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Zur Reduzierung niederschlagsbedingter Produktionsrisiken mit Wetterderivaten

Author

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

Abstract

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

Suggested Citation

  • Musshoff, Oliver & Odening, Martin & Xu, Wei, 2005. "Zur Reduzierung niederschlagsbedingter Produktionsrisiken mit Wetterderivaten," Working Paper Series 18822, Humboldt University Berlin, Department of Agricultural Economics.
    • Handle: RePEc:ags:huiawp:18822
    DOI: 10.22004/ag.econ.18822
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    References listed on IDEAS

    as
    1. 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.
    2. Calum G. Turvey, 2001. "Weather Derivatives for Specific Event Risks in Agriculture," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 23(2), pages 333-351.
    3. Dwight R. Sanders, 2004. "Pricing Weather Derivatives," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(4), pages 1005-1017.
    4. Berg, Ernst & Schmitz, Bernhard & Starp, Michael & Trenkel, Hermann, 2005. "Wetterderivate: Ein Instrument im Risikomanagement für die Landwirtschaft?," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 54(03), pages 1-13.
    5. 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.
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    Cited by:

    1. Chemnitz, Christine & Grethe, Harald & Kleinwechter, Ulrich, 2007. "Quality Standards for Food Products - A Particular Burden for Small Producers in Developing Countries?," 106th Seminar, October 25-27, 2007, Montpellier, France 7926, European Association of Agricultural Economists.
    2. 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 of 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 of 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. 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 of Agricultural Economics.

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