A Hybrid Intelligent System for Designing a Contract Model for Weather Derivatives

Fujita, Hideaki; Mori, H.

doi:10.1016/j.procs.2012.09.085

Cited by 1 publication

(2 citation statements)

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“…The second estimator is derived by (2) and considers the discretized equation as a regression equation, which can be seen as a regression of today's temperature on yesterday's temperature. It is natural to estimate the unknowns by minimizing the least squares criterion ∑ =1 ( −̂) ( −̂), witĥbeing the estimate for in the th simulation runs with = 1, 2, .…”

Section: Parameter Estimationmentioning

confidence: 99%

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Stability and Complexity Analysis of Temperature Index Model Considering Stochastic Perturbation

Wang¹

2018

Advances in Mathematical Physics

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A temperature index model with delay and stochastic perturbation is constructed in this paper. It explores the influence of parameters and stochastic factors on the stability and complexity of the model. Based on historical temperature data of four cities of Anhui Province in China, the temperature periodic variation trends of approximately sinusoidal curves of four cities are given, respectively. In addition, we analyze the existence conditions of the local stability of the temperature index model without stochastic term and estimate its parameters by using the same historical data of the four cities, respectively. The numerical simulation results of the four cities are basically consistent with the descriptions of their historical temperature data, which proves that the temperature index model constructed has good fitting degree. It also shows that unreasonable delay parameter can make the model lose stability and improve the complexity. Stochastic factors do not usually change the trend in temperature, but they can cause high frequency fluctuations in the process of temperature evolution. Stability control is successfully realized for unstable systems by the variable feedback control method. The trend of temperature changes in Anhui Province is deduced by analyzing four typical cities.

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Section: Parameter Estimationmentioning

confidence: 99%

“…In 2007-2008, 70% of all weather derivatives contracts traded were based on temperature as the underlying factor. According to Benth and Saltyte-Benth [1] and Fujita and Mori [2], 98-99% of weather derivatives traded are based on temperature. The majority of traded weather contracts are currently being written based on temperature.…”

Section: Introductionmentioning

confidence: 99%

Stability and Complexity Analysis of Temperature Index Model Considering Stochastic Perturbation

Wang¹

2018

Advances in Mathematical Physics

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show abstract

A Hybrid Intelligent System for Designing a Contract Model for Weather Derivatives

Cited by 1 publication

References 15 publications

Stability and Complexity Analysis of Temperature Index Model Considering Stochastic Perturbation

Stability and Complexity Analysis of Temperature Index Model Considering Stochastic Perturbation

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