Impact of Climate Change on Heat Wave Risk

Romain Biard, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel and Stéphane Loisel
Additional contact information
Romain Biard: Laboratoire de mathématiques de Besançon, UMR CNRS 6623, 16 route de Gray, Besançon F-25030, France
Christophette Blanchet-Scalliet: Université de Lyon, CNRS UMR 5208, École centrale de Lyon, Institut Camille Jordan, 36 avenue Guy de Collongue, Ecully Cedex F-69134, France
Anne Eyraud-Loisel: Université de Lyon, Université Claude Bernard Lyon 1, Institut de Science Financière et d'Assurances, 50 Avenue Tony Garnier, Lyon F-69007, France

Risks, 2013, vol. 1, issue 3, 1-16

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.

Keywords: climate change; risk measure; heat wave risk; temperature modeling; Ornstein–Uhlenbeck process (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Impact of Climate Change on HeatWave Risk (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:1:y:2013:i:3:p:176-191:d:31293

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