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Risks 2013, 1(3), 176-191; doi:10.3390/risks1030176

Impact of Climate Change on Heat Wave Risk

1 Laboratoire de mathématiques de Besançon, UMR CNRS 6623, 16 route de Gray, Besançon F-25030, France 2 Université de Lyon, CNRS UMR 5208, École centrale de Lyon, Institut Camille Jordan, 36 avenue Guy de Collongue, Ecully Cedex F-69134, France 3 Université de Lyon, Université Claude Bernard Lyon 1, Institut de Science Financière et d'Assurances, 50 Avenue Tony Garnier, Lyon F-69007, France
* Author to whom correspondence should be addressed.
Received: 1 November 2013 / Revised: 3 December 2013 / Accepted: 5 December 2013 / Published: 12 December 2013
(This article belongs to the Special Issue Application of Stochastic Processes in Insurance)
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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 climate change; risk measure; heat wave risk; temperature modeling; Ornstein–Uhlenbeck process
This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

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Biard, R.; Blanchet-Scalliet, C.; Eyraud-Loisel, A.; Loisel, S. Impact of Climate Change on Heat Wave Risk. Risks 2013, 1, 176-191.

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