This paper proposes a flexible framework for structuring and pricing parametric heat wave insurance. The framework is based on a general heat wave definition formulated in terms of an underlying temperature index. The definition can be varied in terms of the heat wave duration, intensity, measurement period and underlying index. This construction makes it straightforward to create contracts tailored to insure against heat events of many different types. A single stochastic model for the underlying index can be used to price all contracts. We consider contracts with payments that depend on the number of heat waves of a certain type occurring in the measurement period and derive the necessary pricing relations based on a general model structure encompassing several popular temperature models in the literature. An empirical case study is performed using data for Berlin where the daily maximum temperature is used as the underlying index. Model implied heat wave probabilities are consistent with historical patterns, point to high likelihoods for short duration heat events of different threshold temperatures and non-negligible risks for future heat waves of extreme temperatures and durations never before observed.

本文提出了一个用于构建和定价参数热浪保险的灵活框架。该框架基于根据基础温度指数制定的一般热浪定义。热浪的定义可以根据热浪持续时间、强度、测量周期和基础指数而变化。这种结构使得创建专门针对多种不同类型的高温事件的合同变得简单。基础指数的单一随机模型可用于对所有合约进行定价。我们考虑的付款合同取决于测量期间发生的某种类型的热浪数量，并基于包含文献中几种流行温度模型的通用模型结构得出必要的定价关系。使用柏林的数据进行实证案例研究，其中每日最高气温用作基础指数。模型隐含的热浪概率与历史模式一致，表明不同阈值温度的短持续时间热事件的可能性很高，并且未来极端温度和持续时间从未观察到的热浪的风险不可忽视。