Pricing weather derivatives using the indifference pricing approach

DOI10.1080/10920277.2009.10597556MaRDI QIDQ5029070zbMATH OpenOpenAlexFDO

Authors Patrick L. Brockett, Linda L. Goldens, Min-Ming Wen, Charles Yang

Publication date 11 February 2022

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

Full work available at URL https://doi.org/10.1080/10920277.2009.10597556

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• scientific article; zbMATH DE number 1222796 (Why is no real title available?)
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• Pricing weather derivatives by marginal value
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Cited in

(16)

• Regime-switching temperature dynamics model for weather derivatives
• Weather derivatives pricing using regime switching model
• Lie symmetry analysis on pricing weather derivatives by partial differential equations
• Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation
• Approaching rainfall-based weather derivatives pricing and operational challenges
• Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas
• A fair pricing approach to weather derivatives
• Applications to weather derivatives and energy contracts
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• Stochastic Models for Pricing Weather Derivatives using Constant Risk Premium
• Pricing weather derivatives by marginal value
• Dynamical pricing of weather derivatives
• Modeling and pricing in financial markets for weather derivatives
• Agricultural Insurance Ratemaking: Development of a New Premium Principle
• Reinsurance premium principles based on weighted loss functions
• Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps

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