Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives

Insurance: Mathematics and Economics

Volumn 50, Issue 1, 2012, Pages 131-138

  Ahčan, Aleš ^a  

^a Faculty of Economics   (Slovenia)

Author keywords

Asymmetric ARCH; Esscher transform; Levy models; Model risk; Weather derivatives

Indexed keywords

EID: 82155195438     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2011.10.005     Document Type: Article

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