کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
986277 1480786 2012 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing of temperature index insurance
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Pricing of temperature index insurance
چکیده انگلیسی

The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. We take the data from Malaysia as our empirical case. Our results show that there is a significant difference between the burn and index pricing approaches on one hand, and the temperature modelling method on the other. The latter approach is pricing the insurance contract using a seasonal autoregressive time series model for daily temperature variations, and thus provides a precise probabilistic model for the fine structure of temperature evolution. We complement our pricing analysis by an investigation of the profit/loss distribution from the contract, in the perspective of both the insured and the insurer.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Development Finance - Volume 2, Issue 1, January–March 2012, Pages 22–31
نویسندگان
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