In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is...

Replaced with revised version of paper 06/17/08.

In this article we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a de-correlation analysis is...

This paper develops an analytical model able to represent the decisions of an individual risk averse farmer facing variability in both prices and yields. A comprehensive set of stylised risk reducing policy measures is represented. A calibration of the model is used to run Monte-Carlo...

This paper explores the productivity and income distribution effects of asymmetric information and risk preferences on the credit market. A model of contract design in the presence of moral hazard is developed in which competitive, risk neutral lenders offer contracts to risk averse agents who...

This paper presents a model that endogenizes asset-based risk- coping in an environment of unmediated risk and subsistence constraints. It uses an individually-rational, stochastic dynamic programming model to explore intertemporal portfolio decisions in an environment in which both yield risk...

Systemic weather risk is a major obstacle for the formation of private (nonsubsidized)crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations.For that purpose copula...

Systemic weather risk is a major obstacle for the formation of private (nonsubsidized) crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations. For that purpose copula...

This paper describes farmer’s exposures to risks at the individual farm level and develops a model representing the decisions of an individual risk averse farmer facing variability in both prices and yields. A set of stylised risk market instruments is represented. The model is calibrated...

This paper describes farmer’s exposures to risks at the individual farm level and develops a model representing the decisions of an individual risk averse farmer facing variability in both prices and yields. A set of stylised risk market instruments is represented. The model is calibrated...