Introduction aux produits dérivés climatiques

Pauline Barrieu

Journal de la société française de statistique (2003)

  • Volume: 144, Issue: 3, page 53-68
  • ISSN: 1962-5197

How to cite

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Barrieu, Pauline. "Introduction aux produits dérivés climatiques." Journal de la société française de statistique 144.3 (2003): 53-68. <http://eudml.org/doc/199789>.

@article{Barrieu2003,
author = {Barrieu, Pauline},
journal = {Journal de la société française de statistique},
language = {fre},
number = {3},
pages = {53-68},
publisher = {Société française de statistique},
title = {Introduction aux produits dérivés climatiques},
url = {http://eudml.org/doc/199789},
volume = {144},
year = {2003},
}

TY - JOUR
AU - Barrieu, Pauline
TI - Introduction aux produits dérivés climatiques
JO - Journal de la société française de statistique
PY - 2003
PB - Société française de statistique
VL - 144
IS - 3
SP - 53
EP - 68
LA - fre
UR - http://eudml.org/doc/199789
ER -

References

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  1. BARRIEU P., DISCHEL R. (2003), Gestion du risque climatique à l'aide de contrats financiers : l'expérience américaine, Réassurance : Approche Technique, collection Economica. 
  2. BARRIEU P., EL KAROUI N. ( 2002a), Reinsuring climatic risk using optimally designed weather bonds, Geneva Papers Risk and Insurance Theory, 27, p. 87-113. 
  3. BARRIEU P., EL KAROUI N. ( 2002b), Optimal design of derivatives in illiquid markets, Quantitative Finance, 2, p. 1-8. 
  4. BECHERER D. (2001), Rational hedging and valuation with utility-based preferences, Thèse de Doctorat, Université de Berlin. 
  5. CAMPBELL S., DIEBOLD F. (2001), Weather forecasting for weather derivatives, Document de travail PIER n°01-031. Zbl1117.62305
  6. CAO M., WEI , J. (2000), Pricing the weather, Risk Magazine, 67-70. 
  7. DISCHEL R. (1998), Black-Scholes won't do, Risk Magazine, 8-13. 
  8. DISCHEL R. (2000), Shaping history, Risk Magazine, 13-15. 
  9. EL KAROUI N., ROUGE R. (2000), Pricing via utility maximization and entropy, Mathematical Finance, vol. 10 n°2, 259-276. Zbl1052.91512MR1802922
  10. GOOVAERTS M.J., KAAS R., VAN HEERWAARDEN A.E., BAUWELINCKX T. (1990), Effective Actuariat Methods, Insurance Series, vol. 3, Elsevier Science Publishers B.V.. 
  11. HODGES S.D., NEUBERGER A. (1989), Optimal replication of contingent claims under transaction costs, Review of Futures Markets, vol. 8, 222-239. 
  12. MUSIELA M., ZARIPHOPOULOU T. (2001), Pricing and risk management of derivatives written on non-traded assets, Document de Travail. 
  13. Risk Magazine : numéros spéciaux « Weather Risk Special Report » de 1998, 1999, 2000 et 2001. 
  14. ROUSTANT O. (2001), Une application de deux modèles économétriques de température à la gestion des risques climatiques, Cahier de recherche, Laboratoire de Sciences Actuarielle et Financière, ISFA, n°WP2015. 
  15. YOUNG V., ZARIPHOPOULOU T. (2002), Pricing dynamic insurance risks using the principle of equivalent utility, Scandmavian Actuarial Journal, vol. 4, 246-279. Weather Risk Management Advisory : site web http://www.wrma.org Zbl1039.91049MR1934243

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