Showing 211 - 220 of 5,457
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...
Persistent link: https://www.econbiz.de/10005220662
Previous studies identify limited potential efficacy of weather derivatives in hedging agricultural exposures. In contrast to earlier studies which investigate the problem at low levels of aggregation, we find using straight forward temperature contracts that better weather hedging opportunities...
Persistent link: https://www.econbiz.de/10005327208
We consider a manufacturer-retailer supply chain for a seasonal product whose demand is weather sensitive. The retailer orders from the manufacturer (supplier) prior to the selling season and then sells to the market. We examine how a manufacturer can structure a weather-linked rebate to improve...
Persistent link: https://www.econbiz.de/10009293030
The optimisation of production plans is an important topic in agriculture, often related to diversification and specialisation as the classical instruments of coping with production risk. Although the measurement of embedded risk is often inaccurate, it is nevertheless necessary for decision...
Persistent link: https://www.econbiz.de/10009326230
I construct index-based weather insurance contracts with optimal hedging effectiveness for the insured or maximal profits for the insurer. In contrast to earlier work, I refrain from imposing functional form assumptions on the stochastic relationship between weather and yield and from...
Persistent link: https://www.econbiz.de/10009397202
The paper deals with weather derivatives and index-based insurance as the potentially new tools for risk management of agricultural enterprises seeking to mitigate their income exposure to variations in weather conditions. The aim of the paper is to point out some problems of index estimation...
Persistent link: https://www.econbiz.de/10009398920
The aim of the paper is to apply a theory of asymmetric information to managing production risk in agriculture. The second part of the paper is devoted to the tools for reducing the information asymmetry - parametric products (weather derivatives, index insurance). The results are based on...
Persistent link: https://www.econbiz.de/10009401145
Purpose–The purpose of this paper is to propose a feasible model for the daily average temperatures of Beijing, Shanghai and Shenzhen, in order to price temperature-based weather derivatives; also to derive analytical approximation formulas for the sensitivities of these contracts....
Persistent link: https://www.econbiz.de/10009415548
This paper approaches the subject of Weather Derivatives, more exactly their basic element the weather index. The weather index has two forms, the Heating Degree Day (HDD) and the Cooling Degree Day (CDD). We will try to explain their origin, use and the relationship between the two forms of the...
Persistent link: https://www.econbiz.de/10009366143
Many companies depend on weather conditions, so they require reliable weather forecasts for production planning or risk hedging. In this article, we propose a new way of gaining weather forecasts by exploiting the forward-looking information included in the market prices of weather derivatives...
Persistent link: https://www.econbiz.de/10010607140