Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing
DOI10.47836/MJMS.16.2.07OpenAlexW4280651955MaRDI QIDQ6200564FDOQ6200564
Che Mohd Imran Che Taib, Mukminah Darus
Publication date: 1 March 2024
Published in: Malaysian Journal of Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.47836/mjms.16.2.07
mean reversionstochastic processtemperature modelcontinuous autoregressive moving average processestemperature insurance
Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Processes of normal inverse Gaussian type
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Existence and uniqueness of stationary Lévy-driven CARMA processes
- Stochastic dynamical modelling of spot freight rates
- Lévy-driven CARMA processes
- CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
- Estimation of stable CARMA models with an application to electricity spot prices
- Modeling and Pricing in Financial Markets for Weather Derivatives
- On stationary solutions of delay differential equations driven by a Lévy process.
- THE CARMA INTEREST RATE MODEL
- Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
- Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion
- Spatial-temporal modelling of temperature for pricing temperature index insurance
- Title not available (Why is that?)
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