Weather derivative design in agriculture â€“ a case study of barley in the Southern Moravia Region
The aim of this paper is to point out some problems of index estimation for the purposes of weather derivative valuation considering the particularities of agriculture. The assessment of the sensitivity of barley to weather over 40 years has been the basis for the design and valuation of weather derivative in the Czech Republic (The Southern Moravia Region). The analysis is based on regression modeling using temperature index and barley yield. The burn analysis based on parametric bootstrap is used as the method for the valuation of weather derivative contract. With the effective bootstrap tool, the burn analysis may easily be processed and the uncertainty about the pay-off, option price and statistics of probability distribution of revenues can be effectively determined. Nevertheless, the results of the analysis reveal a significant adverse impact of basis risk on the quality of agricultural weather derivative in the Czech growing conditions. The article outlines the scope for use of weather derivative as the reinsurance tool in regions with frequent occurrence of systematic weather risk.
Volume (Year): 3 (2011)
Issue (Month): 3 (September)
|Contact details of provider:|| Postal: |
Web page: http://online.agris.cz/
More information through EDIRC
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.:
- Martin, Steven W. & Barnett, Barry J. & Coble, Keith H., 2001. "Developing And Pricing Precipitation Insurance," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 26(01), July.
- Vedenov, Dmitry V. & Barnett, Barry J., 2004. "Efficiency of Weather Derivatives as Primary Crop Insurance Instruments," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 29(03), December.
When requesting a correction, please mention this item's handle: RePEc:ags:aolpei:116383. 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.