This paper examines the impact of technical efficiency on the optimal exit timing of farms in a stochastic dynamic framework. Starting from a standard real options approach, we incorporate technical efficiency via a production function and derive an optimal price trigger at which farms...

The existing literature on dynamic efficiency is deterministic and ignores uncertainty when deriving dynamic efficiency measures, even though it is known that uncertainty affects the optimal adjustment path and the optimal use of quasi-fixed factors. Here, we contribute to closing this gap by...

Although there is an increasing interest in index-based insurances in many developing countries, crop data scarcity hinders its implementation by forcing insurers to charge higher premiums. Expert knowledge has been considered a valuable information source to augment limited data in insurance...

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...

The objective of this paper is to investigate the performance of different VaR models in the context of risk assessment in hog production. Potential pitfalls of traditional VaR models are pinpointed and proposals to solve them are analyzed. After a brief description these methods are used to...

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...