Risk assessment using suprema data

This paper proposes a stochastic approach to model temperature dynamic and study related risk measures. The dynamic of temperatures can be modelled by a mean-reverting process such as an Ornstein-Uhlenbeck one. In this study, we estimate the parameters of this process thanks to daily observed suprema of temperatures, which are the only data gathered by some weather stations. The expression of the cumulative distribution function of the supremum is obtained thanks to the law of the hitting time. ...