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WO2004055621A3 - Optimal scenario forecasting, risk sharing, and risk trading - Google Patents

Optimal scenario forecasting, risk sharing, and risk trading Download PDF

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Publication number
WO2004055621A3
WO2004055621A3 PCT/US2003/037553 US0337553W WO2004055621A3 WO 2004055621 A3 WO2004055621 A3 WO 2004055621A3 US 0337553 W US0337553 W US 0337553W WO 2004055621 A3 WO2004055621 A3 WO 2004055621A3
Authority
WO
WIPO (PCT)
Prior art keywords
risk
sharing
trading
value
variates
Prior art date
Application number
PCT/US2003/037553
Other languages
French (fr)
Other versions
WO2004055621A2 (en
Inventor
Joel Jameson
Original Assignee
Joel Jameson
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Priority claimed from US10/696,100 external-priority patent/US20040103013A1/en
Application filed by Joel Jameson filed Critical Joel Jameson
Priority to CA002507489A priority Critical patent/CA2507489A1/en
Priority to EP03789987A priority patent/EP1576514A2/en
Priority to AU2003294502A priority patent/AU2003294502A1/en
Publication of WO2004055621A2 publication Critical patent/WO2004055621A2/en
Publication of WO2004055621A3 publication Critical patent/WO2004055621A3/en

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/08—Insurance

Landscapes

  • Business, Economics & Management (AREA)
  • Accounting & Taxation (AREA)
  • Finance (AREA)
  • Engineering & Computer Science (AREA)
  • Development Economics (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Strategic Management (AREA)
  • Technology Law (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Theoretical Computer Science (AREA)
  • Management, Administration, Business Operations System, And Electronic Commerce (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

An integrated and unified method of statistical-like analysis, scenario forecasting, risking sharing, and risk trading is presented. Variates explanatory of response variates are identified in terms of the 'value of the knowing.' Such a value can be direct economic value. Probabilistic scenarios are generated by multi-dimensionally weighting a dataset. Weights are specified using Exogenous-Forecasted Distributions (EFDs). Weighting is done by a highly improved Iterative Proportional Fitting Procedure (IPFP) that exponentially reduces computer storage and calculations requirements. A probabilistic nearest neighbor procedure is provided to yield fine-grain pinpoint scenarios. A method to evaluate forecasters is presented; this method addresses game-theory issues. All of this leads to the final component: a new method of sharing and trading risk, which both directly integrates with the above and yields contingent risk-contracts that better serve all parties.
PCT/US2003/037553 2002-11-25 2003-11-24 Optimal scenario forecasting, risk sharing, and risk trading WO2004055621A2 (en)

Priority Applications (3)

Application Number Priority Date Filing Date Title
CA002507489A CA2507489A1 (en) 2002-11-25 2003-11-24 Optimal scenario forecasting, risk sharing, and risk trading
EP03789987A EP1576514A2 (en) 2002-11-25 2003-11-24 Optimal scenario forecasting, risk sharing, and risk trading
AU2003294502A AU2003294502A1 (en) 2002-11-25 2003-11-24 Optimal scenario forecasting, risk sharing, and risk trading

Applications Claiming Priority (6)

Application Number Priority Date Filing Date Title
US42917502P 2002-11-25 2002-11-25
US60/429,175 2002-11-25
US51463703P 2003-10-27 2003-10-27
US60/514,637 2003-10-27
US10/696,100 2003-10-29
US10/696,100 US20040103013A1 (en) 2002-11-25 2003-10-29 Optimal scenario forecasting, risk sharing, and risk trading

Publications (2)

Publication Number Publication Date
WO2004055621A2 WO2004055621A2 (en) 2004-07-01
WO2004055621A3 true WO2004055621A3 (en) 2004-12-16

Family

ID=32600906

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2003/037553 WO2004055621A2 (en) 2002-11-25 2003-11-24 Optimal scenario forecasting, risk sharing, and risk trading

Country Status (4)

Country Link
EP (1) EP1576514A2 (en)
AU (1) AU2003294502A1 (en)
CA (1) CA2507489A1 (en)
WO (1) WO2004055621A2 (en)

Families Citing this family (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN107437198A (en) 2017-05-26 2017-12-05 阿里巴巴集团控股有限公司 Determine method, information recommendation method and the device of consumer's risk preference

Citations (3)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US5148365A (en) * 1989-08-15 1992-09-15 Dembo Ron S Scenario optimization
US20020147670A1 (en) * 1999-07-21 2002-10-10 Jeffrey Lange Digital options having demand-based, adjustable returns, and trading exchange therefor
US6493682B1 (en) * 1998-09-15 2002-12-10 Pendelton Trading Systems, Inc. Optimal order choice: evaluating uncertain discounted trading alternatives

Patent Citations (3)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US5148365A (en) * 1989-08-15 1992-09-15 Dembo Ron S Scenario optimization
US6493682B1 (en) * 1998-09-15 2002-12-10 Pendelton Trading Systems, Inc. Optimal order choice: evaluating uncertain discounted trading alternatives
US20020147670A1 (en) * 1999-07-21 2002-10-10 Jeffrey Lange Digital options having demand-based, adjustable returns, and trading exchange therefor

Also Published As

Publication number Publication date
WO2004055621A2 (en) 2004-07-01
EP1576514A2 (en) 2005-09-21
AU2003294502A1 (en) 2004-07-09
CA2507489A1 (en) 2004-07-01
AU2003294502A8 (en) 2004-07-09

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