Using ensemble forecasts to predict the size of forecast changes, with application to weather swap value at risk

Atmospheric Science Letters - Tập 4 - Trang 15-27 - 2003
Stephen Jewson1, Christine Ziehmann1
1Risk Management Solutions, 10 Eastcheap, London EC3M 1AJ, UK

Tóm tắt

Abstract

We show that the standard deviation of the distribution from which changes in the ensemble mean are drawn can be predicted using the ensemble spread. Such a forecast has direct application for companies that trade weather swaps and need to evaluate their risk. Copyright © 2003 Royal Meteorological Society. Published by Elsevier Ltd. All rights reserved.


Tài liệu tham khảo

Jewson S. Brix A. Ziehmann C. 2002a.Risk management Weather Risk Report Global Reinsurance Review pp.5–10. Jewson, S., 2002, Climate Risk and the Weather Market, 169 Jewson, S., 2003, Meteorological Applications Leith, C., 1974, 409 10.1002/qj.49711448010 10.1256/0035900021643593 10.1175/1520-0434(2001)016<0463:TUOETI>2.0.CO;2
Thông tin
Thông tin xuất bản

Atmospheric Science Letters

Tập 4

15-27

Thông tin tác giả