Challenging the Oldest Risk on Earth

A non-structural time-series approach to quantify weather risk

Autori

• Paul Gebhardt

Parametri

Pagine

60pagine

Tempo di lettura

3ore

• Matematica

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Focusing on the pricing of temperature-related weather derivatives, this research utilizes historical weather data to create distributional forecasts for ten locations in Germany. It addresses the non-normality of weather surprises by bootstrapping error terms from the empirical distribution. The study also delves into the explicit pricing dynamics of the proposed model and includes a discussion on indifference pricing, offering a comprehensive approach to understanding weather derivatives independent of location and payoff structure.

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Lingua: Inglese

Pubblicato: 2011

(In brossura)