000021050 001__ 21050
000021050 005__ 20170824070924.0
000021050 037__ $$a379-2016-21790
000021050 041__ $$aen
000021050 245__ $$aModeling and Hedging Rain Risk
000021050 260__ $$c2006
000021050 269__ $$a2006
000021050 270__ $$moliver.musshoff@agrar.hu-berlin.de$$pMusshoff,   Oliver
000021050 270__ $$mm.odening@agrar.hu-berlin.de$$pOdening,   Martin
000021050 270__ $$mxu.wei@agrar.hu-berlin.de$$pXu,  Wei
000021050 300__ $$a25
000021050 336__ $$aConference Paper/ Presentation
000021050 446__ $$aEnglish
000021050 490__ $$aSelected Paper
000021050 520__ $$aIn 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 proposed to assess the spatial basis risk that is inherent to rainfall derivatives. The models are applied to precipitation data in Brandenburg, Germany. Based on simplifying assumptions of the production function, we quantify and compare the risk exposure of grain producers with and without rainfall insurance. It turns out that a considerable risk remains with producers who are remotely located from the weather station. Another finding is that significant differences may occur between the pricing methods. We identify the strengths and weaknesses of the pricing methods and give some recommendations for their applications. Our results are relevant for producers as well as for potential sellers of weather derivatives.
000021050 650__ $$aRisk and Uncertainty
000021050 700__ $$aMusshoff, Oliver
000021050 700__ $$aOdening, Martin
000021050 700__ $$aXu, Wei
000021050 8564_ $$s338405$$uhttp://ageconsearch.umn.edu/record/21050/files/sp06mu01.pdf
000021050 887__ $$ahttp://purl.umn.edu/21050
000021050 909CO $$ooai:ageconsearch.umn.edu:21050$$qGLOBAL_SET
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  Previous issue date: 2006
000021050 982__ $$gAmerican Agricultural Economics Association>2006 Annual meeting, July 23-26, Long Beach, CA
000021050 980__ $$a379