Spatial dependence and aggregation in weather risk hedging : a lévy subordinated hierarchical archimedean copulas (LSHAC) approach
ByWenjun Zhu, Ken Seng Tan, Lysa Porth and Chou-Wen Wang
| Year of publication: |
2018
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| Authors: | Zhu, Wenjun ; Ken Seng Tan ; Porth, Lysa ; Wang, Chou-Wen |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 48.2018, 2, p. 779-815
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| Subject: | Systemic weather risk | hedging strategies | hierarchical Archimedean copulas | Lévy subordinators | agricultural insurance | reinsurance | Hedging | Multivariate Verteilung | Multivariate distribution | Wetter | Weather | Theorie | Theory | Risikomanagement | Risk management | Agrarversicherung | Agricultural insurance | Derivat | Derivative | Rückversicherung | Reinsurance | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2018.6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011875814