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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  Actuarial Implication of Structural Changes in El Niño-Southern Oscillation Index Dynamics

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62047

    Title: Actuarial Implication of Structural Changes in El Niño-Southern Oscillation Index Dynamics
    Authors: Chen, Shu-Ling
    教師: 陳淑玲
    Date: 2010
    Publisher: American Agricultural Economics Association
    Relation: Agricultural and Applied Economics Association>2010 Annual Meeting,American Agricultural Economics Association, July 25-27, 2010, Denver, Colorado
    Keywords: actuarial rating
    climate variability
    El Niño
    Abstract: 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.
    URI: http://ageconsearch.umn.edu/bitstream/61384/2/11208.pdf
    Appears in Collections:[計量財務金融學系] 期刊論文

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