Impact of Climate Change on Heat Wave Risk

Risks

Romain Biard¹  Christophette Blanchet-Scalliet³  Anne Eyraud-Loisel² 

[1] Laboratoire de mathématiques de Besançon, UMR CNRS 6623, 16 route de Gray, Besançon F-25030, France; E-Mail:;Université de Lyon, Université Claude Bernard Lyon 1, Institut de Science Financière et d’Assurances, 50 Avenue Tony Garnier, Lyon F-69007, France; E-Mails:;Université de Lyon, CNRS UMR 5208, École centrale de Lyon, Institut Camille Jordan, 36 avenue Guy de Collongue, Ecully Cedex F-69134, France; E-Mail:

关键词: climate change;    risk measure;    heat wave risk;    temperature modeling;    Ornstein–Uhlenbeck process;   

DOI  :  10.3390/risks1030176

来源: mdpi

【 摘 要 】

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.

【 授权许可】

CC BY   
© 2013 by the authors; licensee MDPI, Basel, Switzerland.