Abstract:

The financing of processes in extreme risk events represent an emerging domain, and need a complex interdisciplinary research. The low efficiency in these types of interventions is simply explained by the lack of a framework dedicated to extreme risk events. Based on the properties of the Brownian motion and the principle to construction different types of Brownian motion, the idea of this study is to present the foundations of a new theory for financial management in the case of extreme risk events. The geometric Brownian motion is a process equipped with the capability to describe the typical mechanisms in extreme risk events.