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| Berg, Ernst; Schmitz, Bernhard; Starp, Michael. |
| In many areas agriculture is exposed to weather-related risks. Weather derivatives that get more and more in the focus of interest can reduce these risks. In this study we develop a temperature based weather derivative and analyse how it can reduce the weather-related energy cost risk in greenhouse production. We base this study on a temperature index whose stochastic characteristics are analysed. Finally we simulate the heating energy demand of a horticultural firm. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Risk and Uncertainty. |
| Ano: 2006 |
URL: http://purl.umn.edu/21378 |
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| Berg, Ernst; Schmitz, Bernhard. |
| Recent and presumable future developments tend to increase the risks associated with farming activities. These include climate risks which have always played an important role in farming. Weather based instruments can be valuable tools to reduce the risk associate with unfavourable climatic events. However, a number of factors can limit the hedging effectiveness of these tools. These factors include basis risk, the impacts of remaining price uncertainty and diversification effects. The paper addresses the influence of each of these factors. In its final part an integrated approach for a comprehensive assessment of weather derivatives and other hedging instruments is proposed that is based on the concept of portfolio optimisation. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Downside risk; Portfolio optimisation; Risk management; Risk-value models; Weather derivatives; Risk and Uncertainty. |
| Ano: 2007 |
URL: http://purl.umn.edu/9269 |
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| Berg, Ernst; Schmitz, Bernhard; Starp, Michael; Trenkel, Hermann. |
| The risks associated with farming activities are likely to increase in the future. It, therefore, appears worthwhile to analyse new risk management instruments. This paper investigates weather derivatives for which a market has already emerged in the USA. Contrary to traditional financial derivatives, their payoff is determined by future weather events, such as temperature or precipitation. Thus, they hedge risks which result from climate. Since they address production risks they are complementary to instruments that hedge price risks, such as future markets. The objective of the paper is to evaluate the economic impacts of weather derivatives and to assess their potential as farm level instruments of risk management. After outlining the main... |
| Tipo: Journal Article |
Palavras-chave: Weather derivatives; Weather risk; Risk management; Stochastic simulation; Financial Economics; Risk and Uncertainty. |
| Ano: 2005 |
URL: http://purl.umn.edu/97213 |
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