Zur Reduzierung niederschlagsbedingterProduktionsrisiken mit Wetterderivaten

In this paper we price a precipitation option based on empirical weather data from Germanyusing different pricing methods, among them the burn analysis, index value simulation anddaily simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelationanalysis is proposed to analyse the spatial basis risk that is inherent to rainfall derivatives.The models are applied to precipitation data in Brandenburg, Germany. Based on simplifyingassumptions of the production function we quantify and compare the risk exposure ofgrain producers with and without rainfall insurance. It turns out that a considerable risk remainswith producers who are located remotely from the weather station. Another finding isthat significant differences may occur between the pricing methods. We identify the strengthsand weaknesses of the pricing methods and give some recommendations for their application.Our results are relevant for producers as well as for potential sellers of weather derivatives.