dc.date.accessioned | 2015-02-12T14:43:43Z | |
dc.date.available | 2015-02-12T14:43:43Z | |
dc.date.created | 2013-01-09T14:31:26Z | |
dc.date.issued | 2012 | |
dc.identifier.citation | Che Taib, Che Mohd Imran Benth, Fred Espen . Pricing of temperature index insurance. Review of Development Finance. 2012, 2(1), 22-31 | |
dc.identifier.uri | http://hdl.handle.net/10852/42226 | |
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. | en_US |
dc.language | EN | |
dc.language.iso | en | en_US |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 International | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
dc.title | Pricing of temperature index insurance | en_US |
dc.type | Journal article | en_US |
dc.creator.author | Che Taib, Che Mohd Imran | |
dc.creator.author | Benth, Fred Espen | |
cristin.unitcode | 185,15,26,0 | |
cristin.unitname | Senter for matematikk for anvendelser | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 984718 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Review of Development Finance&rft.volume=2&rft.spage=22&rft.date=2012 | |
dc.identifier.jtitle | Review of Development Finance | |
dc.identifier.volume | 2 | |
dc.identifier.issue | 1 | |
dc.identifier.startpage | 22 | |
dc.identifier.endpage | 31 | |
dc.identifier.doi | http://dx.doi.org/10.1016/j.rdf.2012.01.004 | |
dc.identifier.urn | URN:NBN:no-46605 | |
dc.type.document | Tidsskriftartikkel | en_US |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 1879-9337 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/42226/4/pricing-cc-by-nc-nd.pdf | |
dc.type.version | PublishedVersion | |