| Registro completo |
| Provedor de dados: |
AgEcon
|
| País: |
United States
|
| Título: |
Actuarial Implication of Structural Changes in El Niño-Southern Oscillation Index Dynamics
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| Autores: |
Chen, Shu-Ling
|
| Data: |
2010-05-03
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| Ano: |
2010
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| Palavras-chave: |
Actuarial rating
Climate variability
El Niño
Fractional integration ARCH
FIGARCH
Index insurance
Structural change
Agricultural Finance
Financial Economics
Risk and Uncertainty
G21
G22
Q10
Q14
|
| Resumo: |
The influence of climate variability on agricultural production and financial risks faced by an individual or an institution has been the center of the public discussion in the recent years. The changing weather patterns and environmental conditions could cause substantial unpredicted economic loss. Failure to capture the changing climate would underestimate the insurance contract’s expected indemnity and further create a major obstacle for insurance sectors. In this paper, we undertake a case study of El Niño-Southern Oscillation Index insurance for coastal Peru proposed by Skees. We examined the behavior of El Niño dynamics and found El Niño indices are changing over time. A class of generalized autoregressive conditional heteroskedasticity (GARCH) - family process that allows the disturbance variance to vary over time is used to design and rate the El Niño-Southern Oscillation Index insurance contract.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
|
| Identificador: |
http://purl.umn.edu/61384
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| Relação: |
Agricultural and Applied Economics Association>2010 Annual Meeting, July 25-27, 2010, Denver, Colorado
Selected Poster
11208
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