Spatial dependence and aggregation in weather risk hedging : a lévy subordinated hierarchical archimedean copulas (LSHAC) approach
Year of publication: |
2018
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Authors: | Zhu, Wenjun ; Tan, Ken Seng ; Porth, Lysa ; Wang, Chou-Wen |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 48.2018, 2, p. 779-815
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Subject: | Systemic weather risk | hedging strategies | hierarchical Archimedean copulas | Lévy subordinators | agricultural insurance | reinsurance | Multivariate Verteilung | Multivariate distribution | Hedging | Wetter | Weather | Theorie | Theory | Risikomanagement | Risk management | Schätzung | Estimation | Derivat | Derivative | Rückversicherung | Reinsurance | Agrarversicherung | Agricultural insurance | Stochastischer Prozess | Stochastic process |
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