Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives
Year of publication: |
2012
|
---|---|
Authors: | Ahčan, Aleš |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 50.2012, 1, p. 131-138
|
Publisher: |
Elsevier |
Subject: | Weather derivatives | Levy models | Asymmetric ARCH | Esscher transform | Model risk |
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