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Tail-Hedge Discounting and the Social Cost of Carbon

机译：尾套期保值折扣与碳的社会成本

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The choice of an overall discount rate for climate change investments depends critically on how different components of investment payoffs are discounted at differing rates reflecting their underlying risk characteristics. Such underlying rates can vary enormously, from ≈ 1 percent for idiosyncratic diversifiable risk to ≈7 percent for systematic nondiversifiable risk. Which risk-adjusted rate is chosen can have a huge impact on cost-benefit analysis. In this expository paper, I attempt to set forth in accessible language with a simple linear model what I think are some of the basic issues involved in discounting climate risks. The paper introduces a new concept that may be relevant for climate-change discounting: the degree to which an investment hedges against the bad tail of catastrophic damages by insuring positive expected payoffs even under the worst circumstances. The prototype application is calculating the social cost of carbon.
机译：气候变化投资整体折现率的选择主要取决于如何以反映其潜在风险特征的不同折现率来折算投资收益的不同组成部分。这样的潜在利率差异很大，从特有的可分散风险的约1％到系统性不可分散风险的约7％。选择哪种风险调整率可能会对成本效益分析产生巨大影响。在这篇说明性论文中，我尝试使用简单的线性模型以可访问的语言进行阐述，我认为这是降低气候风险所涉及的一些基本问题。本文介绍了一个可能与气候变化折现有关的新概念：即使在最坏的情况下，投资也可以通过确保预期的正收益来对冲灾难性损失的不利影响的程度。原型应用程序正在计算碳的社会成本。

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