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Modelling rain risk: a multi-order Markov chain model approach

Stowasser, Markus - In: Journal of Risk Finance 13 (2011) January, pp. 45-60

importance of the model order for the pricing of a rainfall index put option. Design/methodology/approach–For the first time a … criteria analysis of rainfall data for one weather station in the US. The outcome of this model is compared to simpler Markov …. Clear differences between the daily simulation and the burn method are found when pricing a put option on a rainfall index …

Persistent link: https://www.econbiz.de/10009415547

Introduction of weather-derivative concepts: perspectives for Portugal

Ghiulnara, Alieva; Viegas, Cristina - In: Journal of Risk Finance 11 (2010) January, pp. 9-19

Purpose – The purpose of this paper is to present an overview of weather derivatives markets and to highlight the importance of the contributing factors for weather risk management such as weather sensitivity, weather forecast, and economic growth. In this paper, the prospective of using...

Persistent link: https://www.econbiz.de/10010610640

Quantifying spatial basis risk for weather index insurance

Norton, Michael T.; Turvey, Calum; Osgood, Daniel - In: Journal of Risk Finance 14 (2013) January, pp. 20-34

Purpose – The purpose of this paper to develop an empirical methodology for managing spatial basis risk in weather index insurance by studying the fundamental causes for differences in weather risk between distributed locations. Design/methodology/approach – The paper systematically compares...

Persistent link: https://www.econbiz.de/10010610668

Introduction of weather-derivative concepts: perspectives for Portugal

Ghiulnara, Alieva; Viegas, Cristina - In: Journal of Risk Finance 11 (2010) January, pp. 9-19

Persistent link: https://www.econbiz.de/10010717480