Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing

DOI10.47836/mjms.16.2.07OpenAlexW4280651955MaRDI QIDQ6200564

Che Mohd Imran Che Taib, Mukminah Darus

Publication date: 1 March 2024

Published in: Malaysian Journal of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.47836/mjms.16.2.07

zbMATH Keywords

stochastic processmean reversiontemperature modelcontinuous autoregressive moving average processestemperature insurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)

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Cites Work

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• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Modeling and Pricing in Financial Markets for Weather Derivatives
• THE CARMA INTEREST RATE MODEL
• Estimation of stable CARMA models with an application to electricity spot prices
• Stochastic dynamical modelling of spot freight rates
• Lévy-driven CARMA processes

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