Using ensemble forecasts to predict the size of forecast changes, with application to weather swap value at risk

Atmospheric Science Letters

Volumn 4, Issue 1-4, 2003, Pages 15-27

  Jewson, Stephen ^a   Ziehmann, Christine ^a  

^a RISK MANAGEMENT SOLUTIONS   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

ENSEMBLE FORECASTING; FORECASTING METHOD; PREDICTION; WEATHER FORECASTING;

EID: 4143123389     PISSN: 1530261X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1530-261X(03)00003-3     Document Type: Article

References (7)

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2. Jewson S. Brix A. Ziehmann C. Use of meteorological forecasts in weather derivative pricing Climate Risk and the Weather Market 2002 Risk Books chapter 10; pp. 169-184
3. Jewson, S., Caballero, R., 2003. The use of weather forecasts in the pricing of weather derivatives. Meteorological Applications, Submitted for publication.
4. Leith C. Theoretical skill of monte carlo forecasts Monthly Weather Review 102 1974 409-418
5. Murphy J. The impact of ensemble forecasts on predictability Quarterly Journal of the Royal Meteorological Society 114 1988 463-493
6. Palmer T. The economic value of ensemble forecasts as a tool for risk assessment: from days to decades Quarterly Journal of the Royal Meteorological Society 128 581 2002 747-774
7. Toth Z. Zhu Y. Marchok T. The use of ensembles to identify forecasts with small and large uncertainty Weather and Forecasting 16 2001 463-477