State price densities implied from weather derivatives

DOI10.1016/j.insmatheco.2015.05.001zbMath1348.62238MaRDI QIDQ495457

Huei-Wen Teng, Brenda López-Cabrera, Wolfgang Karl Härdle

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2013-026.pdf

zbMATH Keywords

quadrature; temperature derivatives; Bayesian; state price density; weather derivatives; CDD; data sparsity; HDD

Mathematics Subject Classification ID

62G07: Density estimation

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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