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Risks 2013
Impact of Climate Change on Heat Wave RiskDOI: 10.3390/risks1030176 Keywords: climate change, risk measure, heat wave risk, temperature modeling, Ornstein–Uhlenbeck process Abstract: 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.
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