Impact of Climate Change on HeatWave Risk

Romain Biard (), Christophette Blanchet-Scalliet (), Anne Eyraud-Loisel () and Stéphane Loisel
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Romain Biard: LMB - Laboratoire de Mathématiques de Besançon (UMR 6623) - CNRS - Centre National de la Recherche Scientifique - UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE]
Christophette Blanchet-Scalliet: PSPM - Probabilités, statistique, physique mathématique - ICJ - Institut Camille Jordan - ECL - École Centrale de Lyon - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique
Anne Eyraud-Loisel: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

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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)
Date: 2013
Note: View the original document on HAL open archive server: https://hal.science/hal-00937071v1
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Published in Risks, 2013, 1, pp.176-191. ⟨10.3390/risks1030176⟩

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Related works:
Journal Article: Impact of Climate Change on Heat Wave Risk (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00937071

DOI: 10.3390/risks1030176

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