著者

末次 浩詩 本谷 高寛 小久保 欣哉

出版者

日本リアルオプション学会

雑誌

リアルオプション研究 (ISSN:18815774)

巻号頁・発行日

vol.6, no.1, pp.17-29, 2013-02-20 (Released:2013-02-26)

参考文献数

12

被引用文献数

1

---

We devised a business portfolio design framework for pharmaceutical development projects. In general, pharmaceutical development projects have a high option value because there’s much technological uncertainty and development period is long. First of all, we built one project evaluation model using binomial lattice model to calculate the probability of NPV including abandonment option. Second, we built the business portfolio design model to evaluate the risk and required investment. We used the probability of NPV as input, and set the number of pipelines in each development phase as variables. We clarified the effect of scale that the more the number of pipelines in each phase, the less likely the probability of negative NPV would be. In the assumption we built about the virtual pharmaceutical development project, 15 pipelines are required to reduce the probability of negative NPV in phase III to 8%, which means that it’s required to invest 45 billion yen per year for phase III.

著者

青木 一生 今井 潤一

出版者

The Japan Association of Real Options and Strategy

雑誌

リアルオプション研究 (ISSN:18815774)

巻号頁・発行日

vol.4, no.2, pp.169-206, 2011 (Released:2011-08-22)

参考文献数

12

被引用文献数

1 1

---

When a company invests in a R&D project and tries to acquire patents under uncertainty, it is important for the company to have many real options to respond flexibly. However, when the other company entered into the same R&D project early with preemption, the company might not earn enough profit. Under such competition, it is critical to determine the timing in starting the investment. This paper analyzes the optimal investment strategy for two asymmetric firms in getting a patent in the presence of uncertainty and competition. Based on trade-off between a small and a big companies' success rates of getting a patent and initial investment costs, we consider a competitive situation where two asymmetric firms might face. The numerical result shows that a small company can be competitive with a big company by reducing its initial investment cost and that this model can describe a small company's market positionings in the real world.

著者

海野 大 シュウ ファ

出版者

日本リアルオプション学会

雑誌

リアルオプション研究 (ISSN:18815774)

巻号頁・発行日

vol.9, pp.1-22, 2016 (Released:2017-12-20)

参考文献数

10

---

In recent years, a number of health insurers have introduced a reward gain type of wellness programs that can reduce the medical costs by encouraging the behavior change of health insurance subscribers to improve health. In the programs, insurers have to determine a reward strategy in order to strive the insurance subscribers. In this paper, we study the insurer's incentive designing problem of wellness programs. We formulate the insurer's incentive designing problem as a dynamic principal-agent problem. We derive the sufficient conditions for the existences of the optimal reward strategy, the optimal health-support service strategy, and the incentive compatible effort recommended to the insurance subscribers. We also discuss the effects of the insurer's risk-sensitivity on the optimal strategies. We use a numerical example to show the computation aspects of the problem.

著者

村内 佳子 湊 隆幸

出版者

日本リアルオプション学会

雑誌

リアルオプション研究 (ISSN:18815774)

巻号頁・発行日

vol.3, no.1, pp.139-157, 2010 (Released:2010-03-04)

参考文献数

3

---

During a project, various risk events may emerge. These risk events lead to decision-makings such as additional investment for project, execution of project, and withdrawal from project. Prepayment and Re-scheduling are typical credit risk events. Prepayment risk is the risk that project fund is reduced before maturity by certain reasons of investors. Re-scheduling risk is the risk that a loan repayment date is postponed because a financial condition of project is worsened at a maturity and repayment of a loan amount is difficult. In this paper we propose the method to evaluate a value of project including these credit risks and establish a structural model to evaluate it.