Stochastic Asset Pricing with Seismic Hazard Risk / Hoshiya, Masaru in Journal of engineering mechanics, Vol. 130 N°7 (Juillet 2004)  

Public ISBD [article]  inJournal of engineering mechanics > Vol. 130 N°7 (Juillet 2004) . - 780-785 p. Titre : Stochastic Asset Pricing with Seismic Hazard Risk Titre original : Capitaux Stochastiques Evaluant avec le Risque Séismique de Risque Type de document : texte imprimé Auteurs : Hoshiya, Masaru, Auteur ; Nakamura, Takaaki, Auteur ; Mochizuki, Tomoya ; Schueller, Gerhart L., Éditeur scientifique Année de publication : 2006 Article en page(s) : 780-785 p. Note générale : Génie Mécanique Langues : Anglais (eng) Mots-clés : Pricing Markov process Life cycle cost Stochastic processes Hazards Risk management Evaluation Processus de Coût vie stochastiques Risques Gestion des risques Index. décimale : 620.1 Essais des matériaux. Défauts des matériaux. Protection des matériaux Résumé : Since cash flow of asset in the long run is generally subject to economic fluctuation, and also to potential damage due to seismic hazard risk, asset pricing is more relevantly evaluated, provided that uncertainties of both cash flow and seismic risk are properly taken into account. This study will propose a discounted cash flow method to evaluate asset pricing, in which incomes gained from asset are modeled as a Markov process and seismic loss is modeled due to only one earthquake event during the service time. A numerical example is demonstrated for an 11 story steel reinforced commercial building considering the service time of 50 years. Various risk.asset price curves are numerically obtained in the form of probability of excess versus asset price with discount rate as a parameter for cases with and without earthquake loss taken into account, and for a case in which earthquake strengthening measure is implemented. These curves contribute information to decision makers in charge of risk and investment management. DEWEY : 620.1 ISSN : 0733-9399 En ligne : mhoshiya@eng.musashi-tech.ac.jp [article] Stochastic Asset Pricing with Seismic Hazard Risk = Capitaux Stochastiques Evaluant avec le Risque Séismique de Risque [texte imprimé] / Hoshiya, Masaru, Auteur ; Nakamura, Takaaki, Auteur ; Mochizuki, Tomoya ; Schueller, Gerhart L., Éditeur scientifique . - 2006 . - 780-785 p. Génie Mécanique Langues : Anglais (eng) in Journal of engineering mechanics > Vol. 130 N°7 (Juillet 2004) . - 780-785 p. Mots-clés : Pricing Markov process Life cycle cost Stochastic processes Hazards Risk management Evaluation Processus de Coût vie stochastiques Risques Gestion des risques Index. décimale : 620.1 Essais des matériaux. Défauts des matériaux. Protection des matériaux Résumé : Since cash flow of asset in the long run is generally subject to economic fluctuation, and also to potential damage due to seismic hazard risk, asset pricing is more relevantly evaluated, provided that uncertainties of both cash flow and seismic risk are properly taken into account. This study will propose a discounted cash flow method to evaluate asset pricing, in which incomes gained from asset are modeled as a Markov process and seismic loss is modeled due to only one earthquake event during the service time. A numerical example is demonstrated for an 11 story steel reinforced commercial building considering the service time of 50 years. Various risk.asset price curves are numerically obtained in the form of probability of excess versus asset price with discount rate as a parameter for cases with and without earthquake loss taken into account, and for a case in which earthquake strengthening measure is implemented. These curves contribute information to decision makers in charge of risk and investment management. DEWEY : 620.1 ISSN : 0733-9399 En ligne : mhoshiya@eng.musashi-tech.ac.jp

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