Parametric heat wave insurance

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-09-01 DOI:10.1016/j.jcomm.2023.100345

Karl Larsson

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引用次数: 0

Abstract

This paper proposes a flexible framework for structuring and pricing parametric heat wave insurance. The framework is based on a general heat wave definition formulated in terms of an underlying temperature index. The definition can be varied in terms of the heat wave duration, intensity, measurement period and underlying index. This construction makes it straightforward to create contracts tailored to insure against heat events of many different types. A single stochastic model for the underlying index can be used to price all contracts. We consider contracts with payments that depend on the number of heat waves of a certain type occurring in the measurement period and derive the necessary pricing relations based on a general model structure encompassing several popular temperature models in the literature. An empirical case study is performed using data for Berlin where the daily maximum temperature is used as the underlying index. Model implied heat wave probabilities are consistent with historical patterns, point to high likelihoods for short duration heat events of different threshold temperatures and non-negligible risks for future heat waves of extreme temperatures and durations never before observed.

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参数热浪保险

本文提出了一种灵活的构造和定价参数热浪保险的框架。该框架是基于以基础温度指数表示的一般热浪定义。热浪的定义可以根据热浪的持续时间、强度、测量周期和基础指数而变化。这种构造使得创建针对许多不同类型的高温事件量身定制的合同变得简单。基础指数的单一随机模型可以用来为所有合约定价。我们考虑了合同的付款取决于在测量期间发生的某种类型的热浪的数量，并基于包含文献中几种流行温度模型的一般模型结构推导出必要的定价关系。使用柏林的数据进行了实证案例研究，其中使用日最高温度作为基础指数。模式隐含的热浪概率与历史模式一致，指出了不同阈值温度的短时间热事件的高可能性，以及以前从未观测到的极端温度和持续时间的未来热浪不可忽视的风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.