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    Challenging the Oldest Risk on Earth: A non-structural time-series approach to quantify weather risk

     
    Challenging the Oldest Risk on Earth: A non-structural time-series approach to quantify weather risk

    Description

    The main objective of this research is to price temperature-related weather derivatves independent of location and payoff structure. We use historical weather data to make distributional forecasts for 10 different weather locations in Germany. Error terms of our forecasts are bootstraped from the empricial distribution to incorporate the non- normality of weather surprises. Explicit pricing dynamics of our model are analysed, along with a discussion on indifference pricing.

    Product details

    EAN/ISBN:
    9783843391948
    Medium:
    Paperback
    Number of pages:
    60
    Publication date:
    2011-01-12
    Publisher:
    LAP LAMBERT Academic Publishing
    EAN/ISBN:
    9783843391948
    Medium:
    Paperback
    Number of pages:
    60
    Publication date:
    2011-01-12
    Publisher:
    LAP LAMBERT Academic Publishing

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