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| Registros recuperados: 11 | |
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| Xu, Wei; Filler, Gunther; Odening, Martin; Okhrin, Ostap. |
| Systemic weather risk is a major obstacle for the formation of private (nonsubsidized) crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations. For that purpose copula methods are employed that allow an adequate description of stochastic dependencies between multivariate random variables. The estimation procedure is applied to weather data in Germany. Our results indicate that indemnity payments based on temperature as well as on cumulative rainfall show strong stochastic dependence even at a national scale. Thus the possibility to reduce risk exposure by increasing the trading area of the insurance is limited. Irrespective of... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Weather risk; Crop insurance; Copula; Risk and Uncertainty; C14; Q19. |
| Ano: 2009 |
URL: http://purl.umn.edu/49131 |
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| Briner, Simon; Finger, Robert. |
| Applying a bio-economic whole farm model we assess the impact of price and weather risk as well as different risk management strategies on the variability of the income in Swiss suckler cow production. We consider different on-farm risk management strategies such as the flexible adjustment of herd size, fodder composition and feed stocks, as well as an income insurance. Our results show that without any risk-management income variability is rather high, with coefficient of variation (CV) of income ranging from 26% to 31%. Taking on-farm risk management strategies into account it is possible to reduce income variability significantly (CV 12-15%), but causes only low reductions of mean income levels. Our results also indicate that income insurance is not... |
| Tipo: Presentation |
Palavras-chave: Weather risk; Bio-economic whole farm model; Suckler cow; Income insurance; Farm Management; Risk and Uncertainty; Q12; Q18. |
| Ano: 2012 |
URL: http://purl.umn.edu/122547 |
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| Harrison, R. Wes. |
| Stochastic simulation is used to analyze the effects of weather and output price risks on feeder cattle backgrounding systems common to the mid-south region of the United States. The results show that backgrounding systems beginning in the fall and ending from April to late August are associated with higher expected returns relative to summer backgrounding. However, winter backgrounding is associated with greater overall risk relative to summer backgrounding. Stochastic dominance analysis indicated that slightly risk averse backgrounders prefer both winter and summer baskgrounding but summer backgrounding is preferred by strongly risk averse decision makers. |
| Tipo: Journal Article |
Palavras-chave: Feeder cattle; Weather risk; Price risk; Stochastic dominance; Agribusiness; Livestock Production/Industries; Productivity Analysis. |
| Ano: 1997 |
URL: http://purl.umn.edu/90425 |
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| Ritter, Matthias; Musshoff, Oliver; Odening, Martin. |
| Weather risk is one of the main causes for income fluctuation in agriculture. Since 1997, the economic consequences of weather risk can be insured with weather derivatives, which are offered for many different weather events, such as temperature, rainfall, snow or hurricanes. It is well known that the hedging effectiveness of weather derivatives is interfered by the existence of geographical basis risk, i.e., the deviation of weather conditions at different locations. In this paper, we explore how geographical basis risk of rainfall based derivatives can be reduced by regional diversification. Minimizing geographical basis risk requires knowledge of the joint distribution of rainfall at different locations. For that purpose, we estimate a daily multi-site... |
| Tipo: Presentation |
Palavras-chave: Management; Weather risk; Regional diversification; Portfolio weights; Risk and Uncertainty; G11; Q14; G32. |
| Ano: 2012 |
URL: http://purl.umn.edu/122527 |
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| Lips, Markus; Bolli, Simon. |
| In eastern Switzerland there is a substantial weather risk during the wheat harvest. Increasing the number of available combine harvesters reduces harvest losses due to bad weather conditions, whilst increasing machinery costs. Simulating weather risk, we analyse harvest losses and machinery costs. In doing so, we apply both a deterministic and a stochastic approach the latter by means of a Monte Carlo simulation. The costs per hectare of wheat are higher in the stochastic approach, because bad weather conditions lead to high costs. There is no difference between the two approaches in terms of minimum costs, which in both cases are achieved by a density of 20 harvesters per 1000 hectares. Calculation results are lower than the actual density, which is... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Weather risk; Wheat harvest; Monte Carlo simulation; Crop Production/Industries; Risk and Uncertainty. |
| Ano: 2007 |
URL: http://purl.umn.edu/9249 |
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| Turvey, Calum G.. |
| This paper presents a model and framework for pricing degree-day weather derivatives when the weather variable is a non-traded asset. Using daily weather data from 1840-1996 it is shown that a degree-day weather index exhibits stable volatility and satisfies the random walk hypothesis. The paper compares the options prices from the recommended model and compares it to a typical insurance-type model. The results show that the insurance model overprices the option value at-the-money and this may explain why the bid-ask spreads in the weather derivatives market is sometimes very large. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Weather derivatives; Degree-day options; Weather risk; Marketing; Risk and Uncertainty. |
| Ano: 2001 |
URL: http://purl.umn.edu/34109 |
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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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| Registros recuperados: 11 | |
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