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Hedging of crop harvest with derivatives on temperature

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  • Hainaut, Donatien

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  • Hainaut, Donatien, 2018. "Hedging of crop harvest with derivatives on temperature," LIDAM Discussion Papers ISBA 2018012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2018012
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    References listed on IDEAS

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    1. Vitor A. Ozaki & Sujit K. Ghosh & Barry K. Goodwin & Ricardo Shirota, 2008. "Spatio-Temporal Modeling of Agricultural Yield Data with an Application to Pricing Crop Insurance Contracts," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(4), pages 951-961.
    2. Vincent H. Smith & Joseph W. Glauber, 2012. "Agricultural Insurance in Developed Countries: Where Have We Been and Where Are We Going?," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 34(3), pages 363-390.
    3. Fred Espen Benth & Jurate Saltyte-Benth, 2005. "Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 53-85.
    4. A. Zapranis & A. Alexandridis, 2008. "Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(4), pages 355-386.
    5. Olivier Mahul, 2003. "Hedging price risk in the presence of crop yeld and revenue insurance," Post-Print hal-02680491, HAL.
    6. Vincent H. Smith & Joseph W. Glauber, 2012. "Agricultural Insurance in Developed Countries: Where Have We Been and Where Are We Going?," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 34(3), pages 363-390.
    7. Benjamin Collier & Jerry Skees & Barry Barnett, 2009. "Weather Index Insurance and Climate Change: Opportunities and Challenges in Lower Income Countries," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 34(3), pages 401-424, July.
    8. Jesse Tack & Ardian Harri & Keith Coble, 2012. "More than Mean Effects: Modeling the Effect of Climate on the Higher Order Moments of Crop Yields," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 94(5), pages 1037-1054.
    9. Olivier Mahul, 2003. "Hedging price risk in the presence of crop yield and revenue insurance," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 30(2), pages 217-239, June.
    10. Fred Espen Benth, 2003. "On arbitrage-free pricing of weather derivatives based on fractional Brownian motion," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(4), pages 303-324.
    11. Michael T. Norton & Calum Turvey & Daniel Osgood, 2012. "Quantifying spatial basis risk for weather index insurance," Journal of Risk Finance, Emerald Group Publishing, vol. 14(1), pages 20-34, December.
    12. 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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