Showing 1 - 7 of 7
In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them the burn analysis, index value simulation and daily simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is...
Persistent link: https://www.econbiz.de/10009443022
The risks associated with farming activities are likely to increase in the future. It, therefore, appears worthwhile to analyse new risk management instruments. This paper investigates weather derivatives for which a market has already emerged in the USA. Contrary to traditional financial...
Persistent link: https://www.econbiz.de/10009443671
The importance of weather as a production factor in agriculture is well established long time and a significant portion of yield fluctuations is caused by weather risks. Traditionally, farmers have tried to hedge against unfavorable weather using insurance, such as crop insurance. In recent...
Persistent link: https://www.econbiz.de/10009443672
Since the mid-nineties, agricultural economists discuss the suitability of “weather derivatives” as hedging instruments for volumetric risks in agriculture. Contrary to traditional insurance contracts, the payoffs of such derivatives are linked to weather indices (e.g. accumulated rainfall...
Persistent link: https://www.econbiz.de/10009443690
The objective of this paper is to investigate the performance of different Value-at-Risk (VaR) models in the context of risk assessment in hog production. The paper starts with a description of traditional VaR models, i.e. Variance-Covariance-Method (VCM) and Historical Simulation (HS). We...
Persistent link: https://www.econbiz.de/10009443706
This paper discusses the real options approach to investment. Real options facilitate an analysis of investment under uncertainty explicitly taking into account irreversibility of the investment decision and flexibility with respect to the investment timing. This is achieved by exploiting the...
Persistent link: https://www.econbiz.de/10009443735
Es ist seit langem bekannt, dass das Wetter den Hauptunsicherheitsfaktor in der pflanzlichen Produktion darstellt. Seit einiger Zeit wird der Einsatz von Wetterderivaten zur Absicherung gegen wetterbedingte Ertragsschwankungen diskutiert. In diesem Beitrag wird am Beispiel ei-nes...
Persistent link: https://www.econbiz.de/10009444370