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2011-08-21Diskussionspapier DOI: 10.18452/4343
Pricing Chinese rain
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorOsipenko, Maria
dc.date.accessioned2017-06-16T00:27:00Z
dc.date.available2017-06-16T00:27:00Z
dc.date.created2011-09-12
dc.date.issued2011-08-21
dc.date.submitted2011-08-21
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4995
dc.description.abstractMany industries are exposed to weather risk which they can transfer on financial markets via weather derivatives. Equilibrium models based on partial market clearing became a useful tool for pricing such kind of financial instruments. In a multi-period equilibrium pricing model agents rebalance their portfolio of weather bonds and a risk free asset in each period such that they maximize the expected utility of their incomes constituted by possibly weather dependent profits and payoffs of portfolio positions. We extend the model to a multisite version and apply it to pricing rainfall derivatives for Chinese provinces. By simulating realistic market conditions with two agent types, farmers with profits highly exposed to weather risk and a financial investor diversifying her financial portfolio, we obtain equilibrium prices for weather derivatives on cumulative monthly rainfall. Dynamic portfolio optimization under market clearing and utility indifference of these representative agents determines equilibrium quantity and price for rainfall derivatives.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectrainfall derivativeseng
dc.subjectequilibrium pricingeng
dc.subjectspace-time Markov modeleng
dc.subject.ddc330 Wirtschaft
dc.titlePricing Chinese rain
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100192679
dc.identifier.doihttp://dx.doi.org/10.18452/4343
local.edoc.pages38
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2011
dc.title.subtitlea multisite multi-period equilibrium pricing model for rainfall derivatives
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2011,55

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