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Optimal enterprise risk management and decision making with shared and dependent risks

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dc.contributor.authorAi, Jing, author
dc.contributor.authorBrockett, Patrick L., author
dc.contributor.authorWang, Tianyang, author
dc.contributor.authorThe Journal of Risk and Insurance, publisher
dc.date.accessioned2020-05-12T16:29:24Z
dc.date.available2020-05-12T16:29:24Z
dc.date.issued2016-05-25
dc.descriptionIncludes bibliographical references (pages 27-29).
dc.descriptionPublished as: Journal of Risk and Insurance, vol. 84, no. 4, December 2017, pp. 1127–1169. https://doi.org/10.1111/jori.12140.
dc.description.abstractDynamic enterprise risk management (ERM) entails holistic decision-making for critical corporate functions such as capital budgeting and risk management. The interplay across business divisions, however, is complicated due to their natural interactions through the shared and dependent risk exposures within an intricate corporate structure. This paper develops an integrated optimization framework via a copula-based decision tree interface to facilitate ERM decision making to meet the specified enterprise goal in a multi-period setting. We illustrate our model and provide managerial insights with a case study for a financial services company engaged in both banking and insurance businesses.
dc.format.mediumborn digital
dc.format.mediumarticles
dc.identifier.bibliographicCitationAi, J., Brockett, P., & Wang, T. (2017). Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks. Journal of Risk and Insurance, 84(4), 1127–1169. https://doi.org/10.1111/jori.12140
dc.identifier.urihttps://hdl.handle.net/10217/206708
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartofFaculty Publications
dc.rights©2015 John Wiley & Sons, Inc. Author can archive pre-print. Author can archive post-print but subject to the restriction: 2 years embargo.
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.
dc.subjectenterprise risk management (ERM)
dc.subjectcapital budgeting
dc.subjectrisk dependency
dc.subjectcopula modeling
dc.subjectdecisions under uncertainty
dc.titleOptimal enterprise risk management and decision making with shared and dependent risks
dc.typeText

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