User menu

Frequency and Severity Modelling Using Multifractal Processes: An Application to Tornado Occurrence in the USA and CAT Bonds

Bibliographic reference Hainaut, Donatien ; Boucher, Jean-Philippe. Frequency and Severity Modelling Using Multifractal Processes: An Application to Tornado Occurrence in the USA and CAT Bonds. In: Environmental Modeling & Assessment, Vol. 19, no.3, p. 207-220 (2013)
Permanent URL http://hdl.handle.net/2078/185389
  1. Barrieu Pauline, Scaillet Olivier, A Primer on Weather Derivatives, Uncertainty and Environmental Decision Making (2009) ISBN:9781441911285 p.155-175, 10.1007/978-1-4419-1129-2_5
  2. Schmock Uwe, Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk , 10.2143/ast.29.1.504608
  3. Barrieu, P., & Dischel, R. (2002).“Financial weather contracts and their application in risk management.” Chapter in Climatic Risk and the Weather Market, Risk Book, Risk Waters Group.
  4. Lopez Cabrera, B. (2010). “Weather Risk Management: CAT bonds and weather derivatives.” PhD Dissertation, Humboldt Universitaet, Berlin. http://edoc.hu-berlin.de/dissertationen/lopez-cabrera-brenda-2010-04-27/PDF/lopez-cabrera.pdf .
  5. Vaugirard Victor E., Valuing catastrophe bonds by Monte Carlo simulations, 10.1080/1350486032000079741
  6. Lee, J. P., & Yub, M. T. (2007). Valuation of catastrophe reinsurance with catastrophe bonds. Insurance: Mathematics and Economics, 41(2), 264–278.
  7. Alaton Peter, Djehiche Boualem, Stillberger David, On modelling and pricing weather derivatives, 10.1080/13504860210132897
  8. Campbell Sean D, Diebold Francis X, Weather Forecasting for Weather Derivatives, 10.1198/016214504000001051
  9. Dornier, F., & Queruel, M. (2000). "Caution to the wind." Risk Magazine, EPRM, July, pp. 30-32.
  10. Benth, F. E., & Benth, J. S. (2007). The volatility of temperature and pricing of weather derivatives. Quantitative Finance, 7(5), 553–561.
  11. Benth Fred ESPEN, Benth Jūratė šaltytė, The volatility of temperature and pricing of weather derivatives, 10.1080/14697680601155334
  12. Hainaut, D. (2012). “Pricing of an insurance bond, with stochastic seasonal effects.” Bulletin Français d'actuariat. Juillet 2012.
  13. Chiera, B. A., Filar, J. A., Zachary, D. S., & Gordon, A. H. (2010). “Comparative Forecasting and a test of Persistence in the El Nino Southern Oscillation” In: Filar, Jerzy A. and Haurie, Alain, (eds.), Uncertainty and environmental decision making: A handbook of research and best practice. International series in operations research & management science (138) (pp. 255-273) Springer.
  14. Lovejoy, S., & Schertzer, D. (2007). Scale, scaling and multifractals in geophysics: Twenty years on. Nonlinear dynamics. In: A. A. Tsonis, J. Elsner (Ed.), Geosciences (pp. 311-337). Springer.
  15. SACHS D., LOVEJOY S., SCHERTZER D., THE MULTIFRACTAL SCALING OF CLOUD RADIANCES FROM 1M TO 1KM, 10.1142/s0218348x02001385
  16. Tchiguirinskaia, I., Schertzer, D., Lovejoy, S., & Veysseire, J. M. (2006). Wind extremes and scales: multifractal insights and empirical evidence, In: EUROMECH Colloquium on Wind Energy, edited by P. S. Eds. J. Peinke, Springer-Verlag.
  17. Calvet, L., & Fisher, A. J. (2008). "Multifractal volatility. Theory, forecasting and pricing". Academic Press. Elsevier.
  18. Samorodnitsky Gennady, Resnick Sidney, Limits of on/off hierarchical product models for data transmission, 10.1214/aoap/1069786502
  19. Mu Mu, Zheng Qin, Zigzag Oscillations in Variational Data Assimilation with Physical “On–Off” Processes, 10.1175/mwr2995.1
  20. Brody Dorje C, Syroka Joanna, Zervos Mihail, Dynamical pricing of weather derivatives, 10.1088/1469-7688/2/3/302
  21. Mandlebrot, B. (1982). "The fractal geometry of nature". Freeman.
  22. Mandelbrot Benoit B., Fractals and Scaling in Finance, ISBN:9781441931191, 10.1007/978-1-4757-2763-0
  23. Mandelbrot B.B., Scaling in financial prices: II. Multifractals and the star equation, 10.1080/713665540
  24. Major, J. A., & Lantsman, Y. (2001). "Actuarial applications of multifractal modeling part 1: Introduction and spatial applications." Non-refereed Paper of the Casualty Actuarial Society Forum.
  25. Jung Robert C., Tremayne A. R., Useful models for time series of counts or simply wrong ones?, 10.1007/s10182-010-0139-9
  26. Brémaud Pierre, Point Processes and Queues, ISBN:9781468494792, 10.1007/978-1-4684-9477-8
  27. Lecki, T. R., & Rutkowski, M. (2004). "Credit risk: Modeling, valuation and hedging". Springer Finance.
  28. Hamilton James D., A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, 10.2307/1912559
  29. Kalman R. E., A New Approach to Linear Filtering and Prediction Problems, 10.1115/1.3662552
  30. Calvet Laurent, Fisher Adlai, Forecasting multifractal volatility, 10.1016/s0304-4076(01)00069-0