Dr. Robert Erhardt, Wake Forest University
October 19, 2018
3-4 p.m.
Walker Hall, Room 103A
This talk is free and open to the public.
Temperature risk is any adverse financial outcome caused by temperature outcomes. The Chicago Mercantile Exchange lists a series of financial products that link payments to temperature outcomes and these products can help buyers manage temperature risk. Financial institutions can also hold a portfolio of these products as counterparty to the buyers facing temperature risk. Here we take an actuarial perspective to measuring the risk by modeling the daily temperatures directly.
These models are then used to simulate distributions of future temperature outcomes. The model for daily temperature is a spatial ARMA-EGARCH statistical model that incorporates dependence in both time and space, in addition to modeling the volatility. Simulations from this model are used to build up distributions of temperature outcomes, and we demonstrate how actuarial risk measures of the portfolio can then be estimated from these distributions.
Rob Erhardt is Associate Professor of Statistics at Wake Forest University. His research interests include environmental and climate statistics, computational statistics, extremes and actuarial science. He is particularly interested in measuring and quantifying environmental risks, studying impacts of climate change on these risks and exploring possible insurance solutions. He completed his doctorate in Statistics and Operations Research from the University of North Carolina at Chapel Hill, and holds degrees in Physics and Statistics from the State University of New York College at Geneseo and the University of Wisconsin-Madison. Prior to his work in academia, he was a research actuary for an insurance company and is still an Associate of the Casualty Actuarial Society (A.C.A.S.).
Sponsored by the Department of Mathematical Sciences. Please contact Quinn Morris morrisqa@appstate.edu or Travis Weiland weilandtj@appstate.edu or visit our department colloquium website https://mathsci.appstate.edu/activities-outreach/department-colloquia to view more information and see other upcoming events.
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About the Department of Mathematical Sciences
The Department of Mathematical Sciences offers undergraduate degrees in actuarial science and mathematics, with concentrations in business, computation, life sciences, physical sciences, secondary teaching and statistics, plus a general, self-designed concentration. The department also offers the Master of Arts in mathematics, with concentrations in college teaching and secondary teaching. Learn more at https://mathsci.appstate.edu.
Dr. Rob Erhardt headshot
Dr. Rob Erhardt headshot