Ahčan, Aleš - In: Insurance: Mathematics and Economics 50 (2012) 1, pp. 131-138
In this paper we model the daily average temperature via an extended version of the standard Ornstein Uhlenbeck process driven by a Levy noise with seasonally adjusted asymmetric ARCH process for volatility. More precisely, we model the disturbances with the Normal inverse Gaussian (NIG) and...