurrence of adverse events that may impact its reputation. The firm can buy an insurance contract at the investment time to mitigate reputation risk. The firm decides when to enter the market and the insurance strategy that maximizes its value. We consider three types of insurance contracts and different premium principles. We provide analytical conditions for the optimum and study several numerical examples. Results show that the firm’s optimal strategy depends on the risk size, the firm’s risk aversion, and the insurance premium.
publishDate 2024
dc.date.none.fl_str_mv 2024-02-06T15:48:57Z
2024-02
2024-02-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/30060
url http://hdl.handle.net/10400.5/30060
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Moura, Alexandra e Carlos Oliveira (2024). "Reputation risk mitigation in investment strategies". REM Working paper series, nº 0309/2024
2184-108X
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG – REM (Research in Economics and Mathematics)
publisher.none.fl_str_mv ISEG – REM (Research in Economics and Mathematics)
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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