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Method of Analyzing Weather Derivatives Based on Long-range Weather Forecasts

In: Practical Fruits of Econophysics

Author

Listed:
  • Masashi Egi

    (Hitachi, Ltd.)

  • Shun Takahashi

    (Hitachi, Ltd.)

  • Takeshi Ieshima

    (Hitachi, Ltd.)

  • Kaoru Hijikata

    (Hitachi, Ltd.)

Abstract

Summary We examined the effectiveness of long-range weather forecasts applied to analyze weather derivatives. We carried out 651 back tests for different historical periods and confirmed that the accuracy of evaluating the risk of weather derivatives could be drastically improved by using long-range weather forecasts.

Suggested Citation

  • Masashi Egi & Shun Takahashi & Takeshi Ieshima & Kaoru Hijikata, 2006. "Method of Analyzing Weather Derivatives Based on Long-range Weather Forecasts," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 241-245, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_44
    DOI: 10.1007/4-431-28915-1_44
    as

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