Weather Derivative Risk Measures for Extreme Events

DOI10.1080/10920277.2014.910472zbMath1414.91371OpenAlexW2087694591MaRDI QIDQ5379124

Robert J. Erhardt, Richard L. Smith

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2014.910472

zbMATH Keywords

extreme value theoryrisk measurespricing weather derivatives

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH ⋮ A Bayesian hierarchical model for spatial extremes with multiple durations ⋮ Empirical tail risk management with model-based annealing random search ⋮ An Extension of Spatial Dependence Models for Estimating Short-Term Temperature Portfolio Risk ⋮ The Impact of Spatial Interpolation Techniques on Spatial Basis Risk for Weather Insurance: An Application to Forage Crops

Uses Software

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• ismev
• QRM

Cites Work

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