dc.date.accessioned | 2013-03-12T08:17:54Z | |
dc.date.available | 2013-03-12T08:17:54Z | |
dc.date.issued | 2011 | en_US |
dc.date.submitted | 2011-12-05 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10420 | |
dc.description.abstract | The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. We take the data from Malaysia as our empirical case. Our results show that there is a significant difference between the burn and index pricing approaches on one hand, and the temperature modelling method on the other. The latter approach is pricing the insurance contract using a seasonal autoregressive time series model for daily temperature variations, and thus provides a precise probabilistic model for the fine structure of temperature evolution. We complement our pricing analysis by an investigation of the profit/loss distribution from the contract, in the perspective of both the insured and the insurer. | eng |
dc.language.iso | eng | en_US |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series. Statistical Research Report http://urn.nb.no/URN:NBN:no-23420 | en_US |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-23420 | |
dc.rights | © The Author(s) (2011). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | Pricing of Temperature Index Insurance | en_US |
dc.type | Research report | en_US |
dc.date.updated | 2011-12-06 | en_US |
dc.rights.holder | Copyright 2011 The Author(s) | |
dc.creator.author | Taib, Che Mohd Imran Che | en_US |
dc.creator.author | Benth, Fred Espen | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.cristin | 864345 | en_US |
dc.identifier.urn | URN:NBN:no-29991 | en_US |
dc.type.document | Forskningsrapport | en_US |
dc.identifier.duo | 146128 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10420/1/weather_insurance_eprint.pdf | |