Predictions of future weather conditions play an important role in pricing weather derivatives. In many instances, the dates for which we require predictions are well beyond the point where physical forecasts have any skill. Under these circumstances, predictions are generated from statistical...

This paper examines the quantification of uncertainty in weather derivatives pricing. The focus is on the propagation of a posterior distribution on uncertain model parameters through to relevant payoff statistics, summarizing the uncertainty using variance based credible intervals for any given...