CLIMATE RISK AND THE WEATHER MARKET 8 Weather Derivative Modelling and Valuation : A Statistical Perspective

Abstract

Weather derivatives are usually priced by analysing the historical outcomes of the underlying weather index. In this chapter we review statistical and actuarial methods for such analyses and discuss the relevance of arbitrage pricing. We look at reasons for trends in historical data and describe how to estimate and remove them. Statistical methods for… (More)

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