Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas
DOI10.1007/S10479-019-03442-5zbMATH Open1476.91184OpenAlexW2984289001MaRDI QIDQ2241102FDOQ2241102
Authors: Simona Franzoni, Cristian Pelizzari 
Publication date: 8 November 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-019-03442-5
Recommendations
risk managementMonte Carlo techniquesrainfall optionsrainfall riskweather-sensitive hospitality firms
Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Weather derivatives pricing using regime switching model
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
- Exploring the financial risk of a temperature index: a fractional integrated approach
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