Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing (Q6200564): Difference between revisions

Latest revision as of 20:24, 30 December 2024

scientific article; zbMATH DE number 7811511

Language	Label	Description	Also known as
English	Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing	scientific article; zbMATH DE number 7811511

Statements

instance of

scholarly article

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title

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

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author

Mukminah Darus

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Che Mohd Imran Che Taib

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published in

Malaysian Journal of Mathematical Sciences

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publication date

1 March 2024

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zbMATH Keywords

stochastic process

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continuous autoregressive moving average processes

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mean reversion

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temperature model

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temperature insurance

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.47836/mjms.16.2.07

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cites work

THE CARMA INTEREST RATE MODEL

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CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS

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Processes of normal inverse Gaussian type

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Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion

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Stochastic dynamical modelling of spot freight rates

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Modeling and Pricing in Financial Markets for Weather Derivatives

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Lévy-driven CARMA processes

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Existence and uniqueness of stationary Lévy-driven CARMA processes

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The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

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Estimation of stable CARMA models with an application to electricity spot prices

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On stationary solutions of delay differential equations driven by a Lévy process.

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Q5217711

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Spatial-temporal modelling of temperature for pricing temperature index insurance

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Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing

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Identifiers

Mathematics Subject Classification ID

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10.47836/MJMS.16.2.07

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Sitelinks

Mathematics(1 entry)

mardi Publication:6200564

@@ Property / DOI @@
-.47836/mjms.16.2.07
@@ Property / DOI: 10.47836/mjms.16.2.07 / rank @@
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+https://doi.org/10.47836/mjms.16.2.07
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@@ Property / OpenAlex ID @@
+W4280651955
@@ Property / OpenAlex ID: W4280651955 / rank @@
+Normal rank
@@ Property / cites work @@
+THE CARMA INTEREST RATE MODEL
@@ Property / cites work: THE CARMA INTEREST RATE MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion
+Normal rank
@@ Property / cites work @@
+Stochastic dynamical modelling of spot freight rates
+Normal rank
@@ Property / cites work @@
+Modeling and Pricing in Financial Markets for Weather Derivatives
+Normal rank
@@ Property / cites work @@
+Lévy-driven CARMA processes
@@ Property / cites work: Lévy-driven CARMA processes / rank @@
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness of stationary Lévy-driven CARMA processes
+Normal rank
@@ Property / cites work @@
+The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
+Normal rank
@@ Property / cites work @@
+Estimation of stable CARMA models with an application to electricity spot prices
+Normal rank
@@ Property / cites work @@
+On stationary solutions of delay differential equations driven by a Lévy process.
+Normal rank
@@ Property / cites work @@
+Q5217711
@@ Property / cites work: Q5217711 / rank @@
+Normal rank
@@ Property / cites work @@
+Spatial-temporal modelling of temperature for pricing temperature index insurance
+Normal rank
@@ Property / cites work @@
+Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
+Normal rank
@@ Property / DOI @@
+.47836/MJMS.16.2.07
@@ Property / DOI: 10.47836/MJMS.16.2.07 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6200564