Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives

DOI10.1016/J.INSMATHECO.2011.10.005zbMath1235.91176OpenAlexW3121477481MaRDI QIDQ2427817

Aleš Ahčan

Publication date: 18 April 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.10.005

zbMATH Keywords

model riskLévy modelsEsscher transformweather derivativesasymmetric ARCH

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Cyber loss distribution fitting: a general framework towards cyber bonds and their pricing models

Cites Work

• Temperature stochastic modeling and weather derivatives pricing: empirical study with Morrocan data
• On modelling and pricing weather derivatives
• Pricing weather derivatives by marginal value
• Optimal design of derivatives in illiquid markets*
• Dynamical pricing of weather derivatives
• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
• Weather Forecasting for Weather Derivatives

This page was built for publication: Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives