SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH

DOI10.1017/asb.2018.6zbMath1390.91222OpenAlexW3121717060MaRDI QIDQ4562955

Wenjun Zhu, Lysa Porth, Chou-Wen Wang, Ken Seng Tan

Publication date: 6 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2018.6

zbMATH Keywords

hedging strategiesreinsuranceLévy subordinatorshierarchical Archimedean copulasagricultural insurancesystemic weather risk

Mathematics Subject Classification ID

Related Items (2)

Empirical tail risk management with model-based annealing random search ⋮ A Relational Data Matching Model for Enhancing Individual Loss Experience: An Example from Crop Insurance

Uses Software

• QRM

Cites Work

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