文章基本信息

标题：Actuarial Implication of Structural Changes in El Niño-Southern Oscillation Index Dynamics
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作者：Chen, Shu-Ling
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2010
卷号：SUPPL
出版社：Food Distribution Research Society
摘要：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.
关键词：actuarial rating;climate variability;El Niño;fractional integration ARCH;FIGARCH;index insurance;structural change