Since the mid-nineties, agricultural economists discuss the suitability of “weather derivatives” as hedging instruments for volumetric risks in agriculture. Contrary to traditional insurance contracts, the payoffs of such derivatives are linked to weather indices (e.g. accumulated rainfall...

Sowohl Ernteversicherungen als auch „Wetterderivate“ sind neuartigeRisikomanagementinstrumente, die eine Absicherung gegen Schäden aus nichtkatastrophalenWetterereignissen ermöglichen, in Deutschland aber bisher nicht verbreitet sind. Imvorliegenden Beitrag wird mit Hilfe eines...

Sowohl Ernteversicherungen als auch „Wetterderivate“ sind neuartige Risikomanagementinstrumente, die eine Absicherung gegen Schäden aus nichtkatastrophalen Wetterereignissen ermöglichen, in Deutschland aber bisher nicht verbreitet sind. Im vorliegenden Beitrag wird mit Hilfe eines...

Investment decisions are not only characterised by irreversibility and uncertainty but also by flexibility with regard to the timing of the investment. This paper describes how stochastic simulation can be successfully integrated into a backward recursive programming approach in the context of...

Optimization has been recognized as a powerful tool in teaching and research for a long time. In spite of its well known problem solving capacity, some methodological obstacles have persisted over the years. The main problem is that stochastic variables and their correlations cannot be...

Investment decisions are, as a rule, characterized by uncertainty, irreversibility and flexibility. Simple net present value calculations will not account for these features. In many situations even flexible investment planning with decision trees, which represents the most advanced method of...

Since the mid-nineties, agricultural economists discuss the suitability of “weather derivatives†as hedging instruments for volumetric risks in agriculture. Contrary to traditional insurance contracts, the payoffs of such derivatives are linked to weather indices (e.g. accumulated...

In this paper we examine whether there is room for improvement in farm program decisions through the integration of formal mathematical optimisation into the planning process. Probing the potential for improvement, we investigate the cases of four Brandenburg cash crop farms over the last six...

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...

In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them the burn analysis, index value simulation and daily simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is...