温度保险定价中平均回归速度随机的CARMA过程温度建模

IF 0.5 Q3 MATHEMATICS

Malaysian Journal of Mathematical Sciences Pub Date : 2022-04-29 DOI:10.47836/mjms.16.2.07

M. Darus, C. M. I. C. Taib

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引用次数: 0

摘要

本文提出了一个具有随机均值回归速度的连续时间自回归移动平均（CARMA）模型。该模型允许平均回归率随机表现，并受Ornstein-Uhlenbeck过程控制。我们提供了具有均值回归随机速度的CARMA的闭式解，并使用现货-远期关系框架来制定温度保险的价格。我们通过模拟温度变化，展示了基于累积平均温度（CAT）指数的保险定价。我们发现，我们提出的模型可以很好地解释温度的演变，并且基于CAT的指数保险的价格看起来是合理的。

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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Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing

In this paper, we present a continuous time autoregressive moving average (CARMA) model with stochastic speed of mean reversion. This model allows the mean reversion rates to behave stochastically and governed by an Ornstein-Uhlenbeck process. We provide closed-form solution to the CARMA with stochastic speed of mean reversion and formulate the price of temperature insurance using spot-forward relationship framework. We demonstrate the insurance pricing based on the cumulative average temperatures (CAT) index by simulating the temperature variations. We found that our proposed model may explain the temperature evolution well and the price of CAT-based index insurance looks reasonable.

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来源期刊

Malaysian Journal of Mathematical Sciences MATHEMATICS-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The Research Bulletin of Institute for Mathematical Research (MathDigest) publishes light expository articles on mathematical sciences and research abstracts. It is published twice yearly by the Institute for Mathematical Research, Universiti Putra Malaysia. MathDigest is targeted at mathematically informed general readers on research of interest to the Institute. Articles are sought by invitation to the members, visitors and friends of the Institute. MathDigest also includes abstracts of thesis by postgraduate students of the Institute.