Advanced Search
MyIDEAS: Login

Zur Reduzierung niederschlagsbedingter Produktionsrisiken mit Wetterderivaten


Author Info

  • Musshoff, Oliver
  • Odening, Martin
  • Xu, Wei


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 proposed to analyse 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 located remotely 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 application. Our results are relevant for producers as well as for potential sellers of weather derivatives. In diesem Beitrag wird eine Niederschlagsoption unter Anwendung der Burn-Analysis, der Index-Value-Simulation und der Daily-Simulation bewertet. Dazu wird auf der Grundlage empirischer Wetterdaten aus Deutschland (Niederschlagsmengen aus Brandenburg) ein Tagesniederschlagsmodell entwickelt. Weiterhin wird eine Dekorrelationsanalyse durchgefuhrt, um das raumliche Basisrisiko von Niederschlagsderivaten zu analysieren. Basierend auf vereinfachenden Annahmen bzgl. der Produktionsfunktion wird das Risikoprofil von Getreideproduzenten in Brandenburg mit und ohne Absicherung gegen zu geringe Niederschlagsmengen in den Monaten April und Mai quantifiziert. Es wird deutlich, dass mit zunehmender Entfernung ein erhebliches Restrisiko bei den Produzenten verbleibt. Die Berechnungen zeigen zudem Unterschiede zwischen den verschiedenen Bewertungsverfahren auf. Es werden Starken und Schwachen der Bewertungsverfahren identifiziert und Empfehlungen für die Anwendung der verschiedenen Methoden abgeleitet. Die hier behandelte Fragestellung ist sowohl fur Landwirte als auch für potenzielle Anbieter von Wetterderivaten relevant. Schlagworte: Wetterrisiko, Wetterderivate, Niederschlagsmodelle, Basisrisiko

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: no

Bibliographic Info

Paper provided by Humboldt University Berlin, Department Agricultural Economics in its series Working Paper Series with number 18822.

as in new window
Date of creation: 2005
Date of revision:
Handle: RePEc:ags:huiawp:18822

Contact details of provider:
Postal: Philippstr. 13, 10115 Berlin
Phone: +49 (0)30 2093 6305
Fax: +49 (0)30 2093 6497
Web page:
More information through EDIRC

Related research

Keywords: weather risk; weather derivatives; precipitation model; basis risk; Resource /Energy Economics and Policy; Risk and Uncertainty;


References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Peter Alaton & Boualem Djehiche & David Stillberger, 2002. "On modelling and pricing weather derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 1-20.
  2. Richards, Timothy J. & Manfredo, Mark R. & Sanders, Dwight R., 2004. "Pricing Weather Derivatives," Working Papers 28536, Arizona State University, Morrison School of Agribusiness and Resource Management.
  3. Dwight R. Sanders, 2004. "Pricing Weather Derivatives," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(4), pages 1005-1017.
Full references (including those not matched with items on IDEAS)


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Chemnitz, Christine & Grethe, Harald & Kleinwechter, Ulrich, 2007. "Quality Standards for Food Products - A Particular Burden for Small Producers in Developing Countries?," Working Paper Series 10010, Humboldt University Berlin, Department Agricultural Economics.
  2. Nolte, Stephan, 2006. "The application of spatial models in the analysis of bilateral trade flows: An alternative to the Armington approach for the world sugar market," Working Paper Series 10288, Humboldt University Berlin, Department Agricultural Economics.
  3. von Witzke, Harald, 2007. "Landwirtschaft in der okologischen Marktwirtschaft: Sicherung der Welternahrung vs. Klimaschutz und Bioenergie," Working Paper Series 10290, Humboldt University Berlin, Department Agricultural Economics.
  4. Berg, Ernst & Schmitz, Bernhard, 2007. "Weather-based instruments in the context of whole farm risk management," 101st Seminar, July 5-6, 2007, Berlin Germany 9269, European Association of Agricultural Economists.
  5. Badri, Balghis & Knuth, Hardine, 2008. "The Engendered Spaces in the Village at the Edge of the Capital: A Case Study of Al Gharaza/Sudan," Working Paper Series 43095, Humboldt University Berlin, Department Agricultural Economics.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:ags:huiawp:18822. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.