Managing Weather Risk with a Neural Network-Based Index Insurance

The authors are grateful for helpful comments from Agostino Capponi (the editor), the associate editor, three anonymous referees, Utpal Bhattacharya, Darwin Choi, Lin William Cong, Guanhao Feng, Yan Ji, Wenxi Jiang, Simone Krummaker (discussant), Kai Li, Weikai Li, Yingying Li, Peter Mackay, Abhiroop Mukherjee, Yoshio Nozawa, George Panayotov, Yang Shen, Ke Tang, Qihe Tang, Jialin Yu, Chu Zhang, and the seminar participants at World Risk and Insurance Economics Congress 2020, 24th International Congress on Insurance: Mathematics and Economics 2021, AI in Finance Symposium 2022, 2022 CORS/INFORMS International Conference, East China Normal University, Hong Kong University of Science and Technology, Peking University, Renmin University, Southwestern University of Finance and Economics, Southern University of Science and Technology, Sun Yat-sen University, Tsinghua University, and University of New South Wales.