Weather derivative risk measures for extreme events
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Publication:5379124
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Cites work
- A note on composite likelihood inference and model selection
- A note on pseudolikelihood constructed from marginal densities
- A survey of spatial extremes: measuring spatial dependence and modeling spatial effects
- An introduction to statistical modeling of extreme values
- Approximate Bayesian computing for spatial extremes
- Extreme value theory. An introduction.
- Extremes and related properties of random sequences and processes
- Handbook of spatial statistics.
- scientific article; zbMATH DE number 5321684 (Why is no real title available?)
- scientific article; zbMATH DE number 4100431 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Likelihood-based inference for extreme value model
- Likelihood-based inference for max-stable processes
- Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
- Models for stationary max-stable random fields
- On the likelihood function of Gaussian max-stable processes
- Risk Measures and Comonotonicity: A Review
- Sequential Monte Carlo without likelihoods
- Spatial modeling of extreme snow depth
- Statistical modeling of spatial extremes
Cited in
(10)- A Bayesian hierarchical model for spatial extremes with multiple durations
- Spatial risk measures and applications to max-stable processes
- Empirical tail risk management with model-based annealing random search
- Global warming, extreme weather events, and forecasting tropical cyclones: a market-based forward-looking approach
- Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
- An extension of spatial dependence models for estimating short-term temperature portfolio risk
- The impact of spatial interpolation techniques on spatial basis risk for weather insurance: an application to forage crops
- A Dynamic Stochastic Integrated Climate–Economic Spatiotemporal Model for Agricultural Insurance Products
- Kriging methods for modeling spatial basis risk in weather index insurances: a technical note
- Adaptation Time to Climate-Induced Extreme Events—Impact of Trend, Seasonality, and Interest Rate Stochasticity
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