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UID:20250703T213806EDT-9397hucMwt@132.216.98.100
DTSTAMP:20250704T013806Z
DESCRIPTION:An extension of spatial dependence models for estimating short-
 term temperature portfolio risk.\n\nTemperature risk is any adverse financ
 ial outcome caused by temperature outcomes. The Chicago Mercantile Exchang
 e lists a series of financial products which link payments to temperature 
 outcomes\, and therefore these products can help institutions manage tempe
 rature risk. Financial institutions can also hold a portfolio of these pro
 ducts as counterparty to the institutions facing temperature risk. Here we
  take an actuarial perspective and model the daily temperatures directly. 
 These models are then used to simulate distributions of future temperature
  outcomes. The model for daily temperature is a spatial ARMA-EGARCH statis
 tical model which incorporates dependence in both time and space\, and als
 o volatility modeling. Simulations from this model are used to build up di
 stributions of temperature outcomes\, and we demonstrate how actuarial ris
 k measures of the portfolio can then be estimated from these distributions
 .ial dependence models for estimating short-term temperature portfolio ris
 k\n
DTSTART:20161021T183000Z
DTEND:20161021T193000Z
LOCATION:Room 5340\, CA\, QC\, Montreal\, H3T 1J4\, Pavillon André-Aisensta
 dt\, 2920\, Chemin de la tour\, 5th floor
SUMMARY:Robert Erhardt\, Wake Forest University
URL:/mathstat/channels/event/robert-erhardt-wake-fores
 t-university-263469
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