Temperature modelling and pricing of temperature index insurance

DOI10.1007/s13160-019-00372-4zbMath1427.91224OpenAlexW2952208367MaRDI QIDQ2009473

Che Mohd Imran Che Taib, Mukminah Darus

Publication date: 28 November 2019

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-019-00372-4

zbMATH Keywords

burn analysiscontinuous-time autoregressive processindex modellingtemperature dynamical modellingtemperature index insurance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Unnamed Item
• On modelling and pricing weather derivatives
• Dynamical pricing of weather derivatives
• Modeling and Pricing in Financial Markets for Weather Derivatives
• Stochastic dynamical modelling of spot freight rates
• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
• Weather Forecasting for Weather Derivatives
• Lévy-driven CARMA processes

This page was built for publication: Temperature modelling and pricing of temperature index insurance