9 citations · 9 across the 2 of their papers we have counts for
2 papers
q-fin.MF2018★ 9 cited
Regime-Switching Temperature Dynamics Model for Weather Derivatives
Samuel Asante Gyamerah, Philip Ngare, Dennis Ikpe
Weather is a key production factor in agricultural crop production and at the same time the most significant and least controllable source of peril in agriculture. These effects of…
q-fin.PR2014
Utility indifference pricing of derivatives written on industrial loss indexes
Gunther Leobacher, Philip Ngare
We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modelled by a compound Poisson p…