Author： Kunsch Pierre L.
Publisher： Inderscience Publishers
ISSN： 1479-540X
Source： International Journal of Nuclear Knowledge Management, Vol.2, Iss.4, 2007-06, pp. : 363-374
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Abstract
This paper proposes a procedure based on financial-option theory for establishing a fuzzy discount rate for radioactive waste management. Funding is made available in a dedicated fund for covering future liabilities, including technical-scenario uncertainties. Assets in the fund are managed according to some given strategic asset allocation. Put-option theory is used for testing the suitability of potential discount-rate values with respect to some minimum requirements on risk levels at different time horizons. In this way, a triangular fuzzy number representing the discount rate is derived. Fuzzy funding is computed by simulation using the fuzzy discount rate: it includes an additional premium based on the put-option value to cover the residual financial risk.
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