Insurance Contracts for Hedging Wind Power Uncertainty

Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy

Quantile hedging for equity-linked contracts

We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We provide best strategy for an insurance company assuming the limited capital for the hedging.

A New Method for Reducing Uncertainty of Wind Power Based on Fuzzy RLS-MLFE

Due to incremental use of renewable energies, some challenges have been arised in control of wind power systems. One of the important ones is the uncertainty of wind power that affects directly on the cost of utilization. In this paper some algorithms based on the fuzzy logic and neural networks have been implemented to analyze the uncertainty of the wind power using historical data collected f...

Wind Derivatives: Hedging Wind Risk Msc Thesis Applied Mathematics " Wind Derivatives: Hedging Wind Risk "

Preface Over the last 11 months, I have done research in the field of wind derivatives for my MSc thesis. I performed this research in close cooperation with Mercurious, and my professor Kees Oosterlee. In October 2012 the MSc thesis project was born at CWI in Amsterdam. That day I met with Kees Oosterlee and Jerry de Leeuw (managing director of Mercurious). Mercurious had spotted the opportuni...

Supply Contracts with Financial Hedging

We study the performance of a stylized supply chain where two firms, a retailer and a producer, compete in a Stackelberg game. The retailer purchases a single product from the producer and afterward sells it in the retail market at a stochastic clearance price. The retailer, however, is budget constrained and is therefore limited in the number of units that he may purchase from the producer. We...