Portfolio effects and valuation of weather derivatives

Financial Review

Volumn 41, Issue 1, 2006, Pages 55-76

  Brockett, Patrick L ^a   Wang, Mulong ^b   Yang, Chuanhou ^c   Zou, Hong ^d  

^a UNIVERSITY OF TEXAS   (United States)

^b Grange Mutual Insurance Company   (United States)

^c GANNON UNIVERSITY   (United States)

^d LINGNAN UNIVERSITY   (Hong Kong)

Author keywords

G12; G13; Incomplete market pricing models; Indifference prices; Portfolio effects; Weather derivatives; Weather risk contract valuation; Weather risk securitization

Indexed keywords

EID: 67650763120     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/j.1540-6288.2006.00133.x     Document Type: Article

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