Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing

DOI10.47836/MJMS.16.2.07OpenAlexW4280651955MaRDI QIDQ6200564FDOQ6200564

Authors Mukminah Darus, Che Mohd Imran Che Taib

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

zbMATH Keywords

mean reversionstochastic processtemperature modelcontinuous autoregressive moving average processestemperature insurance

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Temperature modelling and pricing of temperature index insurance
• Weather derivatives and stochastic modelling of temperature
• Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
• Lévy process based Ornstein-Uhlenbeck temperature model with time varying speed of mean reversion

Cites work

• scientific article; zbMATH DE number 7174147 (Why is no real title available?)
• CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
• Estimation of stable CARMA models with an application to electricity spot prices
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Lévy-driven CARMA processes
• Modeling and pricing in financial markets for weather derivatives
• Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
• On stationary solutions of delay differential equations driven by a Lévy process.
• Processes of normal inverse Gaussian type
• Spatial-temporal modelling of temperature for pricing temperature index insurance
• Stochastic dynamical modelling of spot freight rates
• THE CARMA INTEREST RATE MODEL
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion

Cited in

(1)

• Pricing Quanto Options in Renewable Energy Markets

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