相关论文: Pricing Weather Derivatives for Extreme Events

This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We calculate exponential utility-based indifference prices,…

We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…

This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their…

Many environmental processes such as rainfall, wind or snowfall are inherently spatial and the modelling of extremes has to take into account that feature. In addition, environmental processes are often attached with an angle, e.g., wind…

This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…

Machine learning classification methods usually assume that all possible classes are sufficiently present within the training set. Due to their inherent rarities, extreme events are always under-represented and classifiers tailored for…

The spatio-temporal relations of impacts of extreme events and their drivers in climate data are not fully understood and there is a need of machine learning approaches to identify such spatio-temporal relations from data. The task,…

We consider "time-of-use" pricing as a technique for matching supply and demand of temporal resources with the goal of maximizing social welfare. Relevant examples include energy, computing resources on a cloud computing platform, and…

We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We derive the local volatility function and…

Multivariate extreme value analysis quantifies the probability and magnitude of joint extreme events. River discharges from the upper Danube River basin provide a challenging dataset for such analysis because the data, which is measured on…

In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…

The paper introduces a new regression model designed for situations where both the response and covariates are non-stationary extremes. This method is specifically designed for situations where both the response variable and covariates are…

Accurate prediction of electricity prices plays an essential role in the electricity market. To reflect the uncertainty of electricity prices, price intervals are predicted. This paper proposes a novel prediction interval construction…

Extreme weather events are becoming more common, with severe storms, floods, and prolonged precipitation affecting communities worldwide. These shifts in climate patterns pose a direct threat to the insurance industry, which faces growing…

This study provides a summary of the theory which enables the analysis of extreme values, i.e., of measurements acquired from the observation of extraordinary/rare physical phenomena. The formalism is developed in a transparent way,…

Intense precipitation events are commonly known to be associated with an increased risk of flooding. As a result of the societal and infrastructural risks linked with flooding, extremes of precipitation require careful modelling. Extreme…

Regularly varying space-time processes have proved useful to study extremal dependence in space-time data. We propose a semiparametric estimation procedure based on a closed form expression of the extremogram to estimate parametric models…

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an…

The spatial modeling of extreme snow is important for adequate risk management in Alpine and high altitude countries. A natural approach to such modeling is through the theory of max-stable processes, an infinite-dimensional extension of…

Climate change has led to an increase in the frequency and severity of extreme weather events, posing significant challenges for power distribution systems. In response, this work presents a planning approach in order to enhance the…