Compound climate events transform electrical power shortfall risk in the Pacific Northwest
Sign Up to like & getrecommendations! Published in 2019 at "Nature Communications"
DOI: 10.1038/s41467-018-07894-4
Abstract: Power system reliability is sensitive to climate-driven variations in both energy demand and water availability, yet the combined effect of these impacts is rarely evaluated. Here we show that combined climate change impacts on loads… read more here.
Keywords: shortfall risk; climate; climate change; power ... See more keywords
Hedging strategies for European contingent claims with the minimum shortfall risk criterion
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Interdisciplinary Mathematics"
DOI: 10.1080/09720502.2017.1355510
Abstract: Abstract This paper studied the optimal self-financing hedging strategies under the minimum shortfall risk criterion. By virtue of the Monte Carlo simulation, thousands of the underlying asset’s price paths are generated and the expected shortfall… read more here.
Keywords: risk; minimum shortfall; hedging strategies; risk criterion ... See more keywords