Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/103594 
Year of Publication: 
2013
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 1 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2013 [Pages:] 176-191
Publisher: 
MDPI, Basel
Abstract: 
We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk measure and its sensitivities can be computed in practice for relevant temperature stochastic processes. This is in particular useful for measuring the potential impact of climate change on heat wave risk. Numerical illustrations are given.
Subjects: 
climate change
risk measure
heat wave risk
temperature modeling
Ornstein-Uhlenbeck process
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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