Using Partial Differential Equations (PDEs) to Price Financial Instruments to Manage Climate Risk
Speaker:
Enrique Villamor, Florida International University
Date and Time:
Wednesday, September 21, 2022 - 10:45am to 11:45am
Location:
Fields Institute, Room 230, or online at https://zoom.us/j/92292683265
Abstract:
In this talk, we are going to present an approach to price wind parametric index insurance using a new PDE method, modeling wind speed with a continuous time Ornstein-Uhlenbeck SDE. We will find the probability distribution function of the first passage time of this wind process and use it to price the wind parametric insurance premiums using the FKE with a barrier.
