An extension of spatial dependence models for estimating short-term temperature portfolio risk

DOI10.1080/10920277.2018.1444496MaRDI QIDQ4689975zbMATH OpenOpenAlexWikidataFDO

Authors Robert J. Erhardt, David Engler

Publication date 22 October 2018

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2018.1444496

zbMATH Keywords

spatial ARMA-EGARCH statistical modeltemperature risk

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Cites work

• A spatial-temporal model for temperature with seasonal variance
• Bootstrap prediction for returns and volatilities in GARCH models
• scientific article; zbMATH DE number 5321684 (Why is no real title available?)
• Modeling and pricing in financial markets for weather derivatives
• Modeling waves of extreme temperature: the changing tails of four cities
• New weighted portmanteau statistics for time series goodness of fit testing
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Spatial–temporal model for wind speed in Lithuania
• Weather derivative risk measures for extreme events
• Weather Forecasting for Weather Derivatives

Cited in

(6)

• Exploring the financial risk of a temperature index: a fractional integrated approach
• Hedging of Spatial Temperature Risk with Market-Traded Futures
• Pricing portfolios of contracts on cumulative temperature with risk premium determination
• Incorporating climate change projections into risk measures of index-based insurance
• Weather derivative risk measures for extreme events
• A Dynamic Stochastic Integrated Climate–Economic Spatiotemporal Model for Agricultural Insurance Products

Describes a project that uses

Uses Software

• Rugarch
• WeightedPortTest
• StFinMetrics

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