An Extension of Spatial Dependence Models for Estimating Short-Term Temperature Portfolio Risk

DOI10.1080/10920277.2018.1444496zbMath1416.91174OpenAlexW2801535338WikidataQ129908979 ScholiaQ129908979MaRDI QIDQ4689975

David Engler, Robert J. Erhardt

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)

Related Items (1)

Incorporating Climate Change Projections into Risk Measures of Index-Based Insurance

Uses Software

• WeightedPortTest
• Rugarch
• StFinMetrics

Cites Work

• Unnamed Item
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• 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
• A Spatial-temporal Model for Temperature with Seasonal Variance
• Spatial–temporal model for wind speed in Lithuania
• Weather Derivative Risk Measures for Extreme Events
• Weather Forecasting for Weather Derivatives

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