Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas

DOI10.1007/S10479-019-03442-5zbMath1476.91184OpenAlexW2984289001MaRDI QIDQ2241102

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

zbMATH Keywords

risk managementMonte Carlo techniquesrainfall optionsrainfall riskweather-sensitive hospitality firms

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

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• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
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