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Impact of Climate Change on Heat Wave Risk

Laboratoire de mathématiques de Besançon, UMR CNRS 6623, 16 route de Gray, Besançon F-25030, France
Université de Lyon, CNRS UMR 5208, École centrale de Lyon, Institut Camille Jordan, 36 avenue Guy de Collongue, Ecully Cedex F-69134, France
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.
Risks 2013, 1(3), 176-191;
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)
PDF [693 KB, uploaded 12 December 2013]


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. View Full-Text
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

Figure 1

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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