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...

Replaced with revised version of paper 06/17/08.

The importance of weather as a production factor in agriculture is well established long time and a significant portion of yield fluctuations is caused by weather risks. Traditionally, farmers have tried to hedge against unfavorable weather using insurance, such as crop insurance. In recent...

Es ist seit langem bekannt, dass das Wetter den Hauptunsicherheitsfaktor in der pflanzlichen Produktion darstellt. Seit einiger Zeit wird der Einsatz von Wetterderivaten zur Absicherung gegen wetterbedingte Ertragsschwankungen diskutiert. In diesem Beitrag wird am Beispiel ei-nes...

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...