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INCORPORATING CLIMATE CHANGE PROJECTIONS INTO RISK MEASURES OF INDEX-BASED INSURANCE

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abstract
We present a complete working example of using regional climate model projections to estimate the changing risks of temperature index-based insurance products defined for a series of locations in California. This region is a major agricultural producer for the US and the world. The climate model projections are an ensemble of six regional climate model runs obtained from the North American Regional Climate Change Assessment Program. Hindcasts for the period of 1971-2000 are compared to historical observed temperature data for bias and variance corrections. Adjusted future model projections are used to estimate distributions of cooling degree days for 2041-2070, which are then used to estimate risk measures for index-based insurance products defined for cooling degree day indices. More broadly, this thesis provides a transparent illustration of climate data processing, climate model bias correction, and the use of climate data products to explore actuarial risks.
subject
climate risk
NARCCAP
regional climate model
weather derivative
contributor
Jin, Zhuoli (author)
Erhardt, Robert (committee chair)
Raynor, Sarah (committee member)
Gemmer, John (committee member)
date
2018-05-24T08:36:15Z (accessioned)
2018-05-24T08:36:15Z (available)
2018 (issued)
degree
Mathematics and Statistics (discipline)
identifier
http://hdl.handle.net/10339/90745 (uri)
language
en (iso)
publisher
Wake Forest University
title
INCORPORATING CLIMATE CHANGE PROJECTIONS INTO RISK MEASURES OF INDEX-BASED INSURANCE
type
Thesis

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